Title page for ETD etd-010808-160914

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
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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