BestMasters

Collateralized Debt Obligations

A Moment Matching Pricing Technique based on Copula Functions

Authors: Marcantoni, Enrico

  • Study in the field of economic sciences

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eBook $69.99
price for USA (gross)
  • ISBN 978-3-658-04846-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-04845-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

About the authors

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).

Table of contents (7 chapters)

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-658-04846-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-04845-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Collateralized Debt Obligations
Book Subtitle
A Moment Matching Pricing Technique based on Copula Functions
Authors
Series Title
BestMasters
Copyright
2014
Publisher
Gabler Verlag
Copyright Holder
Springer Fachmedien Wiesbaden
eBook ISBN
978-3-658-04846-4
DOI
10.1007/978-3-658-04846-4
Softcover ISBN
978-3-658-04845-7
Edition Number
1
Number of Pages
XV, 95
Number of Illustrations and Tables
14 b/w illustrations
Topics