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Pricing and Risk Management of Synthetic CDOs / by Anna Schlösser
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: SpringerLink Bücher | Lecture notes in economics and mathematical systems ; 646Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011Description: Online-Ressource (XII, 288p. 90 illus, digital)ISBN:- 9783642156090
- 657.8333
- 658.152
- 332 23
- 332.6323015118
- HG1-9999 HG4501-6051 HG1501-HG3550
- HG1-HG9999
- HG6024.A3
Contents:
Summary: 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 -- ConclusionSummary: This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO structures as well as for risk management and measurement applications involving the generation of scenarios for the complete universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially important to have a computationally fast model that can also be used in a scenario simulation framework. The well known Gaussian copula model is extended in various ways in order to improve its drawbacks of correlation smile and time inconsistency. Also the application of the large homogeneous cell assumption, that allows to differentiate between rating classes, makes the model convenient and powerful for practical applications. The Crash-NIG extension introduces an important regime-switching feature allowing the possibility of a market crash that is characterized by a high-correlation regimePPN: PPN: 1650777671Package identifier: Produktsigel: ZDB-2-SBE
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
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