Professional Documents
Culture Documents
DK6-Coping W Copulas-Managing TL RSK
DK6-Coping W Copulas-Managing TL RSK
Global
►In our CDO model series we have so far released various models with increasing flexibility and so
►While they all have the advantage of being analytical / closed form solution models, they require
way credits may default together
►Most importantly, they all use a factor model to generate joint default events
►We can’t apply the recursive algorithm anymore (as it depends on conditioning on a commo
►However, Monte Carlo (MC) techniques can be used to simulate dependent default times
►Within a MC approach, copulas allow for a very general and flexible way to directly model the dep
►The current credit crisis has highlighted the importance of tail events in risk management. This m
analyse the behaviour of their credit portfolio under stressed market conditions
Contacts
Domenico Picone Marco Stoeckle
+44 (0)20 7475 3870 +44 (0)20 7475 3599
domenico.picone@dkib.com marcosebastian.stoeckle@dkib.com
ts
einwort.com/document/FILE.pdf?SYSTEM=1020&REF=249385
ndard excel)
Deal Parameters Copula Model Inputs Key Model Outputs Testing
No of Credits 125 Simulation 10,000 Upfront Running Spread (bps) DV01 Test on the Index spread
Normal
Discount Rate (%) 5% Correlation 20.00% Equity 58.02% 500.0 2.34 Tranche model 98.66bps
Coupon payment frequency (p.a.) 4 Copula model 1 Mezz Jun 972.1 3.70 Index initial input #ADDIN? #ADDIN?
Average Recovery (%) 40.00% Student-t df 3 Mezz Sen 450.0 4.14
Average Spread (bps) #ADDIN? Dump loss distribution 1 Senior Junior 223.5 4.33
Hazard Rate ~ Clean spread #ADDIN? Number of Bins 20 Senior 61.5 4.45
Maximum individual hazard rate 166.67 Super Senior 0.7 4.48
Cumulative Default Probability #ADDIN? Available Copula Index 98.7 4.38
Total Portfolio Notional 1,000,000 (do not delete this area)
Value Date 4-Sep-08 1
Maturity Date #ADDIN? 1 Normal
Next Coupon Date 20-Sep-08 2 Student-t
Horizon (as a year fraction) #ADDIN?
Maturity in months 60
Maturity in quarters #ADDIN?
1.00000
1.0
1.000000
0.90000
0.9
0.900000
0.80000
0.8 0.800000
0.70000
0.7
0.700000
0.600000 0.60000
0.50000
0.6
0.500000
0.5
0.400000 0.40000
0.4
0.300000 0.30000
0.3
0.200000 0.20000
0.2 0.100000 0.10000
0.1
0.000000 0.00000
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
00 00 00 00 00 00 00 00 00 00 , 00 , 00 , 00 ,0
0.
0 0 , 0 0 , 0 0 , 0 0 , 0 0, 0 0 , 0 0 , 0 0 , 0 0, 3, 6 9 12 15
1 2 3 4 5 6 7 8 9
che distributions
Equity Mezz Jun
Range Loss Range Loss
0 0.05170 0 0 0.450700
3,000 0.00000 1,500 3,000 0.000000
4,500 0.00000 3,000 4,500 0.050700
6,000 0.05790 4,500 6,000 0.002100
7,500 0.00690 6,000 7,500 0.000000
9,000 0.00050 7,500 9,000 0.048300
10,500 0.06890 9,000 10,500 0.000100
12,000 0.00310 10,500 12,000 0.015400
13,500 0.01690 12,000 13,500 0.030000
15,000 0.05530 13,500 15,000 0.000000
16,500 0.00100 15,000 16,500 0.034700
18,000 0.03330 16,500 18,000 0.005000
19,500 0.03340 18,000 19,500 0.001800
21,000 0.00220 19,500 21,000 0.032500
22,500 0.04190 21,000 22,500 0.001100
24,000 0.02120 22,500 24,000 0.011100
25,500 0.00690 24,000 25,500 0.019300
27,000 0.04760 25,500 27,000 0.072200
28,500 0.14040 27,000 28,500 0.112000
30,000 0.41090 28,500 30,000 0.113000
1.00000 1.000000
0.90000 0.900000
0.80000 0.800000
0.70000 0.700000
0.60000 0.600000
0.50000 0.500000
0.40000 0.400000
0.30000 0.300000
0.20000 0.200000
0.10000
0.100000
0.000000
0.00000
0 0 0 0 0
3, 0
0 0 0 0 0
6, 0
9, 0
12 0 0
15 0 0
21 0 0
18 00
24 00
27 00
00
3, 6 9 12 15 18 21 24 27
Mezz Sen Senior Junior
Range Loss Range
0 0 0.70 0 0
1,500 3,000 0.00 1,500 3,000
3,000 4,500 0.03 3,000 4,500
4,500 6,000 0.00 4,500 6,000
6,000 7,500 0.03 6,000 7,500
7,500 9,000 0.00 7,500 9,000
9,000 10,500 0.00 9,000 10,500
10,500 12,000 0.02 10,500 12,000
12,000 13,500 0.00 12,000 13,500
13,500 15,000 0.02 13,500 15,000
15,000 16,500 0.01 15,000 16,500
16,500 18,000 0.00 16,500 18,000
18,000 19,500 0.02 18,000 19,500
19,500 21,000 0.00 19,500 21,000
21,000 22,500 0.00 21,000 22,500
22,500 24,000 0.01 22,500 24,000
24,000 25,500 0.01 24,000 25,500
25,500 27,000 0.06 25,500 27,000
27,000 28,500 0.05 27,000 28,500
28,500 30,000 0.04 28,500 30,000
1.00 1.00
0.90 0.90
0.80 0.80
0.70 0.70
0.60 0.60
0.50 0.50
0.40 0.40
0.30 0.30
0.20 0.20
0.10 0.10
0.00 0.00
0
00
00
00
00
00
00
0
0
00
00
00
00
00
00
00
00
00
00
00
00
,0
,0
,0
,0
,0
,0
,0
,0
,0
,0
,0
,0
3,
6,
9,
12
15
18
21
24
27
3,
6,
9,
12
24
15
18
21
27
ior Junior Senior Super Senior
Loss Range Loss Range
0.84 0 0 0.92 0
0.02 5,000 10,000 0.01 39,000
0.00 10,000 15,000 0.01 78,000
0.00 15,000 20,000 0.01 117,000
0.01 20,000 25,000 0.01 156,000
0.00 25,000 30,000 0.01 195,000
0.01 30,000 35,000 0.00 234,000
0.00 35,000 40,000 0.01 273,000
0.00 40,000 45,000 0.00 312,000
0.01 45,000 50,000 0.00 351,000
0.00 50,000 55,000 0.00 390,000
0.01 55,000 60,000 0.00 429,000
0.00 60,000 65,000 0.00 468,000
0.00 65,000 70,000 0.00 507,000
0.01 70,000 75,000 0.00 546,000
0.00 75,000 80,000 0.00 585,000
0.01 80,000 85,000 0.00 624,000
0.04 85,000 90,000 0.00 663,000
0.03 90,000 95,000 0.01 702,000
0.01 95,000 100,000 0.00 741,000
1.00 1.00
0.90 0.90
0.80 0.80
0.70 0.70
0.60 0.60
0.50 0.50
0.40 0.40
0.30 0.30
0.20 0.20
0.10 0.10
0.00 0.00
00
00
0
00
00
0 00 00 00 00 00 00 00
23 0
00 00
0
00
31 0
39 0
46 0
54 0
0
00
00
00
00
00
00
00
,0
,0
,0
,0
6,
4,
2,
0,
8,
6,
18
21
24
27
10
78
2 3 4 5 6 7 8 9
15
6
Super Senior
Range Loss
0 0.99
78,000 0.01
117,000 0.00
156,000 0.00
195,000 0.00
234,000 0.00
273,000 0.00
312,000 0.00
351,000 0.00
390,000 0.00
429,000 0.00
468,000 0.00
507,000 0.00
546,000 0.00
585,000 0.00
624,000 0.00
663,000 0.00
702,000 0.00
741,000 0.00
780,000 0.00
1.00
0.90
0.80
0.70
0.60
0.50
0.40
0.30
0.20
0.10
0.00
23 0
0
00
31 0
39 0
46 0
54 0
62 0
70 0
0
00
00
00
00
00
00
00
00
,0
6,
4,
2,
0,
8,
6,
4,
2,
78
15
This worksheet shows the basic construction for the normal and student-t copula for 2 credi
It is not used for the CDO pricing model
Normal Copula
1.) uncorrelated uniform
1.00
0.80
0.60
0.40
0.20
0.00
0.00 0.20 0.40 0.60 0.80 1.00
Student-t Copula
1.) uncorrelated uniform
1.00
1.00
0.80
0.60
0.40
0.20
0.00
0.00 0.20 0.40 0.60 0.80 1.00
student-t copula for 2 credits
Correlation Matrix
Student-t Degrees of Freedom (df) 100%
3 85%
Cholesky Matrix
100%
85%
12.00
10.00
8.00
6.00
4.00
2.00
0.00
-12.00 -10.00 -8.00 -6.00 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00
-2.00
-4.00
-6.00
-8.00
-10.00
12.00
10.00
12.00
10.00
8.00
6.00
4.00
2.00
0.00
-12.00 -10.00 -8.00 -6.00 -4.00 -2.00 0.00 2.00 4.00 6.00 8.00 10.00 12.00
-2.00
-4.00
-6.00
-8.00
-10.00
holesky Matrix
0%
52.678%
1.000
0.800
0.600
0.400
0.200
0.000
0.000 0.200 0.400 0.600 0.800
1.00
1.00
0.80
0.60
0.40
0.20
0.00
0.00 0.20 0.40 0.60 0.80
4.) correlated Default Times
700.00
650.00
600.00
550.00
500.00
450.00
400.00
350.00
300.00
250.00
200.00
150.00
100.00
50.00
0.00
0.600 0.800 1.000 0.00 50.00 100.00150.00200.00250.00300.00350.00400.00450.00500.00550.00600
700.00
650.00
600.00
700.00
650.00
600.00
550.00
500.00
450.00
400.00
350.00
300.00
250.00
200.00
150.00
100.00
50.00
0.00
0.60 0.80 1.00 0.00 50.00 100.00150.00200.00250.00300.00350.00400.00450.00500.00550.00600
Normal Copula
U(0,1) U(0,1) N(0,1)
Average 0.50 0.51 0.01
Standard Dev. 0.29 0.29 1.01
Correlation -0.015 -0.018
Corr DT
16.35
45.36
103.10
68.72
104.12
6.36
128.12
56.10
180.43
28.39
108.58
53.92
10.49
102.36
12.04
93.70
54.83
34.80
26.10
99.24
67.83
24.04
28.46
1.51
127.84
26.90
38.58
6.54
38.03
3.76
29.59
38.33
12.76
13.26
34.34
39.09
28.30
181.08
11.45
14.95
46.09
9.74
12.57
53.38
5.07
21.44
71.32
13.84
37.36
53.85
6.46
2.32
153.16
3.90
21.07
29.54
97.46
118.31
93.96
1.14
9.53
11.62
62.14
139.78
15.42
155.01
65.79
0.99
22.65
44.46
40.19
72.89
84.04
31.14
9.41
174.70
61.58
47.56
147.22
34.12
56.02
7.05
57.01
10.29
40.54
29.02
59.32
28.57
56.18
71.69
7.26
37.52
9.47
42.05
2.12
199.71
105.41
23.37
38.06
68.13
95.30
105.27
114.44
99.28
139.01
20.52
24.24
51.91
57.98
9.46
48.22
87.29
13.29
61.25
7.04
106.60
57.22
3.47
54.63
2.28
80.42
43.13
213.81
97.22
58.10
11.41
14.77
58.72
104.69
78.84
1.39
96.11
87.39
3.46
80.33
37.77
130.95
50.09
136.55
20.13
34.16
96.43
22.78
45.60
1.49
37.64
18.46
70.46
3.03
144.98
38.34
2.02
9.03
10.86
42.90
6.71
34.46
8.31
55.89
56.18
32.42
37.17
29.18
0.77
17.95
48.81
102.88
138.91
138.46
31.58
84.72
1.55
0.83
8.36
8.30
246.89
130.47
13.38
131.17
4.18
8.51
19.32
65.73
98.79
16.84
82.55
10.93
41.69
76.32
28.52
36.40
17.04
60.55
0.34
85.95
65.09
145.47
8.46
57.35
19.14
21.44
4.21
46.23
1.13
2.84
11.85
30.44
62.81
24.26
128.28
25.44
25.69
67.14
67.38
6.53
66.15
22.67
89.85
175.74
66.96
15.14
87.35
138.48
61.02
4.58
72.23
5.08
128.70
65.92
133.11
20.18
92.78
34.78
151.38
0.61
14.82
75.20
21.87
1.46
3.41
6.32
19.19
24.79
207.86
30.86
5.64
74.65
34.15
24.25
90.75
215.03
12.88
140.25
60.54
1.24
11.05
56.67
0.51
78.27
35.47
32.81
62.85
71.10
9.89
14.82
94.64
108.65
272.08
89.03
1.04
24.80
19.08
29.16
36.28
26.67
27.99
91.55
0.75
10.12
26.19
32.55
25.76
32.47
16.03
65.39
11.60
74.29
78.35
109.74
96.95
23.41
74.62
7.28
17.24
6.92
95.11
42.88
16.23
20.38
7.24
76.77
55.93
1.60
33.28
44.44
53.41
8.42
27.62
30.90
22.58
86.11
88.72
18.79
55.84
86.18
14.80
17.81
69.04
78.68
136.71
119.25
86.40
36.95
0.41
33.11
131.84
21.39
40.81
196.78
32.16
20.50
110.61
144.06
32.66
29.90
280.12
13.75
25.64
9.23
14.45
119.64
184.98
90.34
73.14
10.73
65.44
0.27
5.45
12.11
36.24
306.43
27.82
11.69
2.19
53.84
28.58
52.53
98.49
142.44
37.43
193.61
11.29
27.60
51.50
40.84
0.56
2.16
33.79
38.24
19.79
95.66
55.06
25.23
62.80
6.84
53.93
23.09
73.33
26.73
44.31
17.68
59.73
23.74
115.43
106.72
40.20
31.43
55.25
58.24
100.61
49.25
70.21
61.64
33.35
71.06
7.01
65.45
217.07
97.15
56.77
12.13
2.03
38.72
120.50
27.07
72.50
95.66
11.16
20.97
114.24
15.61
6.67
183.79
36.64
43.68
4.33
88.15
107.37
84.22
61.17
7.63
10.84
42.36
5.44
101.30
19.83
165.09
45.88
16.24
18.69
17.50
96.25
284.58
114.50
17.29
27.92
85.30
183.30
3.44
135.41
53.40
12.73
116.87
118.98
52.74
20.03
73.88
11.59
32.77
280.68
55.46
38.30
14.03
27.17
126.52
3.90
50.76
12.12
228.00
92.84
7.45
29.91
21.94
67.73
15.25
22.50
59.27
13.75
15.24
18.31
31.58
3.18
69.29
23.41
35.55
60.52
65.39
32.38
52.49
12.42
40.11
19.77
158.24
32.07
12.84
50.14
218.59
27.72
69.45
127.61
130.33
14.68
274.56
18.23
40.77
81.64
72.35
16.06
23.44
62.35
5.38
182.04
41.60
6.86
29.10
44.20
86.34
115.60
95.71
19.83
102.47
0.83
3.24
30.09
6.96
20.06
33.28
22.16
86.10
5.15
116.79
21.45
120.36
16.11
161.23
14.01
92.53
44.20
179.75
43.17
84.41
6.98
3.86
27.60
71.88
29.53
126.96
49.65
98.01
21.43
185.10
9.76
144.14
4.76
5.84
45.95
27.97
59.31
134.47
1.53
15.89
18.93
57.22
58.53
68.49
14.08
60.16
51.07
117.00
0.99
0.05
28.80
0.94
36.74
16.10
46.07
305.84
84.06
13.57
90.38
19.83
44.02
56.44
43.03
253.84
11.49
91.87
43.34
13.91
56.69
4.64
99.53
1.50
53.93
156.32
146.62
130.11
0.25
58.58
84.00
96.15
46.32
1.55
26.96
126.35
72.64
52.08
32.70
29.46
37.22
145.08
7.49
51.54
53.87
12.53
54.85
102.78
55.62
0.63
34.16
27.62
13.41
0.73
23.91
160.33
128.56
245.34
39.50
119.31
20.60
51.69
63.80
8.87
24.93
31.27
33.63
30.78
21.11
49.39
3.57
26.12
233.27
86.34
4.02
119.75
24.31
21.57
89.56
63.64
17.84
40.01
50.72
50.54
11.37
45.70
182.49
69.92
0.98
30.74
24.24
32.93
93.11
83.86
4.30
24.36
37.33
13.55
70.39
144.15
26.78
20.97
74.66
18.59
31.33
19.16
54.00
19.33
111.45
45.91
96.02
167.01
4.72
47.54
113.29
70.30
34.16
1.71
0.69
10.54
105.63
13.42
2.63
39.26
11.70
35.58
0.22
36.42
63.04
41.61
10.08
82.78
17.97
111.21
5.20
16.25
23.17
4.56
34.27
29.25
248.32
57.32
28.60
8.76
50.38
91.65
16.15
110.53
189.53
152.21
17.89
21.70
112.62
11.40
66.75
24.25
80.86
1.66
111.40
58.99
201.35
60.20
7.44
12.46
4.47
300.63
19.97
56.79
24.69
173.42
206.18
29.85
4.41
35.36
41.30
125.69
22.22
129.19
137.48
73.15
86.97
5.04
10.85
36.54
50.73
33.41
1.76
40.06
14.76
318.83
42.77
35.83
10.94
63.21
60.49
79.97
60.93
214.03
139.74
88.90
136.53
131.89
25.82
48.08
41.35
56.56
89.88
44.17
45.35
25.27
124.23
14.43
18.72
61.27
292.75
33.14
138.43
57.29
177.35
21.37
2.48
10.31
31.63
106.19
87.14
117.06
0.43
65.91
35.73
81.07
6.32
1.46
3.23
21.25
127.68
5.04
109.36
222.19
26.23
163.86
14.09
135.71
61.88
52.41
131.60
199.15
10.82
50.79
139.16
3.33
3.15
35.96
133.39
0.91
50.25
12.63
154.05
24.52
34.73
74.22
90.91
65.45
51.66
77.07
69.56
85.32
47.24
115.14
9.02
30.65
158.83
115.06
127.28
96.28
35.48
17.20
57.88
168.60
17.79
43.97
51.08
7.83
102.47
4.02
26.04
2.51
2.51
67.02
21.76
178.58
57.33
12.47
115.08
35.71
295.80
51.79
59.22
46.09
209.25
140.82
113.48
192.45
1.35
34.32
89.66
120.84
35.62
36.90
56.01
3.01
87.26
68.20
87.75
82.56
13.62
3.65
48.89
88.03
97.93
9.66
25.92
16.79
101.98
25.65
52.04
23.44
36.04
45.16
303.54
69.25
207.47
24.51
26.04
30.98
58.87
59.01
70.15
109.58
25.39
12.58
36.05
149.29
46.48
79.45
135.57
30.47
28.74
0.28
28.50
87.41
90.01
59.82
53.47
1.61
75.43
114.66
44.91
38.72
17.80
34.19
26.19
38.36
0.44
230.59
297.05
15.03
46.11
8.09
65.14
14.17
35.66
2.55
92.26
4.03
60.18
119.91
33.59
110.33
2.82
20.33
43.83
1.71
92.01
132.70
158.19
16.86
6.70
167.81
35.37
21.70
3.67
146.14
20.14
118.14
10.40
39.72
5.14
99.26
29.24
290.24
23.79
88.63
15.02
92.56
91.48
4.07
26.30
34.19
27.79
149.74
13.01
10.70
175.47
56.79
35.49
265.07
21.46
34.13
60.12
54.59
32.30
20.19
123.35
63.30
92.91
127.30
16.58
96.73
41.19
9.48
13.67
117.38
65.12
19.99
3.43
35.94
17.92
97.60
41.54
44.70
7.94
68.40
12.94
175.68
7.22
14.22
17.79
292.18
8.94
175.57
64.34
3.08
33.29
3.68
89.35
28.60
79.70
84.14
17.78
49.32
0.95
10.51
38.41
64.08
38.35
51.71
6.18
200.01
388.62
12.87
59.43
15.13
98.60
227.76
50.12
40.47
91.29
10.88
66.76
63.82
49.81
220.13
29.12
9.41
17.29
180.99
55.57
59.58
27.57
21.80
33.88
4.59
64.92
103.02
28.90
47.79
24.73
65.42
46.01
5.26
46.78
25.86
51.81
54.67
29.30
39.55
12.02
6.00
148.64
9.85
77.70
12.44
1.00
27.79
86.52
70.21
31.96
8.13
32.90
11.32
127.74
165.77
11.02
65.69
147.05
99.68
8.87
2.65
105.31
48.04
2.03
60.48
28.54
24.46
23.97
26.39
140.63
3.35
20.09
28.21
69.50
1.83
98.70
29.38
65.34
1.34
86.51
10.46
11.49
32.41
29.68
84.23
50.91
107.45
43.80
45.83
32.71
21.94
29.07
63.20
7.30
79.35
153.19
80.21
46.54
70.20
69.64
15.95
93.66
11.23
64.96
69.26
82.00
69.22
0.33
22.93
73.16
78.50
69.76
21.57
2.00
31.64
25.34
175.43
22.81
107.08
130.95
39.40
8.11
38.69
86.74
139.40
12.47
48.74
4.73
29.64
83.05
137.22
146.26
19.90
97.24
7.37
89.51
147.63
1.78
146.41
111.03
111.72
66.40
5.07
0.93
15.13
16.50
0.72
0.43
17.90
163.59
13.78
2.07
40.82
73.24
14.32
81.74
21.04
65.64
64.93
0.36
33.71
20.36
66.42
16.57
66.93
46.56
57.43
20.99
62.06
62.21
39.56
19.46
34.87
12.62
249.72
55.06
33.78
84.42
50.82
101.38
140.94
8.98
20.15
95.15
19.97
64.49
15.22
4.64
42.74
44.42
24.92
1.83
46.38
66.33
6.72
0.70
2.77
19.59
140.19
7.70
134.90
18.81
2.27
128.42
78.81
49.37
34.59
19.63
30.20
31.47
116.96
1.45
8.20
31.80
17.45
1.18
116.08
197.43
30.05
9.44
28.24
31.04
201.27
113.85
47.24
64.36
91.26
54.58
111.93
73.40
2.74
94.45
2.50
119.88
27.82
11.37
23.77
4.08
77.48
6.53
85.51
159.19
18.01
18.60
92.91
29.33
67.06
64.08
103.35
19.02
13.78
92.66
48.05
99.62
33.01
14.00
3.89
6.78
58.31
72.80
37.18
2.98
107.57
22.86
2.16
202.16
281.13
7.72
2.68
25.11
17.11
135.10
65.89
192.41
54.29
1.34
3.31
6.15
46.45
47.70
226.17
9.14
14.25
57.66
33.79
215.20
2.68
26.79
42.90
3.48
106.08
58.93
66.59
22.73
65.06
31.55
95.12
61.94
55.83
87.87
26.70
91.33
3.20
48.31
20.91
142.58
32.28
52.03
50.41
9.50
3.38
213.42
19.99
60.88
47.81
66.71
103.90
132.33
29.31
8.36
87.79
71.48
27.45
25.49
7.10
74.85
92.55
18.75
43.96
135.90
169.97
60.01
52.75
37.71
87.33
131.78
6.11
21.74
7.81
18.33
403.74
0.97
15.40
56.29
35.28
35.84
127.92
3.34
33.72
10.56
20.98
2.33
21.45
91.79
149.67
189.07
5.83
21.74
49.28
70.13
37.85
42.08
12.25
168.06
96.15
4.07
45.61
7.55
7.48
62.26
57.48
33.69
58.82
37.60
104.55
222.44
256.12
69.15
125.46
15.51
10.89
84.70
28.31
23.52
21.70
13.08
189.30
8.97
2.48
1.25
73.75
41.46
5.04
23.61
78.27
41.36
16.26
37.82
8.13
5.94
12.16
10.77
74.94
42.58
38.28
0.86
29.89
171.25
40.56
22.17
17.43
7.40
44.81
25.05
7.07
4.56
35.24
59.95
84.76
71.41
162.08
116.14
14.05
35.95
12.80
6.83
9.28
100.57
18.14
36.85
24.37
50.14
15.66
40.48
62.28
107.27
40.78
34.46
1.67
103.56
16.26
23.18
14.83
9.43
40.56
4.34
129.48
18.39
29.62
19.62
4.80
18.82
2.29
26.12
104.64
1.80
9.49
77.78
24.65
2.27
94.11
117.05
34.73
316.80
14.22
61.83
20.57
14.49
11.57
123.35
27.00
31.27
125.64
11.61
98.30
164.51
223.33
40.03
28.05
29.80
57.71
3.42
15.39
33.98
16.87
8.24
56.88
10.64
22.12
70.10
17.54
15.82
1.74
19.16
20.23
84.86
16.36
63.99
144.28
44.42
53.07
13.13
47.60
30.47
212.88
28.14
9.77
31.49
36.53
190.97
19.41
97.74
18.62
24.62
39.92
10.35
39.22
99.10
11.34
207.48
10.49
31.60
47.44
18.06
215.44
42.30
56.14
35.66
133.41
71.80
52.05
106.47
58.54
4.66
87.43
54.26
16.04
20.68
177.71
60.93
6.77
23.88
93.40
22.18
7.72
8.62
58.52
39.59
68.64
1.87
96.02
28.13
159.57
17.59
64.57
98.99
114.55
73.14
21.10
16.74
101.51
59.26
56.25
5.93
29.38
98.56
142.48
73.70
18.09
88.36
86.87
18.07
4.38
172.94
0.88
44.24
54.50
54.00
123.83
190.28
136.97
64.39
29.64
6.06
48.98
5.46
27.73
0.88
13.71
215.08
180.16
47.63
12.98
90.32
20.16
8.21
83.59
45.62
43.19
5.16
69.52
225.52
42.56
69.53
69.29
95.52
28.87
68.35
22.38
8.43
1.15
137.79
60.51
85.31
38.90
56.76
18.50
10.89
17.81
414.90
92.55
20.00
48.68
39.26
16.58
60.34
8.88
33.86
4.32
8.53
109.77
65.40
104.92
86.36
35.29
24.60
69.33
11.06
15.74
253.70
0.28
112.76
9.65
18.11
4.17
4.15
34.83
258.30
39.37
128.82
235.71
153.38
6.45
101.98
88.71
117.31
15.54
17.82
33.53
2.01
0.01
76.91
70.94
26.35
44.35
59.79
27.95
4.55
13.25
59.31
42.86
31.80
125.47
9.82
168.11
5.32
70.12
98.27
101.40
1.02
53.57
27.07
165.21
27.88
37.88
96.71
8.19
96.39
47.09
48.54
9.58
16.49
144.66
11.52
30.39
59.35
1.50
14.19
30.12
60.35
57.47
69.66
30.09
31.15
173.06
23.70
79.15
85.31
30.45
5.10
34.03
84.60
37.94
50.76
47.40
104.89
25.63
6.53
143.79
151.23
60.93
102.08
60.05
33.10
58.81
89.92
42.18
83.16
16.93
50.54
166.49
9.47
23.41
57.11
11.21
10.00
5.42
9.73
84.43
20.00
50.27
9.77
16.06
39.93
90.95
33.99
9.72
16.47
44.91
90.64
14.60
6.44
39.37
24.54
72.15
50.53
64.88
99.67
13.97
58.99
35.39
48.97
29.45
64.11
168.41
26.77
7.80
19.18
80.47
84.15
19.32
112.94
4.31
1.85
73.93
17.41
94.86
213.75
61.89
43.15
71.00
21.29
56.09
37.52
70.68
59.60
8.12
15.25
9.51
1.84
16.87
36.14
8.36
16.27
95.92
4.07
0.84
14.46
31.58
0.26
34.41
185.46
18.03
16.30
165.08
11.17
94.71
30.10
20.98
3.94
66.63
42.50
1.71
30.64
5.07
13.03
0.73
46.38
7.22
64.89
107.99
9.90
48.24
30.40
40.02
65.11
37.64
27.90
7.70
14.03
15.38
201.10
10.85
159.45
67.02
92.41
41.51
70.10
105.76
73.61
9.07
18.48
100.92
64.20
10.06
91.26
89.46
117.72
26.78
4.82
54.39
10.09
17.84
22.16
205.88
123.13
12.89
55.87
1.36
12.89
0.30
34.34
50.22
169.83
13.09
9.54
128.78
29.44
10.19
157.65
65.21
147.13
20.73
37.00
141.52
21.38
107.72
224.14
33.52
19.33
27.91
14.41
67.39
24.92
38.81
111.56
29.53
29.74
44.68
100.73
25.60
35.00
44.53
11.73
74.83
114.27
55.24
7.63
16.37
39.03
72.77
90.30
6.09
32.00
24.79
153.16
62.81
78.78
392.65
25.67
3.05
32.69
41.79
10.50
13.12
63.29
67.32
13.69
41.70
87.28
146.14
2.22
31.58
233.47
23.32
11.22
164.04
30.05
80.61
39.04
43.40
26.82
83.12
5.11
13.11
15.15
191.65
148.25
137.95
66.91
26.28
47.71
60.24
38.54
44.23
1.12
95.32
27.77
7.85
15.84
129.94
64.32
215.93
50.99
25.04
2.93
34.32
22.51
23.64
10.37
82.42
8.34
38.07
5.10
105.91
16.89
79.92
107.47
12.75
30.99
9.73
11.74
23.25
1.44
We now introduce two Archimedean copulas - the Clayton and the Gumbel for modelling
This worksheet is not used for the CDO pricing model
Simulation No 1 2
1
1 0.00076 0.26727
2 0.00080 0.09075
3 0.00143 0.00035 0.9
4 0.00160 0.04121
5 0.00208 0.98484
6 0.00228 0.04358 0.8
7 0.00247 0.99936
8 0.00249 0.03343 0.7
9 0.00265 0.12646
10 0.00366 0.69626
11 0.00430 0.12852 0.6
12 0.00434 0.00826
13 0.00444 0.83795
0.5
14 0.00503 0.25073
15 0.00537 0.00751
16 0.00583 0.06616 0.4
17 0.00622 0.00184
18 0.00625 0.07212
19 0.00745 0.85518 0.3
20 0.00780 0.01011
21 0.00818 0.96523 0.2
22 0.00844 0.89176
23 0.00895 0.02222
24 0.00980 0.11744 0.1
25 0.00986 0.00590
26 0.01064 0.80494
0
27 0.01223 0.44843
- 0.10 0.20
28 0.01226 0.56784
29 0.01365 0.01265
30 0.01575 0.18007
31 0.01575 0.06996
32 0.01590 0.88885
33 0.01629 0.10932
34 0.01696 0.81357
35 0.01734 0.03768
36 0.01832 0.46833
37 0.01869 0.01121
38 0.01938 0.46210
39 0.01977 0.63257
40 0.02001 0.06064
41 0.02025 0.40545
42 0.02061 0.06005
43 0.02069 0.00793
44 0.02076 0.99844
45 0.02118 0.20770
46 0.02195 0.05119
47 0.02244 0.73192
48 0.02253 0.98627
49 0.02266 0.86673
50 0.02274 0.12339
51 0.02336 0.74254
52 0.02341 0.78754
53 0.02360 0.81019
54 0.02362 0.04644
55 0.02407 0.03171
56 0.02410 0.63721
57 0.02494 0.20959
58 0.02568 0.31613
59 0.02669 0.59029
60 0.02819 0.04264
61 0.02856 0.29007
62 0.02914 0.60766
63 0.02928 0.02206
64 0.03059 0.37926
65 0.03155 0.00695
66 0.03208 0.84179
67 0.03235 0.84268
68 0.03240 0.06909
69 0.03265 0.00790
70 0.03271 0.98812
71 0.03272 0.93070
72 0.03305 0.69771
73 0.03327 0.83191
74 0.03355 0.18968
75 0.03391 0.78510
76 0.03467 0.01054
77 0.03585 0.14856
78 0.03593 0.33083
79 0.03734 0.07668
80 0.03754 0.28913
81 0.03897 0.04470
82 0.03914 0.03537
83 0.03945 0.48016
84 0.04076 0.80604
85 0.04101 0.15434
86 0.04228 0.11071
87 0.04286 0.63595
88 0.04309 0.30939
89 0.04375 0.09204
90 0.04450 0.92657
91 0.04496 0.41589
92 0.04510 0.13319
93 0.04521 0.10615
94 0.04534 0.00506
95 0.04546 0.85666
96 0.04599 0.78997
97 0.04714 0.02534
98 0.04715 0.87842
99 0.04871 0.44641
100 0.04975 0.01830
101 0.04976 0.34342
102 0.05035 0.77215
103 0.05051 0.20056
104 0.05064 0.24971
105 0.05071 0.39078
106 0.05095 0.01194
107 0.05226 0.59242
108 0.05240 0.88278
109 0.05308 0.35269
110 0.05324 0.42155
111 0.05391 0.09493
112 0.05420 0.05079
113 0.05438 0.00188
114 0.05452 0.65990
115 0.05504 0.00622
116 0.05583 0.43000
117 0.05588 0.14609
118 0.05588 0.25191
119 0.05700 0.45578
120 0.05727 0.99043
121 0.05861 0.07451
122 0.05976 0.72563
123 0.05989 0.80986
124 0.06069 0.92544
125 0.06076 0.68435
126 0.06184 0.60759
127 0.06295 0.76822
128 0.06312 0.48463
129 0.06415 0.20866
130 0.06416 0.52253
131 0.06642 0.24102
132 0.06726 0.69594
133 0.06733 0.81347
134 0.06737 0.86623
135 0.06744 0.15907
136 0.06759 0.16022
137 0.06780 0.38223
138 0.06842 0.71264
139 0.06906 0.32762
140 0.06909 0.04019
141 0.06980 0.87336
142 0.07080 0.06987
143 0.07087 0.24625
144 0.07132 0.09930
145 0.07283 0.21371
146 0.07399 0.18974
147 0.07426 0.29234
148 0.07511 0.13855
149 0.07587 0.68289
150 0.07618 0.41868
151 0.07713 0.72115
152 0.07738 0.25752
153 0.07781 0.45213
154 0.07795 0.00251
155 0.07867 0.54581
156 0.07899 0.92219
157 0.07974 0.99853
158 0.07982 0.06803
159 0.08011 0.12245
160 0.08030 0.42669
161 0.08073 0.50117
162 0.08080 0.49920
163 0.08149 0.10629
164 0.08220 0.80002
165 0.08257 0.96436
166 0.08348 0.45186
167 0.08359 0.50625
168 0.08405 0.79656
169 0.08550 0.49151
170 0.08591 0.77033
171 0.08669 0.01679
172 0.08681 0.44211
173 0.08712 0.74932
174 0.08722 0.01605
175 0.08800 0.31721
176 0.08801 0.43025
177 0.08961 0.34859
178 0.09014 0.18346
179 0.09019 0.42553
180 0.09023 0.24908
181 0.09065 0.13660
182 0.09065 0.38458
183 0.09101 0.97646
184 0.09137 0.30391
185 0.09144 0.49187
186 0.09149 0.74361
187 0.09170 0.37849
188 0.09437 0.80125
189 0.09457 0.26536
190 0.09559 0.19997
191 0.09606 0.74940
192 0.09647 0.47647
193 0.09664 0.67543
194 0.09669 0.68000
195 0.09681 0.20551
196 0.09780 0.20239
197 0.09849 0.87188
198 0.09849 0.35584
199 0.09912 0.23543
200 0.09921 0.95321
201 0.09930 0.76665
202 0.10035 0.36662
203 0.10074 0.29504
204 0.10083 0.38213
205 0.10123 0.34767
206 0.10190 0.24607
207 0.10320 0.72741
208 0.10340 0.45689
209 0.10363 0.17849
210 0.10476 0.84534
211 0.10481 0.95720
212 0.10516 0.56356
213 0.10598 0.44120
214 0.10693 0.70635
215 0.10794 0.14900
216 0.10835 0.05996
217 0.10845 0.26394
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1623 0.80403 0.79181
1624 0.80414 0.42694
1625 0.80446 0.13450
1626 0.80551 0.28069
1627 0.80568 0.77367
1628 0.80658 0.77749
1629 0.80673 0.62688
1630 0.80702 0.50808
1631 0.80735 0.90901
1632 0.80771 0.30366
1633 0.80930 0.24326
1634 0.80938 0.13269
1635 0.80954 0.71710
1636 0.80976 0.27233
1637 0.81054 0.27692
1638 0.81111 0.88736
1639 0.81137 0.43258
1640 0.81139 0.81422
1641 0.81166 0.42737
1642 0.81172 0.15014
1643 0.81173 0.61983
1644 0.81265 0.59786
1645 0.81344 0.21596
1646 0.81362 0.73554
1647 0.81435 0.09600
1648 0.81438 0.59152
1649 0.81559 0.84878
1650 0.81567 0.91521
1651 0.81583 0.23212
1652 0.81607 0.15867
1653 0.81635 0.44029
1654 0.81657 0.97988
1655 0.81764 0.32837
1656 0.81798 0.97076
1657 0.81902 0.87456
1658 0.81910 0.64408
1659 0.81924 0.92833
1660 0.81992 0.18284
1661 0.82014 0.43551
1662 0.82145 0.24050
1663 0.82234 0.20286
1664 0.82260 0.62606
1665 0.82340 0.70375
1666 0.82361 0.18951
1667 0.82389 0.38179
1668 0.82498 0.60697
1669 0.82626 0.50821
1670 0.82673 0.40216
1671 0.82676 0.85902
1672 0.82682 0.12270
1673 0.82728 0.79110
1674 0.82773 0.26620
1675 0.82825 0.19322
1676 0.82871 0.69852
1677 0.82898 0.02848
1678 0.82976 0.42083
1679 0.83013 0.34057
1680 0.83091 0.97180
1681 0.83204 0.33724
1682 0.83272 0.71357
1683 0.83349 0.41401
1684 0.83607 0.92879
1685 0.83698 0.21189
1686 0.83701 0.17175
1687 0.83744 0.28441
1688 0.83749 0.41502
1689 0.83789 0.92870
1690 0.83842 0.06283
1691 0.83891 0.70227
1692 0.83968 0.58697
1693 0.83994 0.91002
1694 0.84150 0.10804
1695 0.84153 0.24612
1696 0.84251 0.42912
1697 0.84318 0.36404
1698 0.84320 0.04574
1699 0.84325 0.95639
1700 0.84349 0.39548
1701 0.84503 0.84301
1702 0.84532 0.59279
1703 0.84603 0.89939
1704 0.84641 0.92271
1705 0.84656 0.95481
1706 0.84690 0.04514
1707 0.84772 0.45474
1708 0.84802 0.36670
1709 0.84902 0.03040
1710 0.84910 0.11433
1711 0.84949 0.18730
1712 0.84966 0.46066
1713 0.84977 0.84283
1714 0.85002 0.29764
1715 0.85128 0.32749
1716 0.85240 0.27649
1717 0.85244 0.64063
1718 0.85291 0.19513
1719 0.85294 0.34666
1720 0.85296 0.22338
1721 0.85377 0.68285
1722 0.85412 0.81354
1723 0.85412 0.48630
1724 0.85449 0.90443
1725 0.85476 0.61457
1726 0.85483 0.34325
1727 0.85498 0.47476
1728 0.85570 0.66401
1729 0.85589 0.24940
1730 0.85768 0.15665
1731 0.85814 0.68959
1732 0.85867 0.95479
1733 0.85904 0.51877
1734 0.85931 0.83008
1735 0.86044 0.85428
1736 0.86074 0.80445
1737 0.86257 0.25713
1738 0.86262 0.50735
1739 0.86277 0.71077
1740 0.86316 0.47057
1741 0.86505 0.63348
1742 0.86507 0.08315
1743 0.86520 0.47473
1744 0.86573 0.99422
1745 0.86699 0.09824
1746 0.86707 0.25195
1747 0.86731 0.77719
1748 0.86750 0.14515
1749 0.86769 0.95206
1750 0.86853 0.92154
1751 0.86909 0.18842
1752 0.86950 0.50146
1753 0.86955 0.41265
1754 0.86978 0.89619
1755 0.87013 0.84362
1756 0.87240 0.91387
1757 0.87312 0.04948
1758 0.87389 0.43350
1759 0.87517 0.32637
1760 0.87565 0.79561
1761 0.87595 0.22544
1762 0.87649 0.61335
1763 0.87681 0.90438
1764 0.87732 0.56546
1765 0.87793 0.92388
1766 0.87842 0.57230
1767 0.87920 0.03569
1768 0.87959 0.75188
1769 0.87965 0.89887
1770 0.87974 0.95145
1771 0.88060 0.67894
1772 0.88074 0.89412
1773 0.88113 0.55324
1774 0.88122 0.76770
1775 0.88182 0.71379
1776 0.88300 0.67177
1777 0.88312 0.94411
1778 0.88342 0.82543
1779 0.88451 0.16101
1780 0.88468 0.27467
1781 0.88560 0.20843
1782 0.88615 0.75865
1783 0.88803 0.52886
1784 0.88830 0.69614
1785 0.88851 0.63251
1786 0.89038 0.64867
1787 0.89071 0.57422
1788 0.89143 0.22961
1789 0.89230 0.61702
1790 0.89331 0.90844
1791 0.89336 0.92676
1792 0.89375 0.56085
1793 0.89428 0.12419
1794 0.89452 0.99013
1795 0.89477 0.01248
1796 0.89516 0.93620
1797 0.89688 0.41290
1798 0.89694 0.76583
1799 0.89730 0.80025
1800 0.89750 0.66969
1801 0.89776 0.08748
1802 0.89838 0.35133
1803 0.89875 0.12661
1804 0.89887 0.39019
1805 0.89891 0.18270
1806 0.89903 0.24991
1807 0.89966 0.61272
1808 0.90023 0.39514
1809 0.90052 0.94330
1810 0.90097 0.36694
1811 0.90351 0.50091
1812 0.90382 0.06870
1813 0.90392 0.00145
1814 0.90398 0.22245
1815 0.90406 0.92336
1816 0.90505 0.87545
1817 0.90505 0.85691
1818 0.90648 0.04436
1819 0.90678 0.01828
1820 0.90712 0.29173
1821 0.90766 0.07540
1822 0.90786 0.08308
1823 0.90836 0.40330
1824 0.90841 0.07484
1825 0.90876 0.06313
1826 0.90899 0.61247
1827 0.90914 0.52479
1828 0.90958 0.97585
1829 0.90974 0.67194
1830 0.90983 0.33879
1831 0.90988 0.92770
1832 0.91033 0.76555
1833 0.91049 0.83528
1834 0.91146 0.00316
1835 0.91162 0.43003
1836 0.91181 0.70684
1837 0.91284 0.60904
1838 0.91313 0.03520
1839 0.91325 0.40438
1840 0.91332 0.63443
1841 0.91373 0.59959
1842 0.91492 0.97246
1843 0.91507 0.79967
1844 0.91588 0.24028
1845 0.91589 0.04303
1846 0.91628 0.79552
1847 0.91795 0.68634
1848 0.91841 0.65743
1849 0.91871 0.90132
1850 0.91877 0.98382
1851 0.92007 0.56226
1852 0.92008 0.95428
1853 0.92030 0.02940
1854 0.92121 0.96808
1855 0.92127 0.21713
1856 0.92139 0.48120
1857 0.92185 0.23122
1858 0.92261 0.09591
1859 0.92274 0.96841
1860 0.92293 0.58452
1861 0.92302 0.84135
1862 0.92376 0.87328
1863 0.92380 0.06980
1864 0.92387 0.85875
1865 0.92465 0.88064
1866 0.92743 0.15259
1867 0.92766 0.41605
1868 0.92783 0.90649
1869 0.92808 0.05353
1870 0.92816 0.87750
1871 0.92857 0.50827
1872 0.92937 0.21358
1873 0.92985 0.36934
1874 0.93058 0.90855
1875 0.93232 0.42401
1876 0.93232 0.14649
1877 0.93272 0.03633
1878 0.93296 0.75300
1879 0.93343 0.34350
1880 0.93363 0.98964
1881 0.93377 0.31822
1882 0.93414 0.52347
1883 0.93444 0.42615
1884 0.93481 0.67641
1885 0.93497 0.94216
1886 0.93528 0.81871
1887 0.93587 0.71762
1888 0.93698 0.37943
1889 0.93705 0.18433
1890 0.93747 0.20810
1891 0.93764 0.27381
1892 0.93785 0.19202
1893 0.93823 0.58544
1894 0.93863 0.73463
1895 0.93917 0.67932
1896 0.93923 0.40930
1897 0.93927 0.00937
1898 0.93936 0.84435
1899 0.93953 0.15989
1900 0.94034 0.21816
1901 0.94065 0.08475
1902 0.94080 0.99729
1903 0.94105 0.33711
1904 0.94161 0.04047
1905 0.94216 0.78549
1906 0.94270 0.52597
1907 0.94309 0.45071
1908 0.94347 0.74422
1909 0.94356 0.93308
1910 0.94375 0.04996
1911 0.94379 0.46416
1912 0.94466 0.31573
1913 0.94491 0.29305
1914 0.94610 0.08811
1915 0.94686 0.62810
1916 0.94718 0.90918
1917 0.94722 0.79908
1918 0.94751 0.97016
1919 0.94783 0.91076
1920 0.94868 0.41622
1921 0.94952 0.96910
1922 0.94988 0.78226
1923 0.95234 0.52501
1924 0.95254 0.82970
1925 0.95350 0.85143
1926 0.95367 0.95512
1927 0.95459 0.98150
1928 0.95504 0.05166
1929 0.95572 0.41181
1930 0.95589 0.70815
1931 0.95648 0.98044
1932 0.95941 0.58066
1933 0.96167 0.00756
1934 0.96195 0.01610
1935 0.96258 0.97975
1936 0.96456 0.88519
1937 0.96462 0.91211
1938 0.96496 0.03065
1939 0.96561 0.78140
1940 0.96573 0.96720
1941 0.96599 0.48060
1942 0.96614 0.99508
1943 0.96643 0.94268
1944 0.96725 0.00647
1945 0.96730 0.62511
1946 0.96760 0.43593
1947 0.96894 0.98901
1948 0.96937 0.02123
1949 0.97056 0.42295
1950 0.97062 0.01739
1951 0.97121 0.44256
1952 0.97214 0.97514
1953 0.97249 0.91097
1954 0.97258 0.57164
1955 0.97318 0.23722
1956 0.97342 0.19021
1957 0.97434 0.88060
1958 0.97519 0.96970
1959 0.97534 0.11966
1960 0.97621 0.97404
1961 0.97673 0.72747
1962 0.97764 0.92462
1963 0.97832 0.46838
1964 0.97879 0.97056
1965 0.97890 0.09594
1966 0.98050 0.09159
1967 0.98053 0.05724
1968 0.98093 0.99699
1969 0.98158 0.25384
1970 0.98217 0.02614
1971 0.98238 0.98551
1972 0.98315 0.95699
1973 0.98316 0.01198
1974 0.98381 0.99793
1975 0.98394 0.95424
1976 0.98465 0.99585
1977 0.98575 0.91178
1978 0.98686 0.09343
1979 0.98701 0.97189
1980 0.98739 0.94259
1981 0.98855 0.87008
1982 0.98882 0.98588
1983 0.98886 0.97970
1984 0.99079 0.97226
1985 0.99085 0.01537
1986 0.99153 0.00557
1987 0.99314 0.88131
1988 0.99340 0.00466
1989 0.99433 0.15086
1990 0.99452 0.97555
1991 0.99457 0.01283
1992 0.99461 0.24028
1993 0.99560 0.14682
1994 0.99615 0.54126
1995 0.99645 0.95976
1996 0.99680 0.02923
1997 0.99860 0.97406
1998 0.99882 0.99750
1999 0.99983 0.32025
2000 0.99996 0.99960
and the Gumbel for modelling dependancy between 2 credits
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0.2
0.1
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- 0.10 0.20 0.30 0.40 0.50 0.60 0.70 0.80 0.90 1.00
Checks
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The 'Correlation-input' and 'Correlation-output' worksheets demonstrate the Cholesky Dec
On this worksheet either input your own correlation matrix or build a uniform correlation m
Correlation 50%
Size 4
Correlation Matrix
Credits 1 2 3 4
1 1.000 0.500 0.500 0.500
2 0.500 1.000 0.500 0.500
3 0.500 0.500 1.000 0.500
4 0.500 0.500 0.500 1.000
monstrate the Cholesky Decomposition
build a uniform correlation matrix using the macro
The 'Correlation-input' and 'Correlation-output' worksheets demonstrate the Cholesky Deco
Input the correlation matrix you want to decompose in the 'Correlation-Input' Spreadsheet
Click on the marcor 'Cholseky Decomposition' below to output the decomposed matrix