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Credit default swaps in a roll-over risk framework
Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertati...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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| _version_ | 1867613140983742464 |
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| access_status_str | Open Access |
| author | Petersen, Nicholas |
| author2 | Backwell, Alex |
| author_browse | Backwell, Alex Petersen, Nicholas |
| author_facet | Backwell, Alex Petersen, Nicholas |
| author_sort | Petersen, Nicholas |
| collection | Thesis |
| description | Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/36001 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:24.573Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2022 |
| publishDateRange | 2022 |
| publishDateSort | 2022 |
| publisher | Department of Finance and Tax |
| publisherStr | Department of Finance and Tax |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/36001 Credit default swaps in a roll-over risk framework Petersen, Nicholas Backwell, Alex finance and tax Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form. 2022-03-09T14:51:47Z 2022-03-09T14:51:47Z 2021 2022-03-09T14:48:38Z Master Thesis Masters MPhil http://hdl.handle.net/11427/36001 eng application/pdf Department of Finance and Tax Faculty of Commerce |
| spellingShingle | finance and tax Petersen, Nicholas Credit default swaps in a roll-over risk framework |
| thesis_degree_str | Master's |
| title | Credit default swaps in a roll-over risk framework |
| title_full | Credit default swaps in a roll-over risk framework |
| title_fullStr | Credit default swaps in a roll-over risk framework |
| title_full_unstemmed | Credit default swaps in a roll-over risk framework |
| title_short | Credit default swaps in a roll-over risk framework |
| title_sort | credit default swaps in a roll over risk framework |
| topic | finance and tax |
| url | http://hdl.handle.net/11427/36001 |
| work_keys_str_mv | AT petersennicholas creditdefaultswapsinarolloverriskframework |