Modelling dependance in collateralied debt obligations with copulas

Modelling dependance in collateralied debt obligations with copulas

In this paper we provide a review of credit derivatives, and some of the tools used to model them. We give a basic introduction to copulas and how they are used to model the depedence between single name credit derivatives. We then investigate various features of Gaussian and t copula dependence usi...

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Bibliographic Details
Main Author: Linley, Christopher
Other Authors: Becker, Ronald
Format: Dissertation
Language:English
Published: University of Cape Town 2014
Subjects:
Financial Mathematics
Online Access:http://hdl.handle.net/11427/4903
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spelling ndltd-netd.ac.za-oai-union.ndltd.org-uct-oai-localhost-11427-49032020-10-06T05:11:13Z Modelling dependance in collateralied debt obligations with copulas Linley, Christopher Becker, Ronald Financial Mathematics In this paper we provide a review of credit derivatives, and some of the tools used to model them. We give a basic introduction to copulas and how they are used to model the depedence between single name credit derivatives. We then investigate various features of Gaussian and t copula dependence using numerical results obtained from Monte-Carlo simulation. 2014-07-31T08:08:51Z 2014-07-31T08:08:51Z 2010 Master Thesis Masters MSc http://hdl.handle.net/11427/4903 eng application/pdf University of Cape Town Faculty of Science Department of Mathematics and Applied Mathematics
collection NDLTD
language English
format Dissertation
sources NDLTD
topic Financial Mathematics
spellingShingle Financial Mathematics
Linley, Christopher
Modelling dependance in collateralied debt obligations with copulas
description In this paper we provide a review of credit derivatives, and some of the tools used to model them. We give a basic introduction to copulas and how they are used to model the depedence between single name credit derivatives. We then investigate various features of Gaussian and t copula dependence using numerical results obtained from Monte-Carlo simulation.
author2 Becker, Ronald
author_facet Becker, Ronald
Linley, Christopher
author Linley, Christopher
author_sort Linley, Christopher
title Modelling dependance in collateralied debt obligations with copulas
title_short Modelling dependance in collateralied debt obligations with copulas
title_full Modelling dependance in collateralied debt obligations with copulas
title_fullStr Modelling dependance in collateralied debt obligations with copulas
title_full_unstemmed Modelling dependance in collateralied debt obligations with copulas
title_sort modelling dependance in collateralied debt obligations with copulas
publisher University of Cape Town
publishDate 2014
url http://hdl.handle.net/11427/4903
work_keys_str_mv AT linleychristopher modellingdependanceincollateralieddebtobligationswithcopulas
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