| 000 | 02968nam a22004815i 4500 | ||
|---|---|---|---|
| 001 | 978-3-658-04846-4 | ||
| 003 | DE-He213 | ||
| 005 | 20200420211749.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 140122s2014 gw | s |||| 0|eng d | ||
| 020 |
_a9783658048464 _9978-3-658-04846-4 |
||
| 024 | 7 |
_a10.1007/978-3-658-04846-4 _2doi |
|
| 050 | 4 | _aHF4999.2-6182 | |
| 050 | 4 | _aHD28-70 | |
| 072 | 7 |
_aKJ _2bicssc |
|
| 072 | 7 |
_aBUS042000 _2bisacsh |
|
| 082 | 0 | 4 |
_a650 _223 |
| 100 | 1 |
_aMarcantoni, Enrico. _eauthor. |
|
| 245 | 1 | 0 |
_aCollateralized Debt Obligations _h[electronic resource] : _bA Moment Matching Pricing Technique based on Copula Functions / _cby Enrico Marcantoni. |
| 264 | 1 |
_aWiesbaden : _bSpringer Fachmedien Wiesbaden : _bImprint: Springer Gabler, _c2014. |
|
| 300 |
_aXV, 95 p. 14 illus. _bonline resource. |
||
| 336 |
_atext _btxt _2rdacontent |
||
| 337 |
_acomputer _bc _2rdamedia |
||
| 338 |
_aonline resource _bcr _2rdacarrier |
||
| 347 |
_atext file _bPDF _2rda |
||
| 490 | 1 | _aBestMasters | |
| 505 | 0 | _aCDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching Approximation -- Extensions to the Model -- Implementation. | |
| 520 | _aThe 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). | ||
| 650 | 0 | _aBusiness. | |
| 650 | 0 | _aManagement science. | |
| 650 | 0 | _aFinance. | |
| 650 | 1 | 4 | _aBusiness and Management. |
| 650 | 2 | 4 | _aBusiness and Management, general. |
| 650 | 2 | 4 | _aFinance, general. |
| 710 | 2 | _aSpringerLink (Online service) | |
| 773 | 0 | _tSpringer eBooks | |
| 776 | 0 | 8 |
_iPrinted edition: _z9783658048457 |
| 830 | 0 | _aBestMasters | |
| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-658-04846-4 |
| 912 | _aZDB-2-SBE | ||
| 942 | _cEBK | ||
| 999 |
_c51167 _d51167 |
||