Copula models and the financial crisis: how to price synthetic CDOs’ tranches
Oteri, Andrea Martina (A.A. 2019/2020) Copula models and the financial crisis: how to price synthetic CDOs’ tranches. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 90. [Master's Degree Thesis]
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Abstract/Index
An introduction to the crisis. Securitization. ABSs. MBSs and the housing bubble. The collapse. Credit risk. Definition and main components of credit risk. Modelling transition probabilities and default probabilities. Structural model for default probabilities. How to extract default probabilities. Copula models and the pricing of a CDO. Joint default probabilities, marginal default probabilities: Sklar’s theorem. Other types of copula functions. Pricing models for CDOs. Application: pricing CDO tranches on the 5 years CDX NA V34 applying the one factor Gaussian copula.
References
Bibliografia: pp. 69-70.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2019/2020 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 06 May 2021 13:04 |
| Last Modified: | 06 May 2021 13:04 |
| URI: | https://tesi.luiss.it/id/eprint/29379 |
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