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 are theoretically derived and possible delta-hedging approaches are discussed. Three different periods (calm, volatile and distressed market situations), with data from the European iTraxx portfolio, are defined to calibrate the models and to evaluate their hedging performances. In addition to that, it is tested whether there is a relation between the bad market fit of the Gauss one-factor copula model and the volatility of the random correlation in its extension.     «

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...     »