Collateralized debt obligations [electronic resource] : a moment matching pricing technique based on Copula functions / Enrico Marcantoni.

Collateralized debt obligations [electronic resource] : a moment matching pricing technique based on Copula functions / Enrico Marcantoni.

9783658048464 electronic book
3658048468 electronic book
9783658048457

Wiesbaden : Springer Gabler, 2014.

English

1 online resource (xv, 93 pages) : illustrations.

10.1007/978-3-658-04846-4 doi

HG6024.A3

332.63/2

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.

"Masterthesis, University of Applied Sciences (bfi) Vienna, Austria/University Bologna, Italy."

Includes bibliographical references.

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Description based on online resource; title from PDF title page (SpringerLink, viewed January 27, 2014).

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