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Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions [Repost]
![Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions [Repost]](https://pixhost.icu/avaxhome/58/df/002edf58.jpeg)
Enrico Marcantoni - Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions
Published: 2014-02-03 | ISBN: 365804845X | PDF | 95 pages | 5 MB
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.
Contents
CDO: General Characteristics
Credit Risk Modeling
Copula Functions and Dependency Concepts
Moment Matching Approximation
Extensions to the Model
Implementation
Target Groups
Researchers in the field of Finance
Practitioners of Financial Institutions