Credit Default Swaps – Filtering the Components

Ramaprasad Bhar
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Ramaprasad Bhar: The University of New South Wales, Australia

Chapter 8 in Stochastic Filtering with Applications in Finance, 2010, pp 184-228 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe 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

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
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