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Credit Default Swaps – Filtering the Components

In: Stochastic Filtering With Applications In Finance

Author

Listed:
  • Ramaprasad Bhar

    (The University of New South Wales, Australia)

Abstract

The following sections are included:Background to Credit Default SwapsWhat is in the Literature Already?Credit Derivatives Market and iTraxx IndicesCDS Index Data and Preliminary AnalysisFocusing on Explanatory VariablesMethodology for Component StructureLatent-Component Model for iTraxx IndicesState Space Model and Stochastic FilteringLinear Regression Model for the Determinants of the CDS ComponentsAnalyzing Empirical ResultsModel Parameters and the Extracted ComponentsDeterminants of the Extracted ComponentsConcluding Summary

Suggested Citation

  • Ramaprasad Bhar, 2010. "Credit Default Swaps – Filtering the Components," World Scientific Book Chapters, in: Stochastic Filtering With Applications In Finance, chapter 8, pages 184-228, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814304863_0008
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