Browsing by Author "Linley, Christopher"

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    Modelling dependance in collateralied debt obligations with copulas
    (2010) Linley, Christopher; Becker, Ronald
    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.