This is my work for CQF June 2021 Final Project, including main pricing procedures of a basket CDS consisting of 5 reference names with a maturity of 5 years and basic sensitivity analysis. All reletaive data and code are uploaded. The Monte Carlo simulation and sensitivity analysis need further improvement.
- Hazard Rate Bootstraping
- Default time calculation
- Linear correlation and copulas (by Matlab)
- Maximum likelihood for t-copula's degree of freedom (by Matlab)
- Monte Carlo