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Introduction

Credit default swaps (CDS) have become an important tool in managing credit risk in financial markets. These financial instruments allow investors to hedge against the risk of default on underlying assets such as bonds or loans. The pricing of credit default swaps is crucial for investors, as it determines the cost of insuring against credit defaults. Various pricing models have been developed to estimate the fair value of CDS contracts, taking into account factors such as credit risk, term structure, and market conditions.

This thesis aims to explore and analyze different credit default swap pricing models, comparing their effectiveness and accuracy in valuing CDS contracts. By examining the strengths and weaknesses of these models, this study will provide insights into the best practices for pricing credit default swaps in financial markets.

Table of Contents

1.1 Introduction
1.2 Background of Study
1.3 Problem Statement
1.4 Objective of Study
1.5 Limitation of Study
1.6 Scope of Study
1.7 Significance of Study
1.8 Structure of the Thesis
1.9 Definition of Terms

Chapter 2: Literature Review
2.1 Overview of Credit Default Swaps
2.2 Historical Development of CDS Pricing Models
2.3 Theoretical Framework for CDS Pricing
2.4 Empirical Studies on CDS Pricing Models
2.5 Comparison of CDS Pricing Models
2.6 Criticisms and Challenges in CDS Pricing
2.7 Regulatory Issues in CDS Market
2.8 Recent Developments in CDS Market
2.9 Summary of Literature Review
2.10 Gaps in Existing Literature

Chapter 3: Research Methodology
3.1 Research Design
3.2 Data Collection
3.3 Variables and Measures
3.4 Model Specification
3.5 Data Analysis Techniques
3.6 Assumptions and Limitations
3.7 Sampling Techniques
3.8 Ethical Considerations

Chapter 4: Discussion of Findings
4.1 Descriptive Analysis
4.2 Regression Results
4.3 Robustness Checks
4.4 Model Comparison
4.5 Interpretation of Results
4.6 Implications for CDS Pricing
4.7 Recommendations for Future Research
4.8 Practical Implications
4.9 Policy Implications

Chapter 5: Conclusion and Summary
5.1 Summary of Findings
5.2 Contributions to Literature
5.3 Practical Implications
5.4 Limitations of the Study
5.5 Future Research Directions
5.6 Conclusion

Thesis Overview on Credit Default Swap Pricing Models

Credit default swaps (CDS) are derivative contracts that allow investors to hedge against the risk of credit default on underlying assets. The pricing of CDS contracts is essential for investors to determine the fair value of insuring against credit risk. This thesis aims to explore and analyze various pricing models for credit default swaps, comparing their effectiveness and accuracy in valuing CDS contracts.

Chapter 1 provides an introduction to the study, outlining the background, problem statement, objectives, limitations, scope, significance, structure of the thesis, and definition of terms. Chapter 2 presents a comprehensive literature review on credit default swaps, including historical development, theoretical framework, empirical studies, criticisms, regulatory issues, recent developments, and gaps in existing literature.

Chapter 3 discusses the research methodology, covering research design, data collection, variables and measures, model specification, data analysis techniques, assumptions, limitations, sampling techniques, and ethical considerations. Chapter 4 presents a detailed discussion of findings, including descriptive analysis, regression results, model comparison, interpretation of results, implications for CDS pricing, recommendations for future research, and practical and policy implications.

Chapter 5 concludes the thesis by summarizing the main findings, contributions to the literature, limitations of the study, future research directions, and overall conclusion. Through this study, insights into the best practices for pricing credit default swaps in financial markets will be provided, enhancing understanding and decision-making in managing credit risk.

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