Collateralized Debt Obligations - E-book

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Collateralized Debt Obligations - ENG

A Moment Matching Pricing Technique Based On Copula Functions

Enrico Marcantoni

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Sinopsis

ISBN:	9783658048464
Formato:	Page Fidelity
Idioma:	Inglés
Editorial:	Springer Nature
Tema:	Negocios y economía
Subtema:	Ciencia de la gestión
Año de publicación:	2014-01-22

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.

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