Collateralized Debt Obligations

Name: Collateralized Debt Obligations
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783658048457
Price: 1147 CZK
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A Moment Matching Pricing Technique based on Copula Functions

Autor: Enrico Marcantoni

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Dostupnost: Skladem u dodavatele

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The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. The original...

Informace o knize

Autor

Enrico Marcantoni

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2014

Stránek

EAN

9783658048457

ISBN

365804845X

Enbook ID

02403209

Vydavatel

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Hmotnost

1557

Rozměry

148 x 210 x 7

Kompletní popis

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.

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Collateralized Debt Obligations

A Moment Matching Pricing Technique based on Copula Functions

Informace o knize

Kompletní popis

Mohlo by vás zajímat

Zákaznicí kteří koupili tuto knihu koupili také