TY - BOOK ID - 8654483 TI - Pricing and Risk Management of Synthetic CDOs PY - 2011 VL - 646 SN - 3642156088 9786613080189 3642156096 1283080184 PB - Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, DB - UniCat KW - Asset-backed financing. KW - Collateralized debt obligations. KW - Credit -- Mathematical models. KW - Investment analysis. KW - Finance KW - Business & Economics KW - Investment & Speculation KW - Finance - General KW - Banking KW - Credit KW - Mathematical models. KW - CDOs (Collateralized debt obligations) KW - Finance. KW - Applied mathematics. KW - Engineering mathematics. KW - Economics, Mathematical. KW - Finance, general. KW - Quantitative Finance. KW - Applications of Mathematics. KW - Credit derivatives KW - Mathematics. KW - Math KW - Science KW - Funding KW - Funds KW - Economics KW - Currency question KW - Economics, Mathematical . KW - Engineering KW - Engineering analysis KW - Mathematical analysis KW - Mathematical economics KW - Econometrics KW - Mathematics KW - Methodology KW - Social sciences KW - Financial Economics. KW - Mathematics in Business, Economics and Finance. UR - https://www.unicat.be/uniCat?func=search&query=sysid:8654483 AB - 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. ER -