creator Yang, Jiarui advisor Duan, Jinqiao This thesis presents a uni ed framework for studying the impact of the correlation between interest rate volatility and counterparty default probability on the credit risk of collateralized interest-rate derivative contracts. A defaultable term structure model is proposed in which the default risk is correlated with interest rate volatility. In particular, an existence and uniqueness theorem of this model is proved. The pricing formula of credit derivatives under the proposed model is derived and the stochastic interest rate model and credit model are calibrated together . Finally, given all the parameters calibrated by the unscented Kalman lter, a sensitivity analysis of the impact of the correlation between interest rate volatility and a counterparty's default probability on the credit risk of collateralized interest-rate derivative contracts is presented. Submitted by Dana Lamparello (dlampare@iit.edu) on 2013-03-06T16:43:03Z No. of bitstreams: 1 JiaruiYangThesis submission.pdf: 1540505 bytes, checksum: 28e12cab628b4ac429aca991ba5f39dd (MD5) Made available in DSpace on 2013-03-06T16:43:03Z (GMT). No. of bitstreams: 1 JiaruiYangThesis submission.pdf: 1540505 bytes, checksum: 28e12cab628b4ac429aca991ba5f39dd (MD5) Previous issue date: 2012-07 Ph.D. in Applied Mathematics, July 2012 2012-07-16 2012-07 http://hdl.handle.net/10560/2944 en Dissertation born digital application/pdf In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access MATH / Applied Mathematics Illinois Institute of Technology Affiliated department