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Dokumenttyp:
Diplomarbeit 
Autor(en):
Spitaler, Patrick 
Titel:
Pricing and hedging of CDO tranches using CIID models 
Abstract:
In this diploma thesis, CIID CDO models are empirically compared regarding their hedging and pricing abilities. These models include the market-standard Gauss one factor copula model, two extensions of this model (one with stochastic recovery rate, the other with stochastic correlation), the Lévy models and the Archimedean models. For the continuous distribution of the stochastic correlation a very flexible distribution with bounded support, the Kumaraswamy distribution, is applied. The models a...    »
 
Betreuer:
Dr. Stephan Höcht 
Gutachter:
Prof. Dr. Matthias Scherer 
Jahr:
2011 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text