Estimating credit default swap spreads from equity data

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dc.contributor.advisorCunanne, Stevenen_ZA
dc.contributor.authorKooverjee, Jateenen_ZA
dc.date.accessioned2014-10-17T10:09:54Z
dc.date.available2014-10-17T10:09:54Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractCorporate bonds are an attractive form of investment as they provide higher returns than government bonds. This increase in returns is usually associated with an increase in risk. These risks include liquidity, market and credit risk. This dissertation will focus on the modelling of a corporate bond's credit risk by considering how to estimate the credit default swap (CDS) spread of a firm's bond. A structural credit model will be used to do this. In this dissertation, we implement an extension of Merton's model by Hull, Nelken and White (2004), which is based on the use of the implied volatilities of options on the company's stock to estimate model parameters. Such an approach provides an insight into the relationship between credit markets and options markets.en_ZA
dc.identifier.apacitationKooverjee, J. (2014). <i>Estimating credit default swap spreads from equity data</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/8525en_ZA
dc.identifier.chicagocitationKooverjee, Jateen. <i>"Estimating credit default swap spreads from equity data."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/8525en_ZA
dc.identifier.citationKooverjee, J. 2014. Estimating credit default swap spreads from equity data. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Kooverjee, Jateen AB - Corporate bonds are an attractive form of investment as they provide higher returns than government bonds. This increase in returns is usually associated with an increase in risk. These risks include liquidity, market and credit risk. This dissertation will focus on the modelling of a corporate bond's credit risk by considering how to estimate the credit default swap (CDS) spread of a firm's bond. A structural credit model will be used to do this. In this dissertation, we implement an extension of Merton's model by Hull, Nelken and White (2004), which is based on the use of the implied volatilities of options on the company's stock to estimate model parameters. Such an approach provides an insight into the relationship between credit markets and options markets. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Estimating credit default swap spreads from equity data TI - Estimating credit default swap spreads from equity data UR - http://hdl.handle.net/11427/8525 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8525
dc.identifier.vancouvercitationKooverjee J. Estimating credit default swap spreads from equity data. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8525en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleEstimating credit default swap spreads from equity dataen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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