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Collateralized Debt Obligations
Enrico Marcantoni
€ 74.24
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Description for Collateralized Debt Obligations
Paperback. Series: BestMasters. Num Pages: 110 pages, 14 black & white illustrations, 16 black & white tables, biography. BIC Classification: KFF; KJ. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 7. Weight in Grams: 159.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2014
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
110
Condition
New
Series
BestMasters
Number of Pages
95
Place of Publication
, Germany
ISBN
9783658048457
SKU
V9783658048457
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Enrico Marcantoni
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).
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