Valuing Credit Default Swaps with a Structural Approach
Valuing single-name Credit Default Swaps (CDS) is a dicult task since in order to make a fair valuation, one needs to assess the credit risk of the corresponding company. Many dierent models exist when it comes to modelling the credit risk, this report specically focuses on the branch of models named structural models. The aim of this thesis is to, for a number of companies, model the CDSspreads g