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

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Palgrave Studies in Oral Historyn rewritten in terms of Clayton Copula. The proxy distribution used is the Large Portfolio loss distribution for Archimedean copulas, from which I derived the moments (Proposition 6.1 and 6.2). Finally I derived the . formula for this setup (Proposition 6.3).

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Extensions to the Model,n rewritten in terms of Clayton Copula. The proxy distribution used is the Large Portfolio loss distribution for Archimedean copulas, from which I derived the moments (Proposition 6.1 and 6.2). Finally I derived the . formula for this setup (Proposition 6.3).

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Book 2014prices, 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.

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2625-3577 smaller equity and mezzanine tranches. The senior and super senior tranches levels are higher when the dependence is modeled by a Clayton copula.978-3-658-04845-7978-3-658-04846-4Series ISSN 2625-3577 Series E-ISSN 2625-3615

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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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Copula functions and dependency concepts,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

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Extensions to the Model,st extension I have rewritten the original model in terms of Archimedean Copulas. The dependencies structure of the original loss distribution has been rewritten in terms of Clayton Copula. The proxy distribution used is the Large Portfolio loss distribution for Archimedean copulas, from which I der