Hello,I'm doing my proposal about CDS for my Phd. To be honest, I have little knowledge about this topic, but I'm very interested in it. I really need your help. I read the paper 'An Empirical Stucy of Credit Default Swaps' by Skinner and Diaz and found that they use Duffie and Singleton (1999) and Jarrow and Turnbul (1995) models to price CDS. I would like to know whether these two models have the same objective (to price CDS) as capola, etc. If they are the same, I think I will use such two models because I don't have background in stochastic and advanced mathematics.Moreover, Do you have any idea if I want to do about CDS but don't want to touch much on mathematics (because I don't have strong background in mathmatics). I think it's better for me to do proposal on more descriptive instead of math.Please help me...thank you very much

Hi vantan,The papers you are mentioning are the ones to model the "Credit Risk", they are not good resources to have knowledge about how to price a CDS contract. The two models proposed in JT95 and DS99 basically have the same objective (to price a defaultable zero coupon bond) but they have different approaches for "recovery modelling" upon default. JT95 assumes a constant recovery rate and uses the "recovery with treasury zero-coupon bonds assumption", whereas DS assumes the "recovery of Market value" approach, where it is believed that upon default, the risky bond holder receives a fraction of the market value of the defaulted bond, just before the default event occured. The recent empirical work shows that the Recovery of Market Value (RMV) provides better pricing. I strongly believe that you will be touching to mathematics a lot if yor proposal is about "pricing the CDS". But i have a descriptive thesis about CDS, if you provide me your email, i can send you this file.cheers,

Hi Baydar,Thank you very very much for your reply. I agree with you that if I do about pricing CDS, I have to do many mathematics. But the thing is I'm worried that if I do only descriptive, it will not enough.....so I'm thinking about doing mainly on descriptive, and little about pricing. Do you think it this okay, and what if I use two model that I mention, is it ok?Thank you very much again. I'm very aprreciated your helpvantan

what subject is your PhD in?You can't discuss models in depth without using mathematics, just the basic assumptions about recovery etc. Also the moels you mention are for single name CDSs and copulas are used to price structured products like CDOs. There might be mileage in a paper discussing the rise of CDOs and their uses, but I can't see it being a PhD thesis

Hi,Thank you very much for your reply.I know that doing about CDS involves lots of mathematics, and so I try to do more on description of CDS, i.e. the development and the use of CDS in emerging markets, and properly do some pricing by using JT and DF model. Please advise me if this is possible. I have only 1 month left to do my proposal.thank you very much

Hi Baydar,If it's possible, I'm interessed by your thesis on CDS. Can you send me it at battant1@tiscali.fr ?Indeed, I'm trying to compare different approach of retrieving market spread with the markets (bonds, convertibles, CDO and CDS) or with models.Thank you in advance

battant,can you provide me a second email address, this one does not work.cheers

Can you try at batant@tiscali.frThanks one again.

baydar - would love to see your theses. can you email at rks74us@yahoo.com?thanks.