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.
| ISBN: | 9783658048457 |
| Publication date: | 3rd February 2014 |
| Author: | Enrico Marcantoni |
| Publisher: | Springer Gabler an imprint of Springer Fachmedien Wiesbaden |
| Format: | Paperback |
| Pagination: | 109 pages |
| Series: | BestMasters |
| Genres: |
Business and Management Finance and the finance industry |
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.
Collateralized Debt Obligations features in the following genres: Business and Management, Finance and the finance industry
Paperback. Not Available.
Collateralized Debt Obligations was written by Enrico Marcantoni and published by Springer Gabler an imprint of Springer Fachmedien Wiesbaden
Collateralized Debt Obligations has 109 pages
Yes it is part of BestMasters series