Browsing Institutt for samfunnsøkonomi by Author "Danciulescu, Cristina"

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A Valuation Method for Credit Default Swaps Using an Extended Version of the Merton Model

Drageseth, Eilif (Master thesis, 2012)

This thesis proposes a credit risk model for credit default swap (CDS) valuation. The standard Merton (1974) model is extended to implement a stationary leverage ratio, a stochastic asset drift rate, and a stochastic, mean ...
Joint Default Probabilities: A Model with Time-varying and Correlated Sharpe Ratios and Volatilities

Myhrer, Øystein (Master thesis, 2012)

The probabilities of joint default among companies are one of the major concerns in credit risk management, mainly because it aects the distribution of loan portfolio losses and is therefore critical when allocating capital ...