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: |