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dc.contributor.advisorPasik-Duncan, Bozenna
dc.contributor.authorWelch, Nathan M.
dc.date.accessioned2013-09-29T17:01:03Z
dc.date.available2013-09-29T17:01:03Z
dc.date.issued2013-08-31
dc.date.submitted2013
dc.identifier.otherhttp://dissertations.umi.com/ku:12863
dc.identifier.urihttp://hdl.handle.net/1808/12265
dc.description.abstractIn 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.extent46 pages
dc.language.isoen
dc.publisherUniversity of Kansas
dc.rightsThis item is protected by copyright and unless otherwise specified the copyright of this thesis/dissertation is held by the author.
dc.subjectMathematics
dc.subjectFinance
dc.subjectCredit derivatives
dc.subjectEnlargement of filtration
dc.subjectHazard process
dc.subjectMathematical finance
dc.subjectMathematics of credit
dc.subjectRecovery
dc.titleThe Rebate Value Process with Some Applications
dc.typeThesis
dc.contributor.cmtememberPasik-Duncan, Bozenna
dc.contributor.cmtememberDuncan, Tyrone E.
dc.contributor.cmtememberKatz, Daniel
dc.thesis.degreeDisciplineMathematics
dc.thesis.degreeLevelM.A.
kusw.oastatusna
kusw.oapolicyThis item does not meet KU Open Access policy criteria.
dc.rights.accessrightsopenAccess


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