Title page for ETD etd-07022008-143903


Type of Document Dissertation
Author Meng, Chao
Author's Email Address cmeng@math.lsu.edu, cm544@cornell.edu
URN etd-07022008-143903
Title Stochastic and Copula Models for Credit Derivatives
Degree Doctor of Philosophy (Ph.D.)
Department Mathematics
Advisory Committee
Advisor Name Title
Sengupta, Ambar N. Committee Chair
Cochran, George W. Committee Member
Davidson, Mark G. Committee Member
Perlis, Robert V. Committee Member
Sundar, Padmanaban Committee Member
Chance, Donald M. Dean's Representative
Keywords
  • intensity
  • tranche
  • Gaussian copula
  • large-N limit
  • Collateralized Debt Obligations
  • Credit Default Swaps
  • CDS
  • duration
  • CDO
  • financial derivative
  • gamma
  • correlation
  • passage time
  • stopping time
Date of Defense 2008-05-08
Availability unrestricted
Abstract
We prove results relating to the exit time of a stochastic process from a region in N-dimensional space. We compute certain stochastic integrals involving the exit time. Taking a Gaussian copula model for the hitting time behavior, we prove several results on the sensitivity of quantities connected with the hitting times to parameters of the model, as well as the large-N behavior. We

discuss the relationship of these results to certain credit derivative instruments. Relevant simulations are presented.

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