• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Modelling of spreads on CDS

ФИО студента: Lev Kuklev

Руководитель: Dmitriy Alexandrovich Kachalov

Кампус/факультет: International College of Economics and Finance

Программа: Bachelor

Год защиты: 2014

<p>The main purpose of this work is understanding of main features of spreads on Credit Default Swap (CDS) including factors determining its value. There are two main approaches to valuation of spread considered: option based model and expected payments valuation. It is assumed that two methods can be merged, because these models consider different properties of CDS. Combined model is not a precise calculation of the spread value, but it gives major understanding of factors influencing its value. Linear regression is used to test the significance of factors and the signs of its&#39; coefficients. As a result, the part of factors have significant and consistent effect, but several hypotheses have been rejected.</p>

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses