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http://hdl.handle.net/11718/19062| Title: | Comparison of CDS prices for different valuation models and hazard rates |
| Authors: | R., Arvind Saran Kumar, Amit |
| Keywords: | Equivalent Recovery model;Hull and white model |
| Issue Date: | 2004 |
| Publisher: | Indian Institute of Management Ahmedabad |
| Series/Report no.: | SP;001055 |
| Abstract: | This paper provides a comparison between the CDS spreads estimated by Hull and white model and Equivalent Recovery model. The paper compares the models for different maturities, using different time-varying hazard rate functions for estimation of default probability density function. It also uses the two models to compare the CED spreads for bonds with different credit ratings. The paper discusses other alternative ways of modeling CDS spreads. |
| URI: | http://hdl.handle.net/11718/19062 |
| Appears in Collections: | Student Projects |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SP_2004_1055.pdf Restricted Access | 926.92 kB | Adobe PDF | View/Open Request a copy |
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