Li's Copula model for CDS and CDO default intensities and loss function
The file Assignment.m contains
- in the first part the Matlab code for deriving the default intensities embedded in the market spread of the CDS of three companies according to piecewise and constant hazard rate models. I also plotted the sensitivity of the hazard rates to the maturity and the recovery rate.
- in the second part the loss ditribution function under Li's copula model of a seller of a second to default basket CDS.
Course: Advanced Tools for Risk Management and Asset Pricing(20263), Prof. M.Bedendo, Bocconi University
Cite As
Francesco Da Vinci (2024). Li's Copula model for CDS and CDO default intensities and loss function (https://www.mathworks.com/matlabcentral/fileexchange/46814-li-s-copula-model-for-cds-and-cdo-default-intensities-and-loss-function), MATLAB Central File Exchange. Retrieved .
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- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions >
- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Industrial Statistics >
- Computational Finance > Risk Management Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Credit Derivatives and Credit Exposures >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Credit Derivatives and Credit Exposures > Counterparty Credit Risk >
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