Essays about: "Sebastian Wright"

Found 1 essay containing the words Sebastian Wright.

  1. 1. An Application of the Hull-White Model on CDS Spread Pricing

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Manshu Li; Sebastian Wright; [2009]
    Keywords : credit default swap; Yield Spread; CDS spread; Hull and White model.; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : 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