Collateralized Debt Obligations

1. Front Matter

   Pages I-XV

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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

   PDF

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.

• CDO/CDX
• Copula Functions
• Derivatives
• Pricing Techniques
• Risk Management

• Vienna, Austria

  Enrico Marcantoni

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).

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