Fitting Survival Probability Models 1.0

Date Added: June 29, 2013 | Visits: 314

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This is a MATLAB(R) implementation of the ideas discussed in Lopez-Calva, G. and K. Shea, "Fitting Survival Probability Models," WILMOTT Magazine, issue 45, pp. 16-22.We estimate the parameters of three different survival probability models based on credit default swap (CDS) spreads. The parameters of the models are fitted using a nonlinear least-squares solver. For the standard model, a bootstrapping technique is also implemented, for comparisons. The mark-to-market (MtM) of an existing CDS contract is also calculated under the three alternative survival models. Code for a general survival model is provided, though it is not used in the main demo.Dependencies: This demo uses functionality from the Financial Toolbox(TM), Fixed-Income Toolbox(TM) and Optimization Toolbox(TM).

Requirements: No special requirements

Platforms: Matlab

Keyword: Bootstrapping, Comparisons, Contract, Existing, Implemented, Leastsquares, Marktomarket, Solver, Standard, Technique

Users rating: 0/10

License: Shareware

Size: 10 KB

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