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Titlebook: Collateralized Debt Obligations; A Moment Matching Pr Enrico Marcantoni Book 2014 Springer Fachmedien Wiesbaden 2014 CDO/CDX.Copula Functio

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发表于 2025-3-21 19:59:42 | 显示全部楼层 |阅读模式
书目名称Collateralized Debt Obligations
副标题A Moment Matching Pr
编辑Enrico Marcantoni
视频videohttp://file.papertrans.cn/230/229505/229505.mp4
概述Study in the field of economic sciences.Includes supplementary material:
丛书名称BestMasters
图书封面Titlebook: Collateralized Debt Obligations; A Moment Matching Pr Enrico Marcantoni Book 2014 Springer Fachmedien Wiesbaden 2014 CDO/CDX.Copula Functio
描述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.
出版日期Book 2014
关键词CDO/CDX; Copula Functions; Derivatives; Pricing Techniques; Risk Management
版次1
doihttps://doi.org/10.1007/978-3-658-04846-4
isbn_softcover978-3-658-04845-7
isbn_ebook978-3-658-04846-4Series ISSN 2625-3577 Series E-ISSN 2625-3615
issn_series 2625-3577
copyrightSpringer Fachmedien Wiesbaden 2014
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发表于 2025-3-21 22:34:56 | 显示全部楼层
Jörg Krause,Christian Langhirt,Martin Döringvatives, such as collateralized debt obligations (CDOs)..The complexity of CDOs, combined with inadequate tools for modeling the risk, solicited the formation of a more robust approach to measure and price them.
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发表于 2025-3-22 01:45:41 | 显示全部楼层
https://doi.org/10.1057/9781137088369first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna .. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring to the dependence chosen.
Directed
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发表于 2025-3-22 06:01:32 | 显示全部楼层
https://doi.org/10.1007/978-3-658-04846-4CDO/CDX; Copula Functions; Derivatives; Pricing Techniques; Risk Management
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发表于 2025-3-22 09:15:00 | 显示全部楼层
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发表于 2025-3-22 15:19:10 | 显示全部楼层
Introduction,vatives, such as collateralized debt obligations (CDOs)..The complexity of CDOs, combined with inadequate tools for modeling the risk, solicited the formation of a more robust approach to measure and price them.
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发表于 2025-3-22 18:04:18 | 显示全部楼层
Implementation,first section the pricing of the CDX tranches will be obtained by implementing the original model of Castagna .. reported in chapter 5. This is the first time that the method is numerically implemented with real data. The first implementation will be denoted in the following as Gaussian, referring to the dependence chosen.
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发表于 2025-3-22 21:13:33 | 显示全部楼层
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发表于 2025-3-23 04:38:56 | 显示全部楼层
Personalization and Social Features,rs..A general distribution function, in our example a distribution function of a portfolio of several obligors, contains information about both marginal obligor distribution and their correlation structure. However these two parts are implicit in it. A copula function is a tool, allowing a way of is
Ingenuity
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发表于 2025-3-23 06:51:32 | 显示全部楼层
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