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Title: On Portfolio’s Default-Risk-Adjusted Duration and Value: Model and Algorithm Based on Copulas  
Teacher Name: LI Ping
Abstract:      In this paper, we propose a new approach, copulas, to calculating the default-risk-adjusted duration and present value for a portfolio of bonds with default risk. A copula function is used to determine the default dependence structure and simulate correlated default time  from individual obligor's default distribution. This approach is verified to be easy and applicable by a numerical example, in which we demonstrate how to calculate the default-risk-adjusted duration and present value fo
Keywords:   Default-Risk-Adjusted Duration,Copulas, Portfolio value
Authors:      Li, P., H.S. Chen, D.D. Huang and X.J. Shi
Publish Time: 2006/12
Publication: Lecture Notes in Computer Science
Volume No.:  IssueNo.: Vol.4286
Notes: