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Collateralized Debt Obligations
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A Moment Matching Pricing Technique based on Copula Functions
Paperback
Print on Demand | Lieferzeit: Print on Demand - Lieferbar innerhalb von 3-5 Werktagen I
Artikel-Nr:
9783658048457
Veröffentl:
2014
Einband:
Paperback
Erscheinungsdatum:
03.02.2014
Seiten:
112
Autor:
Enrico Marcantoni
Gewicht:
157 g
Format:
210x148x7 mm
Serie:
BestMasters
Sprache:
Englisch
Beschreibung:
Enrico Marcantoni obtained his Master Degree in Quantitative Finance at the University of Bologna (Italy) taking part in a Double Degree Program in collaboration with the Master in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna (Austria).
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.
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
CDO: General Characteristics.- Credit Risk Modeling.- Copula Functions and Dependency Concepts.- Moment Matching Approximation.- Extensions to the Model.- Implementation.