Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Modelling dependance in collateralied debt obligations with copulas
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 usi...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613249280671744 |
|---|---|
| access_status_str | Open Access |
| author | Linley, Christopher |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Linley, Christopher |
| author_facet | Becker, Ronald Linley, Christopher |
| author_sort | Linley, Christopher |
| collection | Thesis |
| description | 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. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4903 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:08.525Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4903 Modelling dependance in collateralied debt obligations with copulas Linley, Christopher Becker, Ronald Financial Mathematics 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. 2014-07-31T08:08:51Z 2014-07-31T08:08:51Z 2010 Master Thesis Masters MSc http://hdl.handle.net/11427/4903 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Financial Mathematics Linley, Christopher Modelling dependance in collateralied debt obligations with copulas |
| thesis_degree_str | Master's |
| title | Modelling dependance in collateralied debt obligations with copulas |
| title_full | Modelling dependance in collateralied debt obligations with copulas |
| title_fullStr | Modelling dependance in collateralied debt obligations with copulas |
| title_full_unstemmed | Modelling dependance in collateralied debt obligations with copulas |
| title_short | Modelling dependance in collateralied debt obligations with copulas |
| title_sort | modelling dependance in collateralied debt obligations with copulas |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/4903 |
| work_keys_str_mv | AT linleychristopher modellingdependanceincollateralieddebtobligationswithcopulas |