Survival Probability and Intensity Derived from Credit Default Swaps
This project discusses the intensity and survival probability derived from Credit Default Swaps (CDS). We utilize two models, the reduced intensity model and the Shift Square Root Diffusion (SSRD) model. In the reduced intensity model, we assume a deterministic intensity and implement a computer sim...
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Digital WPI
2012
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/82 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1081&context=etd-theses |