Please use this identifier to cite or link to this item:
Title: Analysis of Equity Default Swaps Pricing
Keywords: credit,derivatives,equity,default,swaps,pricing
Issue Date: 14-Aug-2009
Citation: JITENDRA DATTATRAY BHANAP (2009-08-14). Analysis of Equity Default Swaps Pricing. ScholarBank@NUS Repository.
Abstract: Equity default swaps are quasi credit financial instruments. With the 2008 financial turmoil in the credit markets, credit derivatives have attracted the attention of investors and regulators and have drawn concerns regarding their complexity and pricing opacity. Defaults and default correlation are not directly observable making credit derivatives modeling and pricing a challenging area. As against this the underlying variable in equity default swaps (equity prices and their correlations) are directly observable in the markets. The Equity Default Swap could prove to be a valuable component in the area of credit derivatives and would make a powerful balancing component to the credit default swaps market. In this thesis, the pricing of equity default swaps through two major approaches, the structural approach and the equity pricing model approach have been empirically tested with actual observed equity default swaps market data. Suitable models for pricing have been analyzed and proposed with appropriate modifications.
Appears in Collections:Ph.D Theses (Open)

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
Thesis.pdf8.21 MBAdobe PDF



Page view(s)

checked on Apr 18, 2019


checked on Apr 18, 2019

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.