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Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions - BestMasters Enrico Marcantoni
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Collateralized Debt Obligations: A Moment Matching Pricing Technique based on Copula Functions - BestMasters
Enrico Marcantoni
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
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