Copula and default correlation

Publication Year:
2010
Usage 48
Downloads 43
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Repository URL:
https://digitalcommons.lsu.edu/gradschool_theses/4258
Author(s):
Yan, Dongxiang
Tags:
Wick's theorem; default correlation; conditional joint distribution
thesis / dissertation description
This work presents a study of copulas, with special focus on the Gaussian copula model and its behavior under a certain conditioning process. Simulations are carried out to examine the behavior of the moments on conditional copula model, as measured by the behavior of Wick identities which hold for multivariate Gaussians.