Document Type masters report Author Name Liu, Xinjia URN etd-010808-160914 Title Pricing of Multi-Name Credit Derivatives Using Copulas Degree MS Department Mathematical Sciences Advisors Domokos Vermes, Advisor Bogdan Vernescu, Co-Advisor Keywords first-to-default baskets multi-name credit derivatives copula functions Date of Presentation/Defense 2008-01-11 Availability unrestricted
The goal of this project is to price multi-name credit derivatives using a copula approach. The properties and advantage copula functions have to other traditional methods are carefully evaluated. Monte Carlo simulations are studied and performed to obtain numerical results for copula functions with explicit and implicit forms. A model was developed to price a basic form of a first-to-default basket using different copula functions. The outcomes are analyzed and comparisons are carried out.
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