Title page for ETD etd-07082010-153124


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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