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Modelling default-risky bonds
Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2006.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613459932250112 |
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| access_status_str | Open Access |
| author2 | Swart, B. |
| author_browse | Swart, B. |
| author_facet | Swart, B. |
| collection | Thesis |
| dc_rights_str_mv | © 2003, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2006. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/26531 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:36:29.578Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/26531 Modelling default-risky bonds Swart, B. upetd@ais.up.ac.za Magwegwe, Frank Mashoko Risk assessment computer simulation UCTD Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2006. In this dissertation, we examine current models used to value default-risky bonds. These models include both the structural and the reduced-form approaches. We begin by examining various issues involved in modelling credit risk and pricing credit derivatives. We then explore the various dimensions of structural models and reduced-form models and we provide an overview of four models presented in the literature on credit risk modelling. Both the theoretical and empirical research on default-risky bond valuation is summarized. Finally, we make suggestions for improving on the credit risk models discussed. Mathematics and Applied Mathematics unrestricted 2013-09-07T06:27:26Z 2005-07-26 2013-09-07T06:27:26Z 2003-04-01 2006-07-26 2005-07-22 Dissertation Magwegwe, F 2003, Modelling default-risky bonds, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/26531 > http://hdl.handle.net/2263/26531 http://upetd.up.ac.za/thesis/available/etd-07222005-123437/ © 2003, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf application/pdf application/pdf application/pdf application/pdf application/pdf application/pdf application/pdf application/pdf University of Pretoria |
| spellingShingle | Risk assessment computer simulation UCTD Modelling default-risky bonds |
| title | Modelling default-risky bonds |
| title_full | Modelling default-risky bonds |
| title_fullStr | Modelling default-risky bonds |
| title_full_unstemmed | Modelling default-risky bonds |
| title_short | Modelling default-risky bonds |
| title_sort | modelling default risky bonds |
| topic | Risk assessment computer simulation UCTD |
| url | http://hdl.handle.net/2263/26531 http://upetd.up.ac.za/thesis/available/etd-07222005-123437/ |