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updated 2 months ago

Li's Copula model for CDS and CDO default intensities and loss function by Francesco Da Vinci

Copula functions for credit loss distribution and default intensities of CDS (cds, cdo, loss distribution)

LiG=LiGaussian(Not, Rho, RR, Times,h, numbofsimulations)

LiGSeller=LiGSeller(Rho, RR, Times,h, numbofsimulations)

LiStudent(Not, Rho, RR, Times,h, numbofsimulations,df)

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updated almost 2 years ago

survivePortfolio by mono

Specify a joint distribution of survival times for a credit portfolio of credit risks. (portfolio, credit risk, joint distribution)

p=survivePortfolio(hazard,cor,nrsim,tinvest)

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updated 3 years ago

Send email using CDO by Aurelien Queffurust

Send HTML formatted mail using the free Microsoft mail component CDO (emailtool, email, port)

emailtool_nodisplay.m

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updated almost 7 years ago

Evaluate debt instrument's cash flows by Dimitri Shvorob

(given their symbolic definition) (finance, modeling, analysis)

CFEVALDEMO1

cfeval(pofun,cpfun,psfun,ppfun,varargin)

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updated 8 years ago

Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model by Pavel Okunev

Computes Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model (finance, modeling, analysis)

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updated almost 9 years ago

Fast Computation of the Expected Tranche Loss of CDO Credit Portfolio by Pavel Okunev

An algorithm for fast computation of the expected tranche loss of CDO credit portfolio. (finance, modeling, analysis)

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