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Dokumenttyp:
Masterarbeit
Autor(en):
Kunze, Matthias
Titel:
Implied Recovery Models - Application of three different Implied Recovery Models to pre-default CDS Spreads of distressed Companies
Abstract:
In most CDS pricing approaches, recovery is assumed to be constant and exogenously given, whereas default probabilities are inferred from market quotes. In this thesis, three different credit models are presented which can be used to bootstrap implied recovery information under the risk neutral measure Q from the term structure of market spreads. None of the models requires to assess default probabilities or the recovery beforehand. The models are applied to pre-default market data o...     »
Aufgabensteller:
Prof. Dr. Matthias Scherer
Betreuer:
Peter Hieber
Jahr:
2012
Hochschule / Universität:
Technische Universität München
Fakultät:
Fakultät für Mathematik
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Bearbeitungsbeginn:
01.11.2012
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