Fitting Survival Probability Models

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Companion code for "Fitting Survival Probability Models" article.
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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).

Citation pour cette source

Gabo (2024). Fitting Survival Probability Models (https://www.mathworks.com/matlabcentral/fileexchange/26905-fitting-survival-probability-models), MATLAB Central File Exchange. Extrait(e) le .

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