Pricing and Risk Management of Synthetic CDOs

• Main Author: Schlösser, Anna (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2011.
• Series: Lecture Notes in Economics and Mathematical Systems, 646
• Subjects: Finance.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Finance, general.; Quantitative Finance.; Applications of Mathematics.

This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in...

Table of Contents:

• Introduction
• Part I Fundamentals: Credit Derivatives and Markets
• Mathematical Preliminaries
• Part II Static Models: One Factor Gaussian Copula Model
• Normal Inverse Gaussian Factor Copula Model
• Part III: Term-Structure Models
• Large Homogeneous Cell Approximation for Factor Copula Models
• Regime-Switching Extension of the NIG Factor Copula Model
• Simulation Framework
• Conclusion.