Copula and default correlation

Identifier

etd-07082010-153124

Author

Dongxiang Yan, Louisiana State University and Agricultural and Mechanical CollegeFollow

Degree

Master of Science (MS)

Department

Mathematics

Document Type

Thesis

Abstract

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.

Date

2010

Document Availability at the Time of Submission

Release the entire work immediately for access worldwide.

Recommended Citation

Yan, Dongxiang, "Copula and default correlation" (2010). LSU Master's Theses. 4258.
https://repository.lsu.edu/gradschool_theses/4258

Committee Chair

Ambar, Sengupta

DOI

10.31390/gradschool_theses.4258