Matlab code of a simplified computation of expected payoffs and default probability of CDO This code reproduce some results of the following paper:
The Economics of Structured Finance - J. Coval, J. Jurek, E. Stafford.
============ The code is in Matlab and contains 3 different files:
- Coprnd: where the copulas are computed. Only the Gaussian is available, the others can easily be implemented.
- Monte: MC simulations to compute expected payoffs and default proba
- Main: for non-noisy and noisy simulations on different parameters: default proba of the asset, recovery rate, rho.
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