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

### Gaussain Copula in EXCEL

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

yomi
Posts: 152
Joined: July 14th, 2002, 3:00 am

### Gaussain Copula in EXCEL

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

### Gaussain Copula in EXCEL

Hi Dear Yomi,this is one of the great help for me .thanks a lot.

Chegevara
Posts: 8
Joined: July 18th, 2005, 4:35 am

### Gaussain Copula in EXCEL

mirkov
Posts: 15
Joined: August 7th, 2007, 12:06 pm

### Gaussain Copula in EXCEL

yes, could you reup this link. thanks!

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

### Gaussain Copula in EXCEL

cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

### Gaussain Copula in EXCEL

mirkov
Posts: 15
Joined: August 7th, 2007, 12:06 pm

### Gaussain Copula in EXCEL

NoelWatson
Posts: 90
Joined: September 14th, 2005, 10:56 am

### Gaussain Copula in EXCEL

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

mirkov
Posts: 15
Joined: August 7th, 2007, 12:06 pm

### Gaussain Copula in EXCEL

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.

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

### Gaussain Copula in EXCEL

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.

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

### Gaussain Copula in EXCEL

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.

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

### Gaussain Copula in EXCEL

jreyesro
Posts: 2
Joined: April 26th, 2010, 4:17 pm

### Gaussain Copula in EXCEL

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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