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

• Κύριος συγγραφέας: Marcantoni, Enrico (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
• Σειρά: BestMasters
• Θέματα: 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...

Πίνακας περιεχομένων:

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