Student Seminar Series - September 21, 2006
University of Minnesota
School of Statistics
College of Liberal Arts
A
Copula Application in Credit Derivatives Pricing
Tianyun
Zhou
Thursday, September 21, 2006
10:00 AM, 300
Ford Hall
Minneapolis, East Bank Campus
Abstract
A copula is a function which joins or “couples” a multivariate
distribution function to its one-dimensional marginal distribution
functions. The copula method has recently become the most significant
instrument to describe the dependence structure of market movement,
risk factors and other variables in finance.
The credit derivatives market has experienced considerable growth over
the past 10 years. People realized the Copula method for modeling
and pricing a multidimensional problem, such as CDO (collateralized
debt obligation) or basket default swaps, plays a very important role.
This paper is a study for implementing the copula methods for modeling
credit derivatives in the financial market.