Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Estimating credit default swap spreads from equity data
Includes bibliographical references.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613211478458368 |
|---|---|
| access_status_str | Open Access |
| author | Kooverjee, Jateen |
| author2 | Cunanne, Steven |
| author_browse | Cunanne, Steven Kooverjee, Jateen |
| author_facet | Cunanne, Steven Kooverjee, Jateen |
| author_sort | Kooverjee, Jateen |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8525 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:31.718Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8525 Estimating credit default swap spreads from equity data Kooverjee, Jateen Cunanne, Steven Mathematical Finance Includes bibliographical references. Corporate bonds are an attractive form of investment as they provide higher returns than government bonds. This increase in returns is usually associated with an increase in risk. These risks include liquidity, market and credit risk. This dissertation will focus on the modelling of a corporate bond's credit risk by considering how to estimate the credit default swap (CDS) spread of a firm's bond. A structural credit model will be used to do this. In this dissertation, we implement an extension of Merton's model by Hull, Nelken and White (2004), which is based on the use of the implied volatilities of options on the company's stock to estimate model parameters. Such an approach provides an insight into the relationship between credit markets and options markets. 2014-10-17T10:09:54Z 2014-10-17T10:09:54Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8525 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Kooverjee, Jateen Estimating credit default swap spreads from equity data |
| thesis_degree_str | Master's |
| title | Estimating credit default swap spreads from equity data |
| title_full | Estimating credit default swap spreads from equity data |
| title_fullStr | Estimating credit default swap spreads from equity data |
| title_full_unstemmed | Estimating credit default swap spreads from equity data |
| title_short | Estimating credit default swap spreads from equity data |
| title_sort | estimating credit default swap spreads from equity data |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/8525 |
| work_keys_str_mv | AT kooverjeejateen estimatingcreditdefaultswapspreadsfromequitydata |