Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation

Yiran Sheng

Papers from arXiv.org

Abstract: 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.

Date: 2013-10
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