What is the impact of credit risk on financial institutions? How credit derivatives help in mitigating such risk and how they are valued?

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What is the impact of credit risk on financial institutions? How credit derivatives help in mitigating such risk and how they are valued?

The aim of this study is to illustrate in detail the Hull and White reduced form model for pricing CDS spreads and apply the model to real world bond data. Using the assumptions laid down by the model, that the interest rates are deterministic and claim and recovery rates are known, we aim to calcul...

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Bibliographic Details
Main Author:	Mantri, Pratik
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2014
Online Access:	https://eprints.nottingham.ac.uk/27555/

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