Published November 30, 2022
| Version v1
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Normal Copula Model
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Description
As a well known default correlation model, the normal copula provides an alternative method to the Poisson model in generating correlated default events of a collateral pool. It is implemented using the Monte Carlo (MC) simulation. The testing was conducted by implementing an independent test model using the MC simulation. The results of two sample trades, generated by the test model and the model, respectively, were compared. The MC implementation was also verified by the closed form solutions and the Poisson model.
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NormalCopula.pdf
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