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2013-10-25
Valuing FtD Contract under Copula Approach via Monte-Carlo Stimulation
Yiran Sheng
文献摘要
This article aims to discuss some basics in field of credit modeling, specifically the pricing issue of FtD contract. We demonstrate how the popular copula approach is used in pricing FtD contract, and give a stimulation example of such practice based on SAS 9.1.
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