Modelling default-risky bonds

dc.contributor.advisorSwart, B.en
dc.contributor.emailupetd@ais.up.ac.zaen
dc.contributor.postgraduateMagwegwe, Frank Mashokoen
dc.date.accessioned2013-09-07T06:27:26Z
dc.date.available2005-07-26en
dc.date.available2013-09-07T06:27:26Z
dc.date.created2003-04-01en
dc.date.issued2006-07-26en
dc.date.submitted2005-07-22en
dc.descriptionDissertation (MSc (Mathematics of Finance))--University of Pretoria, 2006.en
dc.description.abstractIn 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.availabilityunrestricteden
dc.description.departmentMathematics and Applied Mathematicsen
dc.identifier.citationMagwegwe, F 2003, Modelling default-risky bonds, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/26531 >en
dc.identifier.upetdurlhttp://upetd.up.ac.za/thesis/available/etd-07222005-123437/en
dc.identifier.urihttp://hdl.handle.net/2263/26531
dc.language.isoen
dc.publisherUniversity of Pretoriaen_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.subjectRisk assessment computer simulationen
dc.subjectUCTDen_US
dc.titleModelling default-risky bondsen
dc.typeDissertationen

Files

Original bundle

Now showing 1 - 5 of 9
Loading...
Thumbnail Image
Name:
00front.pdf
Size:
735.34 KB
Format:
Adobe Portable Document Format
Loading...
Thumbnail Image
Name:
01chapter1.pdf
Size:
795.8 KB
Format:
Adobe Portable Document Format
Loading...
Thumbnail Image
Name:
02chapter2.pdf
Size:
779.76 KB
Format:
Adobe Portable Document Format
Loading...
Thumbnail Image
Name:
03chapter3.pdf
Size:
1.03 MB
Format:
Adobe Portable Document Format
Loading...
Thumbnail Image
Name:
04chapter4.pdf
Size:
1.38 MB
Format:
Adobe Portable Document Format