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Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions (BestMasters) - Softcover

Marcantoni, Enrico

 
9783658048457: Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions (BestMasters)
Softcover
ISBN 10: 365804845X ISBN 13: 9783658048457
Verlag: Springer Gabler, 2014

Inhaltsangabe

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

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Über die Autorin bzw. den Autor

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).

Von der hinteren Coverseite

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.

Contents

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

Target Groups

  • Researchers in the field of Finance
  • Practitioners of Financial Institutions

The Author

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).

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Verlag
Springer Gabler
Erscheinungsdatum
2014
Sprache
Englisch
ISBN 10 
365804845X
ISBN 13 
9783658048457
Einband
Taschenbuch
Anzahl der Seiten
112
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