CDS Implied Default Probabilities: A Study of a Reduced Form Model for Credit Risk

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CDS Implied Default Probabilities: A Study of a Reduced Form Model for Credit Risk

ABSTRACT This study estimates risk-neutral probability of default from quoted Credit Default Swap (CDS) spreads by employing Hull and White (2000 and 2003) reduced form model for pricing CDS. Once fixing the recovery rate at a predetermined level, we introduce default probability density, q(t) in t...

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Bibliographic Details
Main Author:	Kosoglu, Elif
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2010
Online Access:	https://eprints.nottingham.ac.uk/23993/

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