Pricing and risk management of synthetic CDOs:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2011
|
| Series: | Lecture notes in economics and mathematical systems
646 |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XII, 268 S. graph. Darst. |
| ISBN: | 9783642156083 |
Staff View
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Record in the Search Index
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| adam_text |
IMAGE 1
CONTENTS
1 INTRODUCTION 1
PART I FUNDAMENTALS
2 CREDIT DERIVATIVES AND MARKETS 7
2.1 CREDIT RISK 7
2.2 TRADITIONAL CREDIT INSTRUMENTS 7
2.2.1 LOANS 8
2.2.2 BONDS 9
2.3 GENERAL ASPECTS ON CREDIT DERIVATIVES 11
2.3.1 DEFINITION AND CLASSIFICATION OF CREDIT DERIVATIVES 11 2.3.2
REASONS FOR PARTICIPATION IN CREDIT DERIVATIVE MARKET 13 2.3.3 RISKS IN
CREDIT DERIVATIVES MARKET 15
2.4 SINGLE NAME CREDIT DERIVATIVES 17
2.4.1 CREDIT DEFAULT SWAP 17
2.4.2 CREDIT DEFAULT OPTION 18
2.4.3 TOTAL RETURN SWAP 19
2.4.4 CREDIT SPREAD OPTION 20
2.5 MULTI-NAME CREDIT DERIVATIVES 21
2.5.1 /AH-TO-DEFAULT SWAP 21
2.5.2 PORTFOLIO CREDIT DEFAULT SWAP 22
2.6 CREDIT LINKED NOTES 23
2.7 SECURITIZATION-BASED MULTI NAME CREDIT DERIVATIVES 25 2.7.1
DEFINITION AND FUNCTIONALITY 25
2.7.2 REASONS FOR THE UTILIZATION OF SECURITIZATION 28 2.7.3 RISKS
RELATED TO SECURITIZATION MARKET 29
2.7.4 CLASSIFICATION OFCDOS 30
2.7.5 TRUE SALE CDO 31
2.7.6 SYNTHETICCDO 32
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1005454558
DIGITALISIERT DURCH
IMAGE 2
X CONTENTS
2.8 CDS INDICES 34
2.8.1 TRAXX INDICES 34
2.8.2 CDX INDICES 41
2.9 CREDIT DERIVATIVES MARKETS 43
2.9.1 EVOLUTION OF THE MARKET 44
2.9.2 MARKET PARTICIPANTS 44
2.9.3 MARKET BREAKDOWN 47
2.10 SECURITIZATION MARKETS 50
2.10.1 EVOLUTION AND SIZE 51
2.10.2 MARKET BREAKDOWN 52
2.11 SUB-PRIME CRISIS 55
2.11.1 CAUSES OF THE CRISIS 56
2.11.2 IMPACT OF THE CRISIS 62
2.11.3 EFFORTS ON CRISIS FIGHTING 65
3 MATHEMATICAL PRELIMINARIES 67
3. 1 STOCHASTIC CALCULUS 67
3.1.1 PROBABILITY SPACES AND STOCHASTIC PROCESSES 67 3.1.2 STOCHASTIC
DIFFERENTIAL EQUATIONS 69
3.1.3 EQUIVALENT MEASURE 71
3.2 MODELING SINGLE-NAME DEFAULTS WITH THE INTENSITY MODELS 73 3.2.1
DEFAULT INTENSITY MODEL 73
3.2.2 VALUATIONOF SINGLE NAME CREDIT DEFAULT SWAPS 76 3.2.3 ESTIMATION
OF THE DEFAULT INTENSITY OF CREDIT DEFAULT SWAPS 78
3.3 HIDDEN MARKOV MODEL 78
3.4 RATING MIGRATION PROBABILITIES 86
3.5 PORTFOLIO OPTIMIZATION 88
3.5.1 MEAN-VARIANCE APPROACH 88
3.5.2 CONDITIONAL VALUE ATRISK APPROACH 90
PART II STATIC MODELS
4 ONE FACTOR GAUSSIAN COPULA MODEL 95
4. 1 GENERAL VALUATION FRAMEWORK FOR SYNTHETIC CDOS 95
4.2 VASICEK MODEL OF CREDIT PORTFOLIO: LARGE HOMOGENEOUS PORTFOLIO
APPROXIMATION 98
4.2.1 ONE FACTOR GAUSSIAN COPULA MODEL OF CORRELATED DEFAULTS 98 4.2.2
LOSS DISTRIBUTION OF THE LARGE HOMOGENEOUS PORTFOLIO UNDER ONE FACTOR
GAUSSIAN MODEL 100 4.2.3 LOSS DISTRIBUTION OF THE LARGE HOMOGENEOUS
PORTFOLIO UNDER A GENERAL ONE FACTOR MODEL 103 4.2.4 ANALYTIC EXPRESSION
FOR EXPECTED TRANCHE LOSS UNDER VASICEK MODEL 106
IMAGE 3
CONTENTS XI
4.2.5 EXPECTED TRANCHE LOSS OF A PORTFOLIO WITH NON-ZERO RECOVERY 106
4.2.6 CORRELATION SMILE 107
4.2.7 BASE CORRELATION APPROACH FOR VALUATION OFOFF-MARKET TRANCHES 111
4.3 OVERVIEW OF THE EXTENSIONS OF THE VASICEK MODEL 117
4.3.1 HETEROGENEOUS FINITE PORTFOLIO 117
4.3.2 DIFFERENT DISTRIBUTIONS 121
4.3.3 MORE STOCHASTIC FACTORS 123
4.3.4 COMPARISON OF THE CALIBRATION RESULTS OF THE EXTENSION MODELS IN
THE LITERATURE 1 27
5 NORMAL INVERSE GAUSSIAN FACTOR COPULA MODEL 1 29
5.1 THE MAIN PROPERTIES OF THE NORMAL INVERSE GAUSSIAN DISTRIBUTION
.129 5.2 EFFICIENT IMPLEMENTATION OF THE NIG DISTRIBUTION 136 5.3 ONE
FACTOR NIG COPULA MODEL 141
5.4 CDO VALUATION USING THE ONE FACTOR NIG MODEL 144
5.5 CALIBRATION AND DESCRIPTIVE STATISTICS OF THE ONE FACTOR NIG MODEL
147
PART III TERM-STRUCTURE MODELS
6 TERM STRUCTURE DIMENSION 1 67
6.1 EXTENSION OF THE BASE CORRELATION 167
6.2 TERM STRUCTURE ONE FACTOR NIG COPULA MODEL 170
6.3 NON-STANDARDIZED TERM-STRUCTURE NIG MODEL FORMULATION 175
7 LARGE HOMOGENEOUS CELL APPROXIMATION FOR FACTOR COPULA MODELS . 177
7.1 LHC GAUSSIAN MODEL 178
7.2 LHC NIG MODEL 181
7.3 CALIBRATION OF THE LHC MODELS 182
8 REGIME-SWITCHING EXTENSION OF THE NIG FACTOR COPULA MODEL 1 85 8. 1
NOTE ON SOME PROPERTIES OF THE TERM-STRUCTURE NIG FACTOR COPULA MODEL
185
8.2 CRASH-NIG COPULA MODEL 186
8.3 VALUATION OF CDO TRANCHES WITH THE CRASH-NIG COPULA MODEL . .201
8.4 CALIBRATION OF THE CRASH-NIG COPULA MODEL 202
8.4.1 DATA DESCRIPTION 202
8.4.2 CALIBRATION OF THE MODEL WITH TWO STATES 206
8.4.3 CALIBRATION OF THE MODEL WITH THREE STATES 216
IMAGE 4
XUE CONTENTS
9 SIMULATION FRAMEWORK 227
9. 1 RATING MIGRATION AND DEFAULT MODEL 228
9.2 INTEREST RATE MODEL 232
9.3 CREDIT SPREAD MODEL 233
9.4 CASESTUDY 235
9.4.1 MODEL CALIBRATION 235
9.4.2 SIMULATION OF THE ECONOMIE FACTORS AND PRICING OF THE CREDIT
INSTRUMENTS 238
9.4.3 ASSET ALLOCATION RESULTS 242
10 CONCLUSION 253
A SOME RESULTS IN CHAPTER 4 257
A. 1 PROOF OF PROPOSITION 4.1 257
A.2 PROOF OF PROPOSITION 4.2 258
A.3 LEMMA ON CHANGE OF LIMIT AND INTEGRATION ORDER 258
A.4 PROOF OF LEMMA ON EXPECTED TRANCHE LOSS 259
B NORMAL INVERSE GAUSSIAN PROCESS 263
REFERENCES 265 |
| any_adam_object | 1 |
| author | Schlösser, Anna |
| author_GND | (DE-588)142081833 |
| author_facet | Schlösser, Anna |
| author_role | aut |
| author_sort | Schlösser, Anna |
| author_variant | a s as |
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| dewey-full | 332.6323 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6323 |
| dewey-search | 332.6323 |
| dewey-sort | 3332.6323 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Schlösser, Anna Verfasser (DE-588)142081833 aut Pricing and risk management of synthetic CDOs Anna Schlösser Berlin [u.a.] Springer 2011 XII, 268 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 646 Zugl.: München, Techn. Univ., Diss., 2010 Preisbildung (DE-588)4047103-2 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kopula Mathematik (DE-588)4529954-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Collateralized debt obligation (DE-588)7548936-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditrisiko (DE-588)4114309-7 s Collateralized debt obligation (DE-588)7548936-3 s Preisbildung (DE-588)4047103-2 s Risikomanagement (DE-588)4121590-4 s Kopula Mathematik (DE-588)4529954-7 s DE-604 Erscheint auch als Online-Ausgabe 978-3-642-15609-0 Lecture notes in economics and mathematical systems 646 (DE-604)BV000000036 646 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3521303&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020535179&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schlösser, Anna Pricing and risk management of synthetic CDOs Lecture notes in economics and mathematical systems Preisbildung (DE-588)4047103-2 gnd Kreditrisiko (DE-588)4114309-7 gnd Kopula Mathematik (DE-588)4529954-7 gnd Risikomanagement (DE-588)4121590-4 gnd Collateralized debt obligation (DE-588)7548936-3 gnd |
| subject_GND | (DE-588)4047103-2 (DE-588)4114309-7 (DE-588)4529954-7 (DE-588)4121590-4 (DE-588)7548936-3 (DE-588)4113937-9 |
| title | Pricing and risk management of synthetic CDOs |
| title_auth | Pricing and risk management of synthetic CDOs |
| title_exact_search | Pricing and risk management of synthetic CDOs |
| title_full | Pricing and risk management of synthetic CDOs Anna Schlösser |
| title_fullStr | Pricing and risk management of synthetic CDOs Anna Schlösser |
| title_full_unstemmed | Pricing and risk management of synthetic CDOs Anna Schlösser |
| title_short | Pricing and risk management of synthetic CDOs |
| title_sort | pricing and risk management of synthetic cdos |
| topic | Preisbildung (DE-588)4047103-2 gnd Kreditrisiko (DE-588)4114309-7 gnd Kopula Mathematik (DE-588)4529954-7 gnd Risikomanagement (DE-588)4121590-4 gnd Collateralized debt obligation (DE-588)7548936-3 gnd |
| topic_facet | Preisbildung Kreditrisiko Kopula Mathematik Risikomanagement Collateralized debt obligation Hochschulschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3521303&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020535179&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT schlosseranna pricingandriskmanagementofsyntheticcdos |