Abstract
With the developing of domestic financial market, every type of derivatives is continually imported from other countries. These new derivatives cause market participants no longer to be strange regarding each kind of emerging financial commodities, promote the diversification of financial produces, and provide more tools to help investors manage their assets efficiently. In the past, the traditional ways to deal with credit risk only solve some problems, so the credit derivatives are created. The growing of credit derivatives market has driven the research of the commodities. The most important work is to evaluate the credit risk and then we can appraise the credit derivatives. Therefore, the purposes of this thesis are to evaluate the credit default swap spread with the Intensity Model, and try to provide a reasonable price of the credit default swap spread. We also discuss the factors which affect the price. There are two divisions in this thesis. First, we hope have a closed-form solution to price a credit swap at the beginning of the contract, and how the coefficients of random process and the maturity of the contract influence the price. Second, we want to get the value of the credit swap during the period and discuss how the intensity and interest rate affect the value. The main conclusions we find include: (1) The coefficients of jump-diffusion process have a notable influence on the price of CDS at the beginning; (2) The higher the intensity is, the higher the value of CDS during the period appears.