Pricing and Risk Management of Synthetic CDOs

by Anna Schlösser

Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models -- Large Homogeneous Cell Approximation for Factor Copula Models -- Regime-Switching Extension of the NIG Factor Copula Model -- Simulation Framework -- Conclusion

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Year of publication:	2011
Authors:	Schlösser, Anna
Publisher:	Berlin, Heidelberg : Springer Berlin Heidelberg
Subject:	Asset-Backed Securities \| Asset-backed securities \| Derivat \| Derivative \| Finanzanalyse \| Financial analysis \| Portfolio-Management \| Portfolio selection \| Multivariate Verteilung \| Multivariate distribution \| Zinsstruktur \| Yield curve \| Simulation \| Theorie \| Theory \| Kreditrisiko \| Collateralized debt obligation \| Preisbildung \| Risikomanagement \| Kopula <Mathematik>
Description of contents:	Table of Contents [external.dandelon.com] ; Description [swbplus.bsz-bw.de]

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Extent:	Online-Ressource (XII, 288p. 90 illus, digital)
Series:	Lecture Notes in Economics and Mathematical Systems ; 646 SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references Pricing and Risk Management of Synthetic CDOs; Acknowledgements; Contents; Chapter 1 Introduction; Part I Fundamentals; Chapter 2 Credit Derivatives and Markets; Chapter 3 Mathematical Preliminaries; Part II Static Models; Chapter 4 One Factor Gaussian Copula Model; Chapter 5 Normal Inverse Gaussian Factor Copula Model; Part III Term-Structure Models; Chapter 6 Term Structure Dimension; Chapter 7 Large Homogeneous Cell Approximation for Factor Copula Models; Chapter 8 Regime-Switching Extension of the NIG Factor Copula Model; Chapter 9 Simulation Framework; Chapter 10 Conclusion Appendix A Some Results in Chapter 4A.1 Proof of Proposition 4.1; A.2 Proof of Proposition 4.2; A.3 Lemma on Change of Limit and Integration Order; A.4 Proof of Lemma on Expected Tranche Loss; Appendix B Normal Inverse Gaussian Process; References
ISBN:	978-3-642-15609-0 ; 978-3-642-15608-3
Other identifiers:	10.1007/978-3-642-15609-0 [DOI]
Classification:	Methoden und Techniken der Betriebswirtschaft ; Numerische Mathematik ; Wahrscheinlichkeitsrechnung
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014015252