Stochastic and Copula Models for Credit Derivatives
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.
Advisor:Sundar, Padmanaban; Perlis, Robert V.; Sengupta, Ambar N.; Cochran, George W.; Davidson, Mark G.; Chance, Donald M.
School:Louisiana State University in Shreveport
School Location:USA - Louisiana
Source Type:Master's Thesis
Date of Publication:07/02/2008