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020 _a9783658048464
_9978-3-658-04846-4
024 7 _a10.1007/978-3-658-04846-4
_2doi
035 _ato000545330
040 _aSpringer
_cSpringer
_dRU-ToGU
050 4 _aHF4999.2-6182
050 4 _aHD28-70
072 7 _aKJ
_2bicssc
072 7 _aBUS042000
_2bisacsh
082 0 4 _a650
_223
100 1 _aMarcantoni, Enrico.
_eauthor.
_9453432
245 1 0 _aCollateralized Debt Obligations
_helectronic resource
_bA Moment Matching Pricing Technique based on Copula Functions /
_cby Enrico Marcantoni.
260 _aWiesbaden :
_bSpringer Fachmedien Wiesbaden :
_bImprint: Springer Gabler,
_c2014.
300 _aXV, 95 p. 14 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aBestMasters
505 0 _aCDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching Approximation -- Extensions to the Model -- Implementation.
520 _aThe 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 The Author 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).
650 0 _aEconomics.
_9135154
650 1 4 _aEconomics/Management Science.
_9247365
650 2 4 _aBusiness/Management Science, general.
_9247366
650 2 4 _aFinance/Investment/Banking.
_9416068
710 2 _aSpringerLink (Online service)
_9143950
773 0 _tSpringer eBooks
830 0 _aBestMasters
_9567407
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-658-04846-4
912 _aZDB-2-BHS
999 _c403006