Please use this identifier to cite or link to this item:
https://hdl.handle.net/2440/50729
Type: | Thesis |
Title: | Copulas for credit derivative pricing and other applications. |
Author: | Crane, Glenis Jayne |
Issue Date: | 2009 |
School/Discipline: | School of Mathematical Sciences : Applied Mathematics |
Abstract: | Copulas are multivariate probability distributions, as well as functions which link marginal distributions to their joint distribution. These functions have been used extensively in finance and more recently in other disciplines, for example hydrology and genetics. This study has two components, (a) the development of copula-based mathematical tools for use in all industries, and (b) the application of distorted copulas in structured finance. In the first part of this study, copulabased conditional expectation formulae are described and are applied to small data sets from medicine and hydrology. In the second part of this study we develop a method of improving the estimation of default risk in the context of collateralized debt obligations. Credit risk is a particularly important application of copulas, and given the current global financial crisis, there is great motivation to improve the way these functions are applied. We compose distortion functions with copula functions in order to obtain greater flexibility and accuracy in existing pricing algorithms. We also describe an n-dimensional dynamic copula, which takes into account temporal and spatial changes. |
Advisor: | van der Hoek, John Filinkov, Alexei |
Dissertation Note: | Thesis (Ph.D.) - University of Adelaide, School of Mathematical sciences, 2009 |
Subject: | Copulas (Mathematical statistics) Credit derivatives |
Keywords: | copulas; multivariate distributions; credit risk; expectation; aggregate functions |
Provenance: | This electronic version is made publicly available by the University of Adelaide in accordance with its open access policy for student theses. Copyright in this thesis remains with the author. This thesis may incorporate third party material which has been used by the author pursuant to Fair Dealing exception. If you are the author of this thesis and do not wish it to be made publicly available or If you are the owner of any included third party copyright material you wish to be removed from this electronic version, please complete the take down form located at: http://www.adelaide.edu.au/legals |
Appears in Collections: | Research Theses |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
01front.pdf | 74.68 kB | Adobe PDF | View/Open | |
02whole.pdf | 1.13 MB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.