Applications of actuarial techniques to credit default swap pricing

• Main Authors: Lim, Zheng Xian, Chew, Wee Jia, S Theven Subramaniam
• Other Authors: Shinichi Kamiya
• Format: Final Year Project
• Language: English
• Published: 2012
• Subjects: DRNTU::Business::Finance::Actuarial science
• Online Access: http://hdl.handle.net/10356/48124
• Institution: Nanyang Technological University

The objective of this project is to investigate the credit spread of credit default swaps by using actuarial techniques. The group quantifies the CDS spread by firstly calculating the default rates of selected bonds using actuarial means of calculating mortality rates of bonds. The default rates wer...