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Collateralized Debt Obligations

A Moment Matching Pricing Technique based on Copula Functions

  • Enrico¬†Marcantoni

Part of the BestMasters book series (BEST)

Table of contents

  1. Front Matter
    Pages I-XV
  2. Enrico Marcantoni
    Pages 1-5
  3. Enrico Marcantoni
    Pages 7-20
  4. Enrico Marcantoni
    Pages 21-34
  5. Enrico Marcantoni
    Pages 35-46
  6. Enrico Marcantoni
    Pages 47-54
  7. Enrico Marcantoni
    Pages 55-62
  8. Enrico Marcantoni
    Pages 63-80
  9. Back Matter
    Pages 81-93

About this book

Introduction

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

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).

Keywords

CDO/CDX Copula Functions Derivatives Pricing Techniques Risk Management

Authors and affiliations

  • Enrico¬†Marcantoni
    • 1
  1. 1.ViennaAustria

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-04846-4
  • Copyright Information Springer Fachmedien Wiesbaden 2014
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Business and Economics
  • Print ISBN 978-3-658-04845-7
  • Online ISBN 978-3-658-04846-4
  • Buy this book on publisher's site
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