Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation

Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation

This article aims to discuss some basics in field of credit modeling, specifically the pricing issue of FtD contract. We demonstrate how the popular copula approach is used in pricing FtD contract, and give a stimulation example of such practice based on SAS 9.1.

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Veröffentlicht in:arXiv.org 2013-10
1. Verfasser: Sheng, Yiran
Format: Artikel
Sprache:eng
Schlagworte:
Monte Carlo simulation
Pricing
Stimulation
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Zusammenfassung:This article aims to discuss some basics in field of credit modeling, specifically the pricing issue of FtD contract. We demonstrate how the popular copula approach is used in pricing FtD contract, and give a stimulation example of such practice based on SAS 9.1.
ISSN:2331-8422