Credit Risk Mitigation through CDSs: Evidence from the French Credit Derivative Market

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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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Bibliographic Details
Main Author:	Navick, Laura
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/27382/

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