Collateralized Debt Obligations: a Moment Matching Pricing Technique based on Copula Functions
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Wiesbaden
Springer Gabler
[2014]
|
| Schriftenreihe: | BestMasters
|
| Schlagworte: | |
| Online-Zugang: | BTU01 FHI01 FWS01 FWS02 UBG01 UBM01 UBT01 UBY01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | Online-Ressource (XV, 93 p. 14 illus, online resource) |
| ISBN: | 9783658048464 |
| DOI: | 10.1007/978-3-658-04846-4 |
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Datensatz im Suchindex
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|---|---|
| _version_ | 1806194720747028480 |
| adam_text | COLLATERALIZED DEBT OBLIGATIONS
/ MARCANTONI, ENRICO
: 2014
TABLE OF CONTENTS / INHALTSVERZEICHNIS
CDO: GENERAL CHARACTERISTICS.-CREDIT RISK MODELING
COPULA FUNCTIONS AND DEPENDENCY CONCEPTS
MOMENT MATCHING APPROXIMATION
EXTENSIONS TO THE MODEL
IMPLEMENTATION
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
COLLATERALIZED DEBT OBLIGATIONS
/ MARCANTONI, ENRICO
: 2014
ABSTRACT / INHALTSTEXT
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 THE AUTHOR ENRICO MARCANTONI OBTAINED HIS MASTER DEGREE IN
QUANTITATIVE FINANCE AT THE UNIVERSITY OF BOLOGNA (ITALY) TAKING PART
IN A DOUBLE DEGREE PROGRAM IN COLLABORATION WITH THE MASTER IN
QUANTITATIVE ASSET AND RISK MANAGEMENT AT THE UNIVERSITY OF APPLIED
SCIENCES (BFI) VIENNA (AUSTRIA)
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| spellingShingle | Marcantoni, Enrico Collateralized Debt Obligations a Moment Matching Pricing Technique based on Copula Functions Management Wirtschaft Economics Economics/Management Science |
| subject_GND | (DE-588)4113937-9 |
| title | Collateralized Debt Obligations a Moment Matching Pricing Technique based on Copula Functions |
| title_auth | Collateralized Debt Obligations a Moment Matching Pricing Technique based on Copula Functions |
| title_exact_search | Collateralized Debt Obligations a Moment Matching Pricing Technique based on Copula Functions |
| title_full | Collateralized Debt Obligations a Moment Matching Pricing Technique based on Copula Functions Enrico Marcantoni |
| title_fullStr | Collateralized Debt Obligations a Moment Matching Pricing Technique based on Copula Functions Enrico Marcantoni |
| title_full_unstemmed | Collateralized Debt Obligations a Moment Matching Pricing Technique based on Copula Functions Enrico Marcantoni |
| title_short | Collateralized Debt Obligations |
| title_sort | collateralized debt obligations a moment matching pricing technique based on copula functions |
| title_sub | a Moment Matching Pricing Technique based on Copula Functions |
| topic | Management Wirtschaft Economics Economics/Management Science |
| topic_facet | Management Wirtschaft Economics Economics/Management Science Hochschulschrift |
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