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Collateralized Debt Obligations - Enrico Marcantoni - Bog

- A Moment Matching Pricing Technique based on Copula Functions

af Enrico Marcantoni

indgår i BestMasters serien

Collateralized Debt Obligations af Enrico Marcantoni
Bag om Collateralized Debt Obligations

The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. 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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783658048457
  • Indbinding:
  • Paperback
  • Sideantal:
  • 95
  • Udgivet:
  • 22. Januar 2014
  • Størrelse:
  • 210x148x7 mm.
  • Vægt:
  • 1557 g.
  • 2-3 uger.
  • 7. Juni 2024
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The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. 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.

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