Collateralized Debt Obligations

A Moment Matching Pricing Technique based on Copula Functions

Paperback Engels 2014 2014e druk 9783658048457
Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. The original method is developed by Castagna, Mercurio and Mosconi in 2012. The Thesis provides an extension of the original work by generalizing the Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton copula. The method is applied to price the tranches of a CDX. By comparing the tranches prices, it is possible to notice that the Clayton approach leads to smaller equity and mezzanine tranches. The senior and super senior tranches levels are higher when the dependence is modeled by a Clayton copula.

Specificaties

ISBN13:9783658048457
Taal:Engels
Bindwijze:paperback
Aantal pagina's:95
Uitgever:Springer Fachmedien Wiesbaden
Druk:2014

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Inhoudsopgave

CDO: General Characteristics.- Credit Risk Modeling.- Copula Functions and Dependency Concepts.- Moment Matching Approximation.- Extensions to the Model.- Implementation.

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        Collateralized Debt Obligations