ENGLISH

Pricing and Risk Management of Synthetic CDOs

By Anna Schlösser (auth.)

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2011
ISBN
978-3-642-15608-3, 978-3-642-15609-0
DOI
10.1007/978-3-642-15609-0
Language
english
Format
PDF
Filesize
5 MB (5456956 bytes)
Series
Lecture Notes in Economics and Mathematical Systems 646
Edition
1
Pages
268\273
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Finance/Investment/Banking; Quantitative Finance;

Description

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 regime.

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