Lecture Notes in Economics and Mathematical Systems

Pricing and Risk Management of Synthetic CDOs

Authors: Schlösser, Anna

  • Original research in credit portfolio modeling with strong practical reference
  • Detailed discussion of implementation issues
  • Comprehensive calibration studies with market data
  • Scenario simulation framework accompanied by an asset allocation case study
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Softcover $119.00
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About this book

This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.

Table of contents (10 chapters)

Buy this book

eBook $89.00
price for USA (gross)
  • ISBN 978-3-642-15609-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $119.00
price for USA
  • ISBN 978-3-642-15608-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Pricing and Risk Management of Synthetic CDOs
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
646
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-15609-0
DOI
10.1007/978-3-642-15609-0
Softcover ISBN
978-3-642-15608-3
Series ISSN
0075-8442
Edition Number
1
Number of Pages
XII, 268
Number of Illustrations and Tables
90 b/w illustrations
Topics