Applications of actuarial techniques to credit default swap pricing

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...

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Bibliographic Details
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
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Institution:	Nanyang Technological University
Language:	English

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spelling	sg-ntu-dr.10356-481242023-05-19T07:23:07Z Applications of actuarial techniques to credit default swap pricing Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam Shinichi Kamiya Nanyang Business School DRNTU::Business::Finance::Actuarial science 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 were then smoothed before inputting into a pricing model to calculate the CDS spread of a Credit Default Swap Index (Markit CDX). This spread is then compared to the current Markit CDX spread. BUSINESS 2012-03-16T06:39:45Z 2012-03-16T06:39:45Z 2012 2012 Final Year Project (FYP) http://hdl.handle.net/10356/48124 en Nanyang Technological University 53 p. application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
language	English
topic	DRNTU::Business::Finance::Actuarial science
spellingShingle	DRNTU::Business::Finance::Actuarial science Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam Applications of actuarial techniques to credit default swap pricing
description	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 were then smoothed before inputting into a pricing model to calculate the CDS spread of a Credit Default Swap Index (Markit CDX). This spread is then compared to the current Markit CDX spread.
author2	Shinichi Kamiya
author_facet	Shinichi Kamiya Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam
format	Final Year Project
author	Lim, Zheng Xian Chew, Wee Jia S Theven Subramaniam
author_sort	Lim, Zheng Xian
title	Applications of actuarial techniques to credit default swap pricing
title_short	Applications of actuarial techniques to credit default swap pricing
title_full	Applications of actuarial techniques to credit default swap pricing
title_fullStr	Applications of actuarial techniques to credit default swap pricing
title_full_unstemmed	Applications of actuarial techniques to credit default swap pricing
title_sort	applications of actuarial techniques to credit default swap pricing
publishDate	2012
url	http://hdl.handle.net/10356/48124
_version_	1770563728240017408

Applications of actuarial techniques to credit default swap pricing

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