Book 2014

Collateralized Debt Obligations

A Moment Matching Pricing Technique based on Copula Functions

Authors:

ISBN: 978-3-658-04845-7 (Print) 978-3-658-04846-4 (Online)

Table of contents (7 chapters)

  1. Front Matter

    Pages I-XV

  2. No Access

    Chapter

    Pages 1-5

    Introduction

  3. No Access

    Chapter

    Pages 7-20

    CDO: general characteristics

  4. No Access

    Chapter

    Pages 21-34

    Credit Risk Modeling

  5. No Access

    Chapter

    Pages 35-46

    Copula functions and dependency concepts

  6. No Access

    Chapter

    Pages 47-54

    Moment Matching Approximation

  7. No Access

    Chapter

    Pages 55-62

    Extensions to the Model

  8. No Access

    Chapter

    Pages 63-80

    Implementation

  9. Back Matter

    Pages 81-93