The Resource Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)

Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)

Label
Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions
Title
Collateralized Debt Obligations
Title remainder
A Moment Matching Pricing Technique based on Copula Functions
Statement of responsibility
by Enrico Marcantoni
Creator
Author
Author
Subject
Language
  • eng
  • eng
Summary
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)
Member of
http://library.link/vocab/creatorName
Marcantoni, Enrico
Dewey number
  • 332.632
  • 332.6323
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
KvaLM3YYfVI
Language note
English
LC call number
  • HF4999.2-6182
  • HD28-70
Literary form
non fiction
Nature of contents
dictionaries
Series statement
BestMasters,
http://library.link/vocab/subjectName
  • Business
  • Finance
  • Business and Management, general
  • Finance, general
Label
Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching Approximation -- Extensions to the Model -- Implementation
Dimensions
unknown
Extent
1 online resource (102 p.)
Form of item
online
Isbn
9783658048464
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-658-04846-4
Specific material designation
remote
System control number
  • (CKB)2550000001199617
  • (EBL)1698387
  • (OCoLC)879431139
  • (SSID)ssj0001185821
  • (PQKBManifestationID)11708211
  • (PQKBTitleCode)TC0001185821
  • (PQKBWorkID)11211242
  • (PQKB)10248093
  • (MiAaPQ)EBC1698387
  • (DE-He213)978-3-658-04846-4
  • (EXLCZ)992550000001199617
Label
Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)
Publication
Note
Description based upon print version of record
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Content category
text
Content type code
  • txt
Contents
CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching Approximation -- Extensions to the Model -- Implementation
Dimensions
unknown
Extent
1 online resource (102 p.)
Form of item
online
Isbn
9783658048464
Media category
computer
Media type code
  • c
Other control number
10.1007/978-3-658-04846-4
Specific material designation
remote
System control number
  • (CKB)2550000001199617
  • (EBL)1698387
  • (OCoLC)879431139
  • (SSID)ssj0001185821
  • (PQKBManifestationID)11708211
  • (PQKBTitleCode)TC0001185821
  • (PQKBWorkID)11211242
  • (PQKB)10248093
  • (MiAaPQ)EBC1698387
  • (DE-He213)978-3-658-04846-4
  • (EXLCZ)992550000001199617

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