Pricing and Risk Management of Synthetic CDOs

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Finance & Investing, Finance
Cover of the book Pricing and Risk Management of Synthetic CDOs by Anna Schlösser, Springer Berlin Heidelberg
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Anna Schlösser ISBN: 9783642156090
Publisher: Springer Berlin Heidelberg Publication: February 4, 2011
Imprint: Springer Language: English
Author: Anna Schlösser
ISBN: 9783642156090
Publisher: Springer Berlin Heidelberg
Publication: February 4, 2011
Imprint: Springer
Language: English

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 large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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 large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regime.

More books from Springer Berlin Heidelberg

Cover of the book Behavioral Neuroscience of Drug Addiction by Anna Schlösser
Cover of the book Progress of Geo-Disaster Mitigation Technology in Asia by Anna Schlösser
Cover of the book Diffeomorphisms of Elliptic 3-Manifolds by Anna Schlösser
Cover of the book The Implantable Cardioverter/Defibrillator by Anna Schlösser
Cover of the book Vom Baby zum Kleinkind by Anna Schlösser
Cover of the book Soziobiologie by Anna Schlösser
Cover of the book Wild Crop Relatives: Genomic and Breeding Resources by Anna Schlösser
Cover of the book Sustainable Automotive Energy System in China by Anna Schlösser
Cover of the book Experimentalphysik 3 by Anna Schlösser
Cover of the book Kreiselpumpen by Anna Schlösser
Cover of the book Hidden Champions in CEE and Turkey by Anna Schlösser
Cover of the book The Software Dilemma by Anna Schlösser
Cover of the book Corpuscles by Anna Schlösser
Cover of the book Surgery of the Abdominal Wall by Anna Schlösser
Cover of the book Solid State NMR by Anna Schlösser
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy