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LEADER: 05638cam 2200925 a 4500
001 ocn710061657
003 OCoLC
005 20220812034048.0
008 110331s2011 gw a ob 000 0 eng d
006 m o d
007 cr cn|||||||||
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020 $a9783642156090$q(electronic bk.)
020 $a3642156096$q(electronic bk.)
020 $a9786613080189
020 $a6613080187
020 $z3642156088
020 $z9783642156083
024 7 $a10.1007/978-3-642-15609-0$2doi
035 $a(OCoLC)710061657$z(OCoLC)708568090$z(OCoLC)779852217$z(OCoLC)1044242816$z(OCoLC)1056406632$z(OCoLC)1065404605$z(OCoLC)1086929434$z(OCoLC)1087412243$z(OCoLC)1105588945$z(OCoLC)1113628306$z(OCoLC)1256354028
037 $a978-3-642-15608-3$bSpringer$nhttp://www.springerlink.com
050 4 $aHG6024.A3$bS35 2011
072 7 $aBUS$x036010$2bisacsh
082 04 $a332.6323$222
100 1 $aSchlösser, Anna.
245 10 $aPricing and risk management of synthetic CDOs /$cAnna Schlösser.
260 $aBerlin :$bSpringer Verlag,$c©2011.
300 $a1 online resource (xii, 268 pages) :$billustrations
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
490 1 $aLecture notes in economics and mathematical systems ;$v646
504 $aIncludes bibliographical references.
588 0 $aPrint version record.
505 0 $aIntroduction -- 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 -- Conclusion.
520 $aThis 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.
650 0 $aCollateralized debt obligations.
650 0 $aCredit$xMathematical models.
650 6 $aObligations adossées à des créances.
650 6 $aCrédit$xModèles mathématiques.
650 7 $aBUSINESS & ECONOMICS$xInvestments & Securities$xBonds.$2bisacsh
650 7 $aScience économique.$2eclas
650 7 $aAffaires.$2eclas
650 7 $aCollateralized debt obligations.$2fast$0(OCoLC)fst01201537
650 7 $aCredit$xMathematical models.$2fast$0(OCoLC)fst00882543
650 7 $aKreditrisiko$2gnd
650 7 $aCollateralized debt obligation$2gnd
650 7 $aPreisbildung$2gnd
650 7 $aRisikomanagement$2gnd
650 7 $aKopula$gMathematik$2gnd
653 00 $aeconomie
653 00 $aeconomics
653 00 $abedrijfswetenschap
653 00 $amanagement science
653 00 $afinance
653 00 $abankwezen
653 00 $abanking sector
653 00 $atoegepaste wiskunde
653 00 $aapplied mathematics
653 10 $aManagement studies, Business Administration, Organizational Science (General)
653 10 $aManagement, bedrijfskunde, organisatiekunde (algemeen)
655 4 $aElectronic books.
776 08 $iPrint version:$aSchlösser, Anna.$tPricing and risk management of synthetic CDOs.$dBerlin : Springer Verlag, ©2011$z9783642156083$w(OCoLC)663950162
830 0 $aLecture notes in economics and mathematical systems ;$v646.
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856 40 $3SpringerLink$uhttps://doi.org/10.1007/978-3-642-15609-0
856 40 $3SpringerLink$uhttps://link.springer.com/book/10.1007%2F978-3-642-15608-3
856 40 $3SpringerLink$uhttps://link.springer.com/book/10.1007%2F978-3-642-15609-0
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948 $hNO HOLDINGS IN IME - 333 OTHER HOLDINGS