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.
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uct/oai:localhost:11427/4903 |
| Date | January 2010 |
| Creators | Linley, Christopher |
| Contributors | Becker, Ronald |
| Publisher | University of Cape Town, Faculty of Science, Department of Mathematics and Applied Mathematics |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Master Thesis, Masters, MSc |
| Format | application/pdf |
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