Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions - BestMasters - Enrico Marcantoni - Books - Springer - 9783658048457 - February 3, 2014
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Enrico Marcantoni
Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions - BestMasters

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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.

109 pages, 14 black & white illustrations, 16 black & white tables, biography

Media Books     Paperback Book   (Book with soft cover and glued back)
Released February 3, 2014
ISBN13 9783658048457
Publishers Springer
Pages 95
Dimensions 148 × 210 × 7 mm   ·   154 g
Language French  

Mere med samme udgiver

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