Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-010808-160914

Document Typemasters report
Author NameLiu, Xinjia
TitlePricing of Multi-Name Credit Derivatives Using Copulas
DepartmentMathematical Sciences
  • Domokos Vermes, Advisor
  • Bogdan Vernescu, Co-Advisor
  • Keywords
  • first-to-default baskets
  • multi-name credit derivatives
  • copula functions
  • Date of Presentation/Defense2008-01-11
    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.

  • draft2.pdf

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