Modelling dependance in collateralied debt obligations with copulas
Master Thesis
2010
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University of Cape Town
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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.
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Linley, C. 2010. Modelling dependance in collateralied debt obligations with copulas. University of Cape Town.