{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/36001"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/36001","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Credit default swaps in a roll-over risk framework","abstract":"Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form.","abstract_html":"Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form.","abstract_has_math":false,"creators":["Petersen, Nicholas"],"institution":"Department of Finance and Tax","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Backwell, Alex"],"committee_chairs":[],"committee_members":[],"year":2021,"date_issued":"2021","date_published":"2021","updated_at":"2026-07-24T01:33:39Z","subjects":["finance and tax"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/36001","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Backwell, Alex"]},{"key":"dc:creator","label":"Author","values":["Petersen, Nicholas"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2022-03-09T14:51:47Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2022-03-09T14:51:47Z"]},{"key":"dc:date.issued","label":"Date","values":["2021"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Finance and Tax"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters","MPhil"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["finance and tax"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/36001"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form."]},{"key":"dc:title","label":"Title","values":["Credit default swaps in a roll-over risk framework"]}]}],"canonical_facts":{"dc:contributor.advisor":["Backwell, Alex"],"dc:creator":["Petersen, Nicholas"],"dc:date.accessioned":["2022-03-09T14:51:47Z"],"dc:date.available":["2022-03-09T14:51:47Z"],"dc:date.issued":["2021"],"dc:description.abstract":["Spreads between swap legs referencing floating cashflows of different tenors have widened significantly since the global financial crisis of 2008. This frequency basis can be explained by the presence of “roll-over risk”. Defining the roll-over risk state variables in an affine form, this dissertation prices a credit default swap using an “affine transform” methodology. This price is then compared to that obtained from a traditional Monte Carlo simulation approach. The former is shown to produce accurate results with greater computational efficiency, providing a useful way to price complex financial instruments when the state variables are defined in an appropriate form."],"dc:identifier.uri":["http://hdl.handle.net/11427/36001"],"dc:publisher.department":["Department of Finance and Tax"],"dc:subject":["finance and tax"],"dc:title":["Credit default swaps in a roll-over risk framework"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters","MPhil"]},"updated_at":"2026-07-24T01:33:39Z"}