Credit Risk Mitigation through CDSs: Evidence from the French Credit Derivative Market
This thesis provides four methodologies for estimating risk-neutral default probabilities. First, by using the Hull-White (2000) approach relying on bond prices. Secondly, by bootstrapping hazard rates from CDS spreads through the JP Morgan (1999) model, whilst assuming a piecewise constant hazard r...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2014
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| Online Access: | https://eprints.nottingham.ac.uk/27382/ |