ETD

Archivio digitale delle tesi discusse presso l'Università di Pisa

Tesi etd-11192019-223436


Tipo di tesi
Tesi di laurea magistrale
Autore
HOANG, VU PHUONG
URN
etd-11192019-223436
Titolo
A revised version of the Cathcart & El-Jahel model, Application to CDS market
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
ECONOMICS
Relatori
relatore Dott. Radi, Davide
Parole chiave
  • Defaultable bond
  • CDS
  • Credit Risk
Data inizio appello
09/12/2019
Consultabilità
Non consultabile
Data di rilascio
09/12/2089
Riassunto
The main objective of this thesis is to derive a closed form solution for pricing defaultable bond and credit default swaps (CDSs) using a revised version of the middle approach model proposed by Cathcart-El Jahel (2004). In particular, we modify the original model by using the Vasicek model instead of the Cox-Ingersoll-Ross (CIR) model to account for possible negative Euribor interest rate that recently occured. Moreover, to test for the goodness-of-fit of model, we first implement the Maximal Likelihood Estimation (MLE) method to estimate parameters of Vasicek process, then by the explicit formula of CDSs derived, we estimate the remaning parameters of structural component by fitting with CDSs market data. The result obtained show a high satisfactory agreement between the result and market data. Besides, the closed form solution ensures a very fast implementation which is essential for practical purposes.
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