Please use this identifier to cite or link to this item:
Title: Applications of actuarial techniques to credit default swap pricing
Authors: Lim, Zheng Xian
Chew, Wee Jia
S Theven Subramaniam
Keywords: DRNTU::Business::Finance::Actuarial science
Issue Date: 2012
Abstract: The objective of this project is to investigate the credit spread of credit default swaps by using actuarial techniques. The group quantifies the CDS spread by firstly calculating the default rates of selected bonds using actuarial means of calculating mortality rates of bonds. The default rates were then smoothed before inputting into a pricing model to calculate the CDS spread of a Credit Default Swap Index (Markit CDX). This spread is then compared to the current Markit CDX spread.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

Files in This Item:
File Description SizeFormat 
  Restricted Access
548.71 kBAdobe PDFView/Open

Page view(s)

checked on Oct 1, 2020


checked on Oct 1, 2020

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.