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An investigation into the mechanics and pricing of credit derivatives

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dc.contributor.advisor Swart, B. Eraman, Direen 2010-04-20T13:08:18Z 2010-04-20T13:08:18Z 2009-11
dc.identifier.citation Eraman, Direen (2009) An investigation into the mechanics and pricing of credit derivatives, University of South Africa, Pretoria, <> en
dc.description.abstract With the exception of holders of default-free instruments, a key risk run by investors is credit risk. To meet the need of investors to hedge this risk, the market uses credit derivatives. The South African credit derivatives market is still in its infancy and only the very simplistic instruments are traded. One of the reasons is due to the technical sophistication required in pricing these instruments. This dissertation introduces the key concepts of risk neutral probabilities, arbitrage free pricing, martingales, default probabilities, survival probabilities, hazard rates and forward spreads. These mathematical concepts are then used as a building block to develop pricing formulae which can be used to infer valuations to the most popular credit derivatives in the South African financial markets. en
dc.format.extent 1 online resource (97 leaves :|bill.)
dc.language.iso en en
dc.subject Risk neutral probabilities en
dc.subject Arbitrage free pricing en
dc.subject Martingales en
dc.subject Default probabilities en
dc.subject Survival probabilities en
dc.subject Hazard rates en
dc.subject Forward spreads en
dc.subject Credit derivatives en
dc.subject Default digital swaps en
dc.subject Asset swap packages en
dc.subject.ddc 332.7
dc.subject.lcsh Credit -- Management
dc.subject.lcsh Portfolio management
dc.subject.lcsh Risk management
dc.title An investigation into the mechanics and pricing of credit derivatives en
dc.type Dissertation en
dc.description.department Operations Research M.Sc. (Operations Research)

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