Pricing Credit Default Swap as an Interest Rate Option

Student: Raevskiy Andrey

Supervisor: Nick Korzhenevsky

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Master)

Year of Graduation: 2016

This work is devoted to pricing credit default swap as an interest rate option. The paper discusses general advantages and disadvantages of current CDS estimation methods. The paper also covers various approaches of default probability estimation which are used for CDS estimation models. As an alternative for existing models the paper offers a possibility of pricing CDS as an option to the interest rate, based on the market approaches of credit risk estimation.

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