Collateralized Debt Obligations: A Moment Matching Pricing Technique Based on Copula Functions

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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 ...

Collateralized Debt Obligations: A Moment Matching Pricing Technique Based on Copula Functions 2014, Springer Gabler

ISBN-13: 9783658048457

2014 edition

Trade paperback

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