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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

priceF2DCDS by mono

This function performs a pricing strategy for a First to Default Credit Default Swap (CDS). (portfolio pricing, credit risk, first to default cred...)


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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)


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updated 3 years ago

Estimation value at risk by using Conditional Copula-GARCH by Ali Najjar

This function estimate VaR of portfolio composed of two stocks return (var, finance, garch)


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updated almost 4 years ago

Fit t copula fast using method of moments by Hemingway

tcopaulafit fits a t copula to data using method of moments. (copula, student t distributio..., statistics)

[rho nu]=tcopulafit(u)

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updated 5 years ago

Copula Functions by Peter Perkins

Functions accompanying MATLAB News&Notes article "Monte-Carlo Simulation in MATLAB Using Copulas" (statistics, probability, copula)


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updated 7 years ago

Copula generation and estimation by Robert Kopocinski

Copula functions written for Master Thesis. (statistics, probability, copula)

[p mlv]=cmlstat(family,x)



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