| 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: |
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