Modelling dependance in collateralied debt obligations with copulas

 

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dc.contributor.advisor Becker, Ronald en_ZA
dc.contributor.author Linley, Christopher en_ZA
dc.date.accessioned 2014-07-31T08:08:51Z
dc.date.available 2014-07-31T08:08:51Z
dc.date.issued 2010 en_ZA
dc.identifier.citation Linley, C. 2010. Modelling dependance in collateralied debt obligations with copulas. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/4903
dc.description.abstract 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. en_ZA
dc.subject.other Financial Mathematics en_ZA
dc.title Modelling dependance in collateralied debt obligations with copulas en_ZA
dc.type Thesis / Dissertation en_ZA
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Science en_ZA
dc.publisher.department Department of Mathematics and Applied Mathematics en_ZA
dc.type.qualificationlevel Masters en_ZA
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image


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