Collateralized Debt Obligations: A Moment Matching Pricing - download pdf or read online

By Enrico Marcantoni

The writer makes a speciality of a style to cost Collateralized Debt duties (CDO) tranches. the unique approach is built via Castagna, Mercurio and Mosconi in 2012. The Thesis presents an extension of the unique paintings by way of generalizing the Gaussian dependence by way of Copula services. specifically the version is rewritten for the explicit case of the Clayton copula. the tactic is utilized to cost the tranches of a CDX. via evaluating the tranches costs, it's attainable to note that the Clayton strategy ends up in smaller fairness and mezzanine tranches. The senior and tremendous senior tranches degrees are greater while the dependence is modeled through a Clayton copula.

Show description

Read or Download Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions PDF

Similar management science books

Geert Hofstede's Cultures and Organizations: Software for the Mind, Third PDF

The progressive research of ways where the place we grew up shapes the way in which we predict, suppose, and act-- with new dimensions and views according to learn performed in additional than seventy nations over a forty-year span, Cultures and businesses examines what drives humans apart—when cooperation is so in actual fact in everyone’s curiosity.

H. Landstrom's Pioneers in Entrepreneurship and Small Business Research PDF

World wide there's an expanding curiosity in problems with small company and entrepreneurship. because the box develops, so too do myths and critiques in regards to the financial, political, and social roles of marketers and the tools through which they're studied. to assist codify the sphere and set a learn time table for the long run, this quantity encapsulates the data that may be won from the main major examine contributions up to now.

Download e-book for iPad: Information Technology and Organizational Learning: Managing by Arthur M. Langer

A groundbreaking compilation of case stories and conception on organizational studying within the office, this ebook presents assets for researchers and enterprise practitioners alike. Integrating a transforming into details know-how infrastructure with an present crew tradition is among the greatest demanding situations dealing with human source managers and company executives this day.

Download PDF by Márcia R. F. Campiolo: Medical Office Management: Developing and Managing Systems

The current publication goals to aid and consultant docs in any distinctiveness to control his/her personal health facility or workplace, permitting the next and higher improvement of its team/staff and delivering instruments for a top quality carrier to sufferers and buyers. it really is dedicated to be the historical past for any clinical doctor’s luck in own profession, serving as a beginning for pro progress.

Extra info for Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions

Example text

Each obligor is characterized by a and a loss given default described by a stochastic random variable . In particular the is , assumed to be independent by other sources of riskiness. The portfolio loss can be written as the sum of the single obligor's losses: ∑ where is the indicator function of the default of the The stochastic variable a where ∑ - obligor. , following Gordy (2003), is assumed to be distributed as where the distinctive parameters have to be chosen such that: , is the mean of the 's distribution.

Mosconi P. (2009) Castagna A. , Mosconi P. (2012). Levy (1992), S. Wakemann (1992). 21 49 Then a proxy distribution with known distribution properties is chosen and the MM technique is applied. According to the number the distribution, the first , by solving a system of moments of of parameters which define are calibrated on the first moments of equations: { Solving this system allows to calibrate the distributions have the same parameters such that the two moments. 2) is characterized by the following moments: First moment The first moment is simply given by the expected loss: ∑ Second moment The second moment, starting from its definition, is given by: ∑ With some algebra: ∑ ( ) ∑ [ ( ) ∑∑ where 50 ∑ ( ( ) ( ) ] ( ( ) ) .

In particular, lower tail dependence means that when tends to zero like the probability mass , and not like the area of the square the corner (0,0) of the square . That is, in there must be a strong singularity of the copula's density. Upper tail dependence means the same but in the corner (1,1) of the square . Roughly speaking, upper tail dependence means that there is a tendency of assume extremes values when to assume extremes values as well. Being copula functions used to model credit default dependence, tail dependence represent a huge problem when the random variable are financial losses.

Download PDF sample

Rated 4.93 of 5 – based on 41 votes