Pricing and Risk Management of Synthetic CDOs

Authors:

ISBN: 978-3-642-15608-3 (Print) 978-3-642-15609-0 (Online)

Table of contents (10 chapters)

  1. Front Matter

    Pages i-xii

  2. Introduction

    1. Front Matter

      Pages 5-5

    2. No Access

      Chapter

      Pages 1-4

      Introduction

  3. Fundamentals

    1. Front Matter

      Pages 5-5

    2. No Access

      Chapter

      Pages 7-66

      Credit Derivatives and Markets

    3. No Access

      Chapter

      Pages 67-92

      Mathematical Preliminaries

  4. Static Models

    1. Front Matter

      Pages 93-93

    2. No Access

      Chapter

      Pages 95-127

      One Factor Gaussian Copula Model

    3. No Access

      Chapter

      Pages 129-163

      Normal Inverse Gaussian Factor Copula Model

  5. Term-Structure Models

    1. Front Matter

      Pages 165-165

    2. No Access

      Chapter

      Pages 167-176

      Term Structure Dimension

    3. No Access

      Chapter

      Pages 177-183

      Large Homogeneous Cell Approximation for Factor Copula Models

    4. No Access

      Chapter

      Pages 185-226

      Regime-Switching Extension of the NIG Factor Copula Model

    5. No Access

      Chapter

      Pages 227-252

      Simulation Framework

    6. No Access

      Chapter

      Pages 253-256

      Conclusion

  6. Back Matter

    Pages 257-268