Are copulas the tool for dependence in credit risk modeling
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
This thesis performs an empirical study aimed to compare different dependence structures used in credit risk modeling. Using Monte Carlo simulations and a credit risk model presented in the thesis, the effect of different dependence structures in a portfolio of bonds is analyzed.
Place, publisher, year, edition, pages
IdentifiersURN: urn:nbn:se:su:diva-4892OAI: oai:DiVA.org:su-4892DiVA: diva2:194557