图书名称：Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions
作者：Enrico Marcantoni
出版社：Springer
页数：102
出版时间：2014
语言：English
格式：pdf
内容简介：
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.

Table of Content

Front Matter Pages I-XV

1、Introduction Pages 1-5

2、CDO: general characteristicsPages 7-20

3、Credit Risk Modeling Pages21-34

4、Copula functions and dependency concepts Pages 35-46

5、Moment Matching ApproximationPages 47-54

6、Extensions to the ModelPages 55-62

7、Implementation Pages63-80

Back MatterPages 81-93

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