CDOs and Copula Functions

swtzang · December 5th, 2005, 3:04 am

Hello Stefanone and all others:For a novice in CDO pricing, I badly need the MATLAB codes using copulas on credit risk analysis. Anything relevant to CDO pricing using copula is highly appreciated. Thanks to anyone helps me. SWT

meteor · December 5th, 2005, 4:17 pm

I would say read a couple of papers (Gibson, Gregory, etc,...) and code it by yourself (it is really easy). Much more interesting than supidely using some other people code.

swtzang · December 6th, 2005, 7:43 am

Thanks for your advice. I will try myself.

swtzang · December 7th, 2005, 2:03 am

Dear all:I want to plot Gaussian copula density with T margins and its level curves using following matlab codes. However, I got different results from the book. Can anyone help me to fix the problem? Thanks for help. %p=zeros(99,2);u=0.01:0.01:0.99;rho=0.2;v=3;for i = 1:99 for j = 1:99 x1 = tinv(u(i),v); x2 = tinv(u(j),v); p(i,j) = mvnpdf([x1 x2],[0 0],[1 rho; rho 1])/tpdf(x1,v)/tpdf(x2,v); endendfigure(1); surf(u,u,p);figure(2); contour(u,u,p);