Collateralized Debt Obligations A Moment Matching Pricing Technique based on Copula Functions /

• Main Author: Marcantoni, Enrico (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
• Series: BestMasters
• Subjects: Business.; Management science.; Finance.; Business and Management.; Business and Management, general.; Finance, general.

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 particula...

Table of Contents:

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