Stikhova O V

Mathematical modeling of the industrial companies credit derivatives default process

This paper presents the structural approach to industrial company credit derivatives default modeling of the single name issuer. The application of this approach for modeling credit risk on the multiple name issuers with use of copula functions is shown. It is proved, that these defaultcredit risk modes are an effective instrument for the default outcomes estimation for industrial companies.

Keywords: collateralized debt obligation (CDO), credit defaultswap (CDS), credit derivative, credit risk, copula.

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