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danongohou
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Posts: 23
Joined: March 23rd, 2007, 7:45 pm

Gaussain Copula in EXCEL

June 6th, 2007, 12:00 am

Hello All,I am student at london metropolitan university and I need your help. I am preparing my final Dissertation on Pricing synthetic CDOs.I have not a strong mathematic background but I can understand the Gaussian copula.could any one tell me how to compute the model in monte carlo simultion (no vba cde please!) JUST IN EXCEL.THANKS VERY MUCH FOR YOUR TIME AND CONSIDERATION.DANONGOHOU@HOTMAIL.COM
 
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yomi
Posts: 152
Joined: July 14th, 2002, 3:00 am

Gaussain Copula in EXCEL

June 6th, 2007, 8:19 am

 
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danongohou
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Posts: 23
Joined: March 23rd, 2007, 7:45 pm

Gaussain Copula in EXCEL

June 7th, 2007, 9:26 pm

Hi Dear Yomi,this is one of the great help for me .thanks a lot.
 
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Chegevara
Posts: 8
Joined: July 18th, 2005, 4:35 am

Gaussain Copula in EXCEL

June 28th, 2007, 8:43 am

Could you please refresh this link. Regards.
 
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mirkov
Posts: 15
Joined: August 7th, 2007, 12:06 pm

Gaussain Copula in EXCEL

August 8th, 2007, 7:39 am

yes, could you reup this link. thanks!
 
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danongohou
Topic Author
Posts: 23
Joined: March 23rd, 2007, 7:45 pm

Gaussain Copula in EXCEL

August 8th, 2007, 9:25 am

hi guys this is the link from yomi for Gaussian copula modelhttp://www.quantcode.com/modules/mydownloads/s ... d=9&lid=87
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Gaussain Copula in EXCEL

August 8th, 2007, 9:36 am

this link is not valide
 
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mirkov
Posts: 15
Joined: August 7th, 2007, 12:06 pm

Gaussain Copula in EXCEL

August 8th, 2007, 11:59 am

can you please post yours sheet here. or at least what you've downloaded.thank you!!
 
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NoelWatson
Posts: 90
Joined: September 14th, 2005, 10:56 am

Gaussain Copula in EXCEL

August 8th, 2007, 1:38 pm

I developed one using Geoff Chaplins bookhttp://www.amazon.co.uk/Credit-Derivatives-Man ... 00&sr=8-1I basically did the following:1. Find cholesky decomposition (code in Wilmott)2. Calculate hazard rates for each entity (Spread/(1-recovery)3. Create normally distributed random variables (use Acklam and Mersenne)4. Generate correlated random variables (use matrix from step 1)5. Calculate defaulters (CND code in Haug)6. Iterate through 0-maturity (0.25 years at a time). If entity defaults in this time, calculate premium and loss for tranche7. Calculate premiums at end of every quarter for remaing notional8. Repeat 3-8 lots of timesNow I've rewritten in C#, 20000 iterations takes around 4 seconds
 
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mirkov
Posts: 15
Joined: August 7th, 2007, 12:06 pm

Gaussain Copula in EXCEL

August 8th, 2007, 2:05 pm

ok. you should just say that you will not post excel sheets which you downloaded. thanks for help. somobody has helped you from wilmott. don't forget that.
 
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danongohou
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Posts: 23
Joined: March 23rd, 2007, 7:45 pm

Gaussain Copula in EXCEL

August 8th, 2007, 2:38 pm

ok guys, I do not really know why the link is not available anymore.send me your email adress and I can show you the spreadsheet I donload weeks ago.danongohou@hotmail.com I think the author is Peter.
 
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danongohou
Topic Author
Posts: 23
Joined: March 23rd, 2007, 7:45 pm

Gaussain Copula in EXCEL

August 8th, 2007, 2:38 pm

ok guys, I do not really know why the link is not available anymore.send me your email adress and I can show you the spreadsheet I donload weeks ago.danongohou@hotmail.com I think the author is Peter.
 
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danongohou
Topic Author
Posts: 23
Joined: March 23rd, 2007, 7:45 pm

Gaussain Copula in EXCEL

August 13th, 2007, 4:06 pm

still waiting your mail adress to sent you the spreadsheet
 
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jreyesro
Posts: 2
Joined: April 26th, 2010, 4:17 pm

Gaussain Copula in EXCEL

April 26th, 2010, 8:41 pm

Hi danongohou,I'm trying model VaR with copula, and could you send me the spreadsheet about copula in excel to julio.reyes@subuschile.cl
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