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Title page for ETD etd-010808-160914


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Author NameLiu, Xinjia
URNetd-010808-160914
TitlePricing of Multi-Name Credit Derivatives Using Copulas
DegreeMS
DepartmentMathematical Sciences
Advisors
  • 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

    Abstract

    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.

    Files
  • draft2.pdf

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