dc.contributor.advisor Pasik-Duncan, Bozenna dc.contributor.author Welch, Nathan M. dc.date.accessioned 2013-09-29T17:01:03Z dc.date.available 2013-09-29T17:01:03Z dc.date.issued 2013-08-31 dc.date.submitted 2013 dc.identifier.other http://dissertations.umi.com/ku:12863 dc.identifier.uri http://hdl.handle.net/1808/12265 dc.description.abstract In the pricing of credit derivatives default is modelled as a stopping time and prices are typically determined by separation of cash-flows before and at default. In a general risk-neutral valuation setting, this technique suggests the decomposition of an asset which holds even if the asset is not credit-sensitive. The rebate value process is introduced and related to the price of an asset before and after default. The financial interpretation of this process is different depending on the type of asset decomposed. An interpretation of recovery is illustrated by pricing several standard credit-sensitive assets including a risky coupon bond and a credit default swap (CDS). An interpretation of insurance is illustrated by pricing the complements of the credit building blocks'' with respect to the stopping time. Several applications of these complements are presented including a risky interest rate swap and a full-recovery CDS. dc.format.extent 46 pages dc.language.iso en dc.publisher University of Kansas dc.rights This item is protected by copyright and unless otherwise specified the copyright of this thesis/dissertation is held by the author. dc.subject Mathematics dc.subject Finance dc.subject Credit derivatives dc.subject Enlargement of filtration dc.subject Hazard process dc.subject Mathematical finance dc.subject Mathematics of credit dc.subject Recovery dc.title The Rebate Value Process with Some Applications dc.type Thesis dc.contributor.cmtemember Pasik-Duncan, Bozenna dc.contributor.cmtemember Duncan, Tyrone E. dc.contributor.cmtemember Katz, Daniel dc.thesis.degreeDiscipline Mathematics dc.thesis.degreeLevel M.A. kusw.oastatus na kusw.oapolicy This item does not meet KU Open Access policy criteria. dc.rights.accessrights openAccess
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