Credit default swaps in a roll-over risk framework
| dc.contributor.advisor | Backwell, Alex | |
| dc.contributor.author | Petersen, Nicholas | |
| dc.date.accessioned | 2022-03-09T14:51:47Z | |
| dc.date.available | 2022-03-09T14:51:47Z | |
| dc.date.issued | 2021 | |
| dc.date.updated | 2022-03-09T14:48:38Z | |
| dc.description.abstract | Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form. | |
| dc.identifier.apacitation | Petersen, N. (2021). <i>Credit default swaps in a roll-over risk framework</i>. (). ,Faculty of Commerce ,Department of Finance and Tax. Retrieved from http://hdl.handle.net/11427/36001 | en_ZA |
| dc.identifier.chicagocitation | Petersen, Nicholas. <i>"Credit default swaps in a roll-over risk framework."</i> ., ,Faculty of Commerce ,Department of Finance and Tax, 2021. http://hdl.handle.net/11427/36001 | en_ZA |
| dc.identifier.citation | Petersen, N. 2021. Credit default swaps in a roll-over risk framework. . ,Faculty of Commerce ,Department of Finance and Tax. http://hdl.handle.net/11427/36001 | en_ZA |
| dc.identifier.ris | TY - Master Thesis AU - Petersen, Nicholas AB - Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form. DA - 2021 DB - OpenUCT DP - University of Cape Town KW - finance and tax LK - https://open.uct.ac.za PY - 2021 T1 - Credit default swaps in a roll-over risk framework TI - Credit default swaps in a roll-over risk framework UR - http://hdl.handle.net/11427/36001 ER - | en_ZA |
| dc.identifier.uri | http://hdl.handle.net/11427/36001 | |
| dc.identifier.vancouvercitation | Petersen N. Credit default swaps in a roll-over risk framework. []. ,Faculty of Commerce ,Department of Finance and Tax, 2021 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/36001 | en_ZA |
| dc.language.rfc3066 | eng | |
| dc.publisher.department | Department of Finance and Tax | |
| dc.publisher.faculty | Faculty of Commerce | |
| dc.subject | finance and tax | |
| dc.title | Credit default swaps in a roll-over risk framework | |
| dc.type | Master Thesis | |
| dc.type.qualificationlevel | Masters | |
| dc.type.qualificationlevel | MPhil |