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.

Creator

• Liu, Xinjia

Contributors

• Vermes, Domokos

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-010808-160914

Keyword

• first-to-default baskets
• multi-name credit derivatives
• copula functions

Advisor

• Vermes, Domokos

Defense date

• 2008-01-11

Year

• 2008

Date created

• 2008-01-08

Resource type

• Report

Rights statement

• In Copyright