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The objective of this thesis is to study the pricing of a single-name credit default swap (CDS) c... more The objective of this thesis is to study the pricing of a single-name credit default swap (CDS) contract via the discounted cash flow method with reduced-form survival probability functions depending on stochastic intensity. The ability of the model in predicting the market-observed spreads is tested as well by using bond and CDS data from the US market. In credit risk modeling, the CIR (Cox-Ingersoll-Ross) model is used. The main reason for using a reduced-form model in pricing the CDS contracts is the advantages of such models in terms of being more flexible, practical and tractable. In model calibration, each sample firm’s bond price is used while determining the optimal set of parameters for the CIR default intensity process. For this purpose, the firm’s stochastic default probabilities are estimated within the least squares framework. Data on two of the Dow Jones 30 Index constituents, the Coca-Cola Company and JPMorgan Chase, are used in the analyses. The term structure of dai...
The objective of this paper is to study the pricing of a single-name credit default swap (CDS) co... more The objective of this paper is to study the pricing of a single-name credit default swap (CDS) contract via the discounted cash flow method with reduced-form survival probability functions depending on stochastic intensity. The ability of the model in predicting the market-observed spreads is tested as well by using bond and CDS data of MENA countries. In credit risk modeling, the CIR (Cox-Ingersoll-Ross) model is used. The main reason for using a reduced-form model in pricing the CDS contracts is the advantages of such models in terms of being more flexible, practical and tractable. In model calibration, each sample country’s bond price is used while determining the optimal set of parameters for the CIR default intensity process. For this purpose, the country’s stochastic default probabilities are estimated within the least squares framework. Data on six MENA countries, are used in the analyses. The term structure of daily sovereign debt prices that are used to estimate the hazard ...
The objective of this thesis is to study the pricing of a single-name credit default swap (CDS) c... more The objective of this thesis is to study the pricing of a single-name credit default swap (CDS) contract via the discounted cash flow method with reduced-form survival probability functions depending on stochastic intensity. The ability of the model in predicting the market-observed spreads is tested as well by using bond and CDS data from the US market. In credit risk modeling, the CIR (Cox-Ingersoll-Ross) model is used. The main reason for using a reduced-form model in pricing the CDS contracts is the advantages of such models in terms of being more flexible, practical and tractable. In model calibration, each sample firm’s bond price is used while determining the optimal set of parameters for the CIR default intensity process. For this purpose, the firm’s stochastic default probabilities are estimated within the least squares framework. Data on two of the Dow Jones 30 Index constituents, the Coca-Cola Company and JPMorgan Chase, are used in the analyses. The term structure of dai...
The objective of this paper is to study the pricing of a single-name credit default swap (CDS) co... more The objective of this paper is to study the pricing of a single-name credit default swap (CDS) contract via the discounted cash flow method with reduced-form survival probability functions depending on stochastic intensity. The ability of the model in predicting the market-observed spreads is tested as well by using bond and CDS data of MENA countries. In credit risk modeling, the CIR (Cox-Ingersoll-Ross) model is used. The main reason for using a reduced-form model in pricing the CDS contracts is the advantages of such models in terms of being more flexible, practical and tractable. In model calibration, each sample country’s bond price is used while determining the optimal set of parameters for the CIR default intensity process. For this purpose, the country’s stochastic default probabilities are estimated within the least squares framework. Data on six MENA countries, are used in the analyses. The term structure of daily sovereign debt prices that are used to estimate the hazard ...