Copula dynamics in collateralized debt obligations
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
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Berlin
2013
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| 100 | 1 | |a Choroś-Tomczyk, Barbara |d 1983- |e Verfasser |0 (DE-588)1043168915 |4 aut | |
| 245 | 1 | 0 | |a Copula dynamics in collateralized debt obligations |c von Barbara Choroś-Tomczyk |
| 264 | 1 | |a Berlin |c 2013 | |
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| 502 | |a Berlin, Humboldt-Univ., Diss., 2013 | ||
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| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
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Datensatz im Suchindex
| _version_ | 1819773806739193856 |
|---|---|
| adam_text | CONTENTS
1 INTRODUCTION 1
2 MODELLING OF COLLATERALIZED DEBT OBLIGATIONS 7
2.1 COLLATERALIZED DEBT OBLIGATIONS 7
2.2 DEFAULT PROBABILITIES 9
2.3 CREDIT DEFAULT SWAPS 11
2.4 CDO VALUATION 15
2.5 COPULAE 18
2.6 CDO COPULA MODELS 22
2.6.1 MONTE CARLO SIMULATION APPROACH 23
2.6.2 LARGE POOL APPROACH 24
2.7 TYPES OF DEPENDENCE PARAMETERS 28
2.7.1 COMPOUND CORRELATION AND COMPOUND PARAMETER 28
2.7.2 BASE CORRELATION AND BASE PARAMETER 28
3 CDO VALUATION WITH HIERARCHICAL ARCHIMEDEAN COPULAE 31
3.1 INTRODUCTION 31
3.2 HAC MODELS 32
3.2.1 JOINT DEFAULTS 32
3.2.2 LOSS GIVEN DEFAULT 35
3.3 EMPIRICAL RESULTS 40
3.3.1 CALIBRATION 40
3.3.2 GENERAL RESULTS 46
3.3.3 RELATIONSHIP WITH ECONOMIC INDICATORS 51
3.3.4 TRANCHE FIT 57
3.3.5 IMPLIED PARAMETERS 59
3.4 CONCLUSIONS 61
4 COPULA DYNAMICS IN CDOS 62
4.1 INTRODUCTION 62
4.2 TIME DYNAMICS 63
4.2.1 PARAMETERS DYNAMICS AND VAR MODELS 63
VI
HTTP://D-NB.INFO/1043811710
CONTENTS
4.2.2 BACKTESTING 66
4.3 EMPIRICAL RESULTS 68
4.3.1 PARAMETER CALIBRATION 69
4.3.2 MODELS ESTIMATION 71
4.3.3 VAR RESULTS 72
4.3.4 DISTRIBUTION FORECAST RESULTS 73
4.3.5 SPREAD PREDICTION 86
4.4 CONCLUSIONS 88
5 CDO SURFACES DYNAMICS 89
5.1 INTRODUCTION 89
5.2 DYNAMIC SEMIPARAMETRIC FACTOR MODEL 91
5.3 MODELLING THE DYNAMICS OF CDO SURFACES 94
5.3.1 DATA DESCRIPTION 94
5.3.2 DSFM ESTIMATION RESULTS 98
5.4 APPLICATIONS IN TRADING 104
5.4.1 CURVE TRADES 104
5.4.2 EMPIRICAL RESULTS 107
5.5 CONCLUSIONS 121
|
| any_adam_object | 1 |
| author | Choroś-Tomczyk, Barbara 1983- |
| author_GND | (DE-588)1043168915 |
| author_facet | Choroś-Tomczyk, Barbara 1983- |
| author_role | aut |
| author_sort | Choroś-Tomczyk, Barbara 1983- |
| author_variant | b c t bct |
| building | Verbundindex |
| bvnumber | BV041354920 |
| classification_rvk | QK 660 QK 620 |
| ctrlnum | (OCoLC)864671816 (DE-599)BVBBV041354920 |
| dewey-full | 332.6323015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6323015195 |
| dewey-search | 332.6323015195 |
| dewey-sort | 3332.6323015195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV041354920 |
| illustrated | Illustrated |
| indexdate | 2024-12-24T03:54:37Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-026803404 |
| oclc_num | 864671816 |
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| owner_facet | DE-11 |
| physical | XV, 132 Bl. Ill., graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| record_format | marc |
| spellingShingle | Choroś-Tomczyk, Barbara 1983- Copula dynamics in collateralized debt obligations Mathematische Modellierung (DE-588)7651795-0 gnd Kopula Mathematik (DE-588)4529954-7 gnd Collateralized debt obligation (DE-588)7548936-3 gnd |
| subject_GND | (DE-588)7651795-0 (DE-588)4529954-7 (DE-588)7548936-3 (DE-588)4113937-9 |
| title | Copula dynamics in collateralized debt obligations |
| title_auth | Copula dynamics in collateralized debt obligations |
| title_exact_search | Copula dynamics in collateralized debt obligations |
| title_full | Copula dynamics in collateralized debt obligations von Barbara Choroś-Tomczyk |
| title_fullStr | Copula dynamics in collateralized debt obligations von Barbara Choroś-Tomczyk |
| title_full_unstemmed | Copula dynamics in collateralized debt obligations von Barbara Choroś-Tomczyk |
| title_short | Copula dynamics in collateralized debt obligations |
| title_sort | copula dynamics in collateralized debt obligations |
| topic | Mathematische Modellierung (DE-588)7651795-0 gnd Kopula Mathematik (DE-588)4529954-7 gnd Collateralized debt obligation (DE-588)7548936-3 gnd |
| topic_facet | Mathematische Modellierung Kopula Mathematik Collateralized debt obligation Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026803404&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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