Essays about: "Sebastian Wright"
Found 1 essay containing the words Sebastian Wright.
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1. An Application of the Hull-White Model on CDS Spread Pricing
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This study illustrates in detail the Hull and White reduced-from model for pricing CDS spreads and applied the model to real bond data. Following the assumption of the model, that the yield spread between a defaultable bond and a default-free bond only captures the probability of default, we aim at calculating a number of static CDS spread. READ MORE
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