CDS Intensity Models

Introduction

This Python code contains utilities used to calibrate various intensity models to CDS spreads.

Usage

Intensity models are implemented by subclassing the CreditDefaultSwap class, implemented in CDS.py.

Calibration procedures are implemented in the Calibration.py script, and analysis of calibration results is contained in the script ParameterStabilityAnalysis.py.

Copulas are implemented in the Copula.py script, and default times are simulated in the CopulaSimulation.py script.

Graphs are created by running the GeneratePlots.py script.

Implemented Intensity Models

• Homogenous Poisson (HP)
• Inhomogenous Poisson (IHP)
• Gamma-OU (G-OU)
• Inverse Gamma-OU (IG-OU)
• Cox-Ingersoll-Ross (CIR)

Implemented Copulas

• Gaussian copulas
• Students t copulas
• Clayton copulas

Implemented Credit Derivatives

• Credit Default Swaps
• k-th-to-default Basket Swaps
• k-th-to-l-th CDO Tranches