Modelling dependance in collateralied debt obligations with copulas

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dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorLinley, Christopheren_ZA
dc.date.accessioned2014-07-31T08:08:51Z
dc.date.available2014-07-31T08:08:51Z
dc.date.issued2010en_ZA
dc.description.abstractIn 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.identifier.apacitationLinley, 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/11427/4903en_ZA
dc.identifier.chicagocitationLinley, 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/11427/4903en_ZA
dc.identifier.citationLinley, C. 2010. Modelling dependance in collateralied debt obligations with copulas. University of Cape Town.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
dc.identifier.urihttp://hdl.handle.net/11427/4903
dc.identifier.vancouvercitationLinley 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/11427/4903en_ZA
dc.language.isoeng
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleModelling dependance in collateralied debt obligations with copulasen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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