Type of Document Master's Thesis Author Yan, Dongxiang Author's Email Address email@example.com 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 AbstractThis 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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