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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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.


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


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