Collateralized Debt Obligations (Record no. 51167)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02968nam a22004815i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-658-04846-4 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200420211749.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 140122s2014 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9783658048464 |
| -- | 978-3-658-04846-4 |
| 082 04 - CLASSIFICATION NUMBER | |
| Call Number | 650 |
| 100 1# - AUTHOR NAME | |
| Author | Marcantoni, Enrico. |
| 245 10 - TITLE STATEMENT | |
| Title | Collateralized Debt Obligations |
| Sub Title | A Moment Matching Pricing Technique based on Copula Functions / |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | XV, 95 p. 14 illus. |
| 490 1# - SERIES STATEMENT | |
| Series statement | BestMasters |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Remark 2 | CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching Approximation -- Extensions to the Model -- Implementation. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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). |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-3-658-04846-4 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | eBooks |
| 264 #1 - | |
| -- | Wiesbaden : |
| -- | Springer Fachmedien Wiesbaden : |
| -- | Imprint: Springer Gabler, |
| -- | 2014. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
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| -- | rda |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Business. |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Management science. |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Finance. |
| 650 14 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Business and Management. |
| 650 24 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Business and Management, general. |
| 650 24 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Finance, general. |
| 912 ## - | |
| -- | ZDB-2-SBE |
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