Comparison of CDS prices for different valuation models and hazard rates

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Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/19062

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DC Field	Value	Language
dc.contributor.advisor	Pandey, Ajay
dc.contributor.author	R., Arvind Saran
dc.contributor.author	Kumar, Amit
dc.date.accessioned	2017-03-09T10:50:49Z
dc.date.available	2017-03-09T10:50:49Z
dc.date.copyright	2004
dc.date.issued	2004
dc.identifier.uri	http://hdl.handle.net/11718/19062
dc.description.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.	en_US
dc.language.iso	en	en_US
dc.publisher	Indian Institute of Management Ahmedabad	en_US
dc.relation.ispartofseries	SP;001055
dc.subject	Equivalent Recovery model	en_US
dc.subject	Hull and white model	en_US
dc.title	Comparison of CDS prices for different valuation models and hazard rates	en_US
dc.type	Student Project	en_US
Appears in Collections:	Student Projects

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