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Pricing and Risk Management of Synthetic CDOs
Anna Schlosser
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Description for Pricing and Risk Management of Synthetic CDOs
paperback. This book outlines the one-factor copula model for credit portfolios. This is used for pricing synthetic CDO structures as well as for risk management and measurement applications, making a computationally fast model useful for scenario simulation essential. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 280 pages, 90 black & white illustrations, 51 black & white tables, biography. BIC Classification: KFFK; PBW. Category: (P) Professional & Vocational. Dimension: 234 x 157 x 14. Weight in Grams: 420.
This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the ... Read more
This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the ... Read more
Product Details
Format
Paperback
Publication date
2010
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
280
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
268
Place of Publication
Berlin, Germany
ISBN
9783642156083
SKU
V9783642156083
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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