The goal of this project is to price multi-name credit derivatives using a copula approach. The properties and advantage copula functions have to other traditional methods are carefully evaluated. Monte Carlo simulations are studied and performed to obtain numerical results for copula functions with explicit and implicit forms. A model was developed to price a basic form of a first-to-default basket using different copula functions. The outcomes are analyzed and comparisons are carried out.
Worcester Polytechnic Institute
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Liu, Xinjia, "Pricing of Multi-Name Credit Derivatives Using Copulas" (2008). Masters Theses (All Theses, All Years). 27.
first-to-default baskets, multi-name credit derivatives, copula functions, Credit derivatives, Monte Carlo method