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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...)

premium=priceF2DCDS(hazard,cor,interestRate,nrsim,tinvest)

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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 2 years ago

Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (credit risk, transition matrices, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

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updated 4 years ago

Fitting Survival Probability Models by Gabo

Companion code for "Fitting Survival Probability Models" article. (credit default swaps, cds, wilmott)

genHazFun(t,b)

protectLeg(Term,Settle,PL_Date,Basis,LIBOR,Recovery,probf...

rpv01(Term,Settle,RPV_Dates,Basis,LIBOR,probfun,b)

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