Type of Document	Master's Thesis
Author	Yan, Dongxiang
Author's Email Address	dyan2@math.lsu.edu
URN	etd-07082010-153124
Title	Copula and Default Correlation
Degree	Master of Science (M.S.)
Department	Mathematics
Advisory Committee	Advisor Name Title Ambar, Sengupta Committee Chair Eric T., Hillebrand Committee Member Guillermo, Ferreyra Committee Member
Keywords	Wick's theorem default correlation conditional joint distribution
Date of Defense	2010-06-28
Availability	unrestricted
Abstract This work presents a study of copulas, with special focus on the Gaussian copula model and its behavior under a certain conditioning process. Simulations are carried out to examine the behavior of the moments on conditional copula model, as measured by the behavior of Wick identities which hold for multivariate Gaussians.
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