Coverart for item
The Resource Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)

Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)

Label
Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions
Title
Collateralized Debt Obligations
Title remainder
A Moment Matching Pricing Technique based on Copula Functions
Statement of responsibility
by Enrico Marcantoni
Creator
Author
Subject
Language
eng
Summary
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).--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Marcantoni, Enrico
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
KvaLM3YYfVI
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • BestMasters,
  • Springer eBooks.
http://library.link/vocab/subjectName
  • Business
  • Management science
  • Finance
Label
Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1007/978-3-658-04846-4
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching Approximation -- Extensions to the Model -- Implementation
Control code
978-3-658-04846-4
Dimensions
unknown
Edition
1st ed. 2014.
Extent
1 online resource (XV, 95 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658048464
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-658-04846-4
Other physical details
14 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)877866857
Label
Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions, by Enrico Marcantoni, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1007/978-3-658-04846-4
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching Approximation -- Extensions to the Model -- Implementation
Control code
978-3-658-04846-4
Dimensions
unknown
Edition
1st ed. 2014.
Extent
1 online resource (XV, 95 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658048464
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-658-04846-4
Other physical details
14 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)877866857

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