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Using CDS spreads as a benchmark for credit risk figures - Improving the validation of low-default portfolios

Loohuis, Niek (2013) Using CDS spreads as a benchmark for credit risk figures - Improving the validation of low-default portfolios.

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Abstract:The goal of this research is to improve the validation process of credit risk models used for low-default portfolios. To achieve this goals credit default swap (CDS) spreads are used as a benchmark for credit figures.
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:85 business administration, organizational science
Programme:Industrial Engineering and Management MSc (60029)
Link to this item:http://purl.utwente.nl/essays/63493
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