Code used to implement various stochastic intensity models for univariate and multivariate credit risk models.
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CDS Intensity Models


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


Intensity models are implemented by subclassing the CreditDefaultSwap class, implemented in

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

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

Graphs are created by running the 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

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