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.language.iso eng
dc.subject.other Financial Mathematics en_ZA
dc.title Modelling dependance in collateralied debt obligations with copulas en_ZA
dc.type Master Thesis
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
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Linley, C. (2010). <i>Modelling dependance in collateralied debt obligations with copulas</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4903 en_ZA
dc.identifier.chicagocitation Linley, Christopher. <i>"Modelling dependance in collateralied debt obligations with copulas."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2010. http://hdl.handle.net/11427/4903 en_ZA
dc.identifier.vancouvercitation Linley C. Modelling dependance in collateralied debt obligations with copulas. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2010 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4903 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Linley, Christopher AB - 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. DA - 2010 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2010 T1 - Modelling dependance in collateralied debt obligations with copulas TI - Modelling dependance in collateralied debt obligations with copulas UR - http://hdl.handle.net/11427/4903 ER - en_ZA


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