Prices of Credit Default Swaps and the Term Structure of Credit Risk

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1. Prices of Credit Default Swaps and the Term Structure of Credit Risk

Prices of Credit Default Swaps and the Term Structure of Credit Risk by Mary Elizabeth Desrosiers A Professional Master s Project Submitted to the Faculty of the WORCESTER POLYTECHNIC INSTITUTE in partial fulfillment of the requirements for the Degree of Master of Science in Financial Mathematics May 2007 APPROVED Professor Domokos Vermes Advisor Executive Summary Investments in any form of financial product other than a bank deposit at the risk f
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12. Prices of Credit Default Swaps and the Term Structure of Credit Risk

Prices of Credit Default Swaps and the Term Structure of Credit Risk by Mary Elizabeth Desrosiers A Professional Master s Project Submitted to the Faculty of the WORCESTER POLYTECHNIC INSTITUTE in partial fulfillment of the requirements for the Degree of Master of Science in Financial Mathematics May 2007 APPROVED Professor Domokos Vermes Advisor Executive Summary Investments in any form of financial product other than a bank deposit at the risk f
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