Skip to main content
SpringerLink
Log in

Collateralized Debt Obligations

A Moment Matching Pricing Technique based on Copula Functions

  • Book
  • © 2014

Overview

Authors:
  1. Enrico Marcantoni

    1. Vienna, Austria

    View author publications

    You can also search for this author in PubMed   Google Scholar

  • Study in the field of economic sciences
  • Includes supplementary material: sn.pub/extras

Part of the book series: BestMasters (BEST)

  • 5912 Accesses

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (7 chapters)

  1. Front Matter

    Pages I-XV
    Download chapter PDF

  2. Introduction

    • Enrico Marcantoni
    Pages 1-5

  3. CDO: general characteristics

    • Enrico Marcantoni
    Pages 7-20

  4. Credit Risk Modeling

    • Enrico Marcantoni
    Pages 21-34

  5. Copula functions and dependency concepts

    • Enrico Marcantoni
    Pages 35-46

  6. Moment Matching Approximation

    • Enrico Marcantoni
    Pages 47-54

  7. Extensions to the Model

    • Enrico Marcantoni
    Pages 55-62

  8. Implementation

    • Enrico Marcantoni
    Pages 63-80

  9. Back Matter

    Pages 81-93
    Download chapter PDF
Back to top

Keywords

About this book

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.

Authors and Affiliations

  • Vienna, Austria

    Enrico Marcantoni

About 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).

Bibliographic Information

  • Book Title: Collateralized Debt Obligations

  • Book Subtitle: A Moment Matching Pricing Technique based on Copula Functions

  • Authors: Enrico Marcantoni

  • Series Title: BestMasters

  • DOI: https://doi.org/10.1007/978-3-658-04846-4

  • Publisher: Springer Gabler Wiesbaden

  • eBook Packages: Business and Economics, Business and Management (R0)

  • Copyright Information: Springer Fachmedien Wiesbaden 2014

  • Softcover ISBN: 978-3-658-04845-7Published: 03 February 2014

  • eBook ISBN: 978-3-658-04846-4Published: 22 January 2014

  • Series ISSN: 2625-3577

  • Series E-ISSN: 2625-3615

  • Edition Number: 1

  • Number of Pages: XV, 95

  • Number of Illustrations: 14 b/w illustrations

  • Topics: Business and Management, general, Finance, general

Publish with us

Policies and ethics

Back to top

Search

Navigation