Li's Copula model for CDS and CDO default intensities and loss function

Version 1.1.0.0 (654 KB) by Francesco Da Vinci
Copula functions for credit loss distribution and default intensities of CDS
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Updated 17 Jun 2014

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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 .

MATLAB Release Compatibility
Created with R2013b
Compatible with any release
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Assignments - Martoccia/

Version Published Release Notes
1.1.0.0

I introduced further lines of code to stabilize the binomial loss distribution of the second to default basket CDS seller.

1.0.0.0