Abstract
In this Chapter will be presented two extensions I bring to the original model of Castagna et al., representing the main research targets of the thesis.
In the first extension I have rewritten the original model in terms of Archimedean Copulas. The dependencies structure of the original loss distribution has been rewritten in terms of Clayton Copula. The proxy distribution used is the Large Portfolio loss distribution for Archimedean copulas, from which I derived the moments (Proposition 6.1 and 6.2). Finally I derived the ETL formula for this setup (Proposition 6.3).
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© 2014 Springer Fachmedien Wiesbaden
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Marcantoni, E. (2014). Extensions to the Model. In: Collateralized Debt Obligations. BestMasters. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-04846-4_6
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DOI: https://doi.org/10.1007/978-3-658-04846-4_6
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Publisher Name: Springer Gabler, Wiesbaden
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Online ISBN: 978-3-658-04846-4
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