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Modeling and monitoring of the price process of Credit Default Swaps
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
2008 (English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

Credit derivatives are very popular on financial markets in recent days.

The most liquid credit derivative is a credit default swap (CDS). In

this research we investigate methods for modeling and monitoring of the

price process of CDS. We study Hull and White model to calculate CDS

spread and have data for our analysis. We consider different methods for

monitoring of the price process of CDS. In particular we study CUSUM

method. And we calculate more commonly used perfomance measures

for this method.

Place, publisher, year, edition, pages
Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) , 2008.
Keyword [en]
Credit Default Swap, CDS, Hull and White model, CUSUM, perfomance measures
Identifiers
URN: urn:nbn:se:hh:diva-2208Local ID: 2082/2605OAI: oai:DiVA.org:hh-2208DiVA: diva2:239426
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-12-15 Created: 2008-12-15 Last updated: 2009-10-26

Open Access in DiVA

fulltext(517 kB)197 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf