Copula Time-To-Default Model

Referential Integrity

When you use the copula xll with the delivered Excel(R) spreadsheet you might get
a "Data Corrupt"  Message instead of the expected time-to-default values.

This happens when you break the referential integrity of the Copula Time-To-Default AddIn input fields.

Here are some of the most obvious reasons why this might occurs:

1) Bad probability evolution over time steps
Your credit (default) curves must be NON-DECREASING for Hazards, Cumulative Hazards,
Defaults and Marginal Conditional defaults/forward no-default and NON-INCREASING for Survival.

2) Issuer-Obligor/Asset name integrity.
The Asset/Obligor/Issuer Label (Test1, Test2, ....) in the asset/obligor correlation matrix must match
the name of the Asset/Obligors/Issuers defined in the Obligor Definition spreadsheet.
If you change the name of the obligor in the Asset Correlation matrix you must change the name in the
Obligor definition Sheet.

3) Credit-Curve referential integrity.
The Credit Curve Name in the Credit Curves input data source must include all the credit curve names of the active obligors in the Asset/Obligor/Issuer Definition spreadsheet. i.e.
For example, if you change the name of the credit curves in the credit curve input source you must ensure this name is also changed in the last column of the Obligor definition Sheet.


4) The Credit Curve probability values must fit their description in curve type.
Each Credit Curve type corresponds to a probability type that has specific boundary and time-step conditions.
These conditions must be respected, less you will get a "Data Corrupt" message.
Each Credit Curve type has a specific type of probability.
Curve Type can be defined in name or as a numeric value.
If your curve type is a hazard curve, the values must correspond to Hazards.
If you need to convert values from one type of curve to another use the CreditCurve AddIn as it is designed to do exactly that.

The Credit Curve Format is defined accordingly:
Every row that begins with # is not considered a valid row