Copula Time-To-Default Sheet Usage

The Time-To-Default simulator AddIn is a sophisticated model to simulate correlated defaults.
The copula model is actually quite robust provided you respect input data referential integrity.


If you are new to copula technology, we strongly recommend you first tweak the simulator by adjusting Credit Curves through the shift values and the correlation Default Correlation first as these are the two most important input fields to simulating default.

Once you are at ease with these input

The  fields outlined in red can be modified safely provided you understand their boundary conditions.