Identifier

etd-010808-160914

Abstract

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.

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2008-01-08

Accessibility

Unrestricted

Subjects

first-to-default baskets, multi-name credit derivatives, copula functions, Credit derivatives, Monte Carlo method

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