Modelling default-risky bonds

Modelling default-risky bonds

dc.contributor.advisor	Swart, B.	en
dc.contributor.email	upetd@ais.up.ac.za	en
dc.contributor.postgraduate	Magwegwe, Frank Mashoko	en
dc.date.accessioned	2013-09-07T06:27:26Z
dc.date.available	2005-07-26	en
dc.date.available	2013-09-07T06:27:26Z
dc.date.created	2003-04-01	en
dc.date.issued	2006-07-26	en
dc.date.submitted	2005-07-22	en
dc.description	Dissertation (MSc (Mathematics of Finance))--University of Pretoria, 2006.	en
dc.description.abstract	In this dissertation, we examine current models used to value default-risky bonds. These models include both the structural and the reduced-form approaches. We begin by examining various issues involved in modelling credit risk and pricing credit derivatives. We then explore the various dimensions of structural models and reduced-form models and we provide an overview of four models presented in the literature on credit risk modelling. Both the theoretical and empirical research on default-risky bond valuation is summarized. Finally, we make suggestions for improving on the credit risk models discussed.	en
dc.description.availability	unrestricted	en
dc.description.department	Mathematics and Applied Mathematics	en
dc.identifier.citation	Magwegwe, F 2003, Modelling default-risky bonds, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/26531 >	en
dc.identifier.upetdurl	http://upetd.up.ac.za/thesis/available/etd-07222005-123437/	en
dc.identifier.uri	http://hdl.handle.net/2263/26531
dc.language.iso		en
dc.publisher	University of Pretoria	en_ZA
dc.rights	© 2003, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria.	en
dc.subject	Risk assessment computer simulation	en
dc.subject	UCTD	en_US
dc.title	Modelling default-risky bonds	en
dc.type	Dissertation	en