Numerical Methods For The Valuation Of Synthetic Collateralized Debt Obligations

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Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations

Author : Xiaofang Ma
Publisher :
ISBN 13 :
Total Pages : 144 pages
Book Rating : 4.:/5 (234 download)

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Book Synopsis Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations by : Xiaofang Ma

Download or read book Numerical Methods for the Valuation of Synthetic Collateralized Debt Obligations written by Xiaofang Ma and published by . This book was released on 2007 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Collateralized Debt Obligation (CDO) is a credit derivative that creates fixed income securities, which are known as tranches. A CDO is called a synthetic CDO if the risky assets in the underlying pool are credit default swaps. An essential part of the valuation of a synthetic CDO tranche is how to estimate accurately and efficiently the expected value of the tranche loss function. It is known that the expected value of a function of one random variable is completely determined by the distribution of the random variable and the function itself. A standard approach to estimate the expected value of a function of one random variable is to estimate the distribution of the underlying random variable, the pool loss in our case, and then to evaluate the expected value of the given function, the tranche loss function for our problem. Following this approach, we introduce three methods for estimating the distribution of the pool loss: a stable recursive method for computing the distribution of the pool loss exactly, an improved compound Poisson approximation method and a normal power approximation method for approximating the distribution of the pool loss.We also develop a new method that focuses on the tranche loss function directly. The tranche loss function is expressed simply in terms of two bases functions. Each of the two bases functions is a transformation of the hockey stick function h(x), where h(x) = 1-- x if 0 x

Collateralized Debt Obligations

Author : Laurie S. Goodman
Publisher : Wiley
ISBN 13 : 0471234869
Total Pages : 384 pages
Book Rating : 4.4/5 (712 download)

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Book Synopsis Collateralized Debt Obligations by : Laurie S. Goodman

Download or read book Collateralized Debt Obligations written by Laurie S. Goodman and published by Wiley. This book was released on 2002-10-02 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to the features and investment characteristics of CDOs In the bond area, collateralized debt obligations, which include collateralized bond obligations and collateralized loan obligations, are the fastest-growing sector. Collateralized Debt Obligations: Structures and Analysis describes the various products in this area-cash flow CDOs, market value CDOs, synthetic CDOs, etc.-and explains how to evaluate them. With this book as their guide, investment managers and institutional investors alike will learn how to analyze the risks associated with CDOs, create a portfolio of CDO products, and assess trading opportunities in the secondary market.

Structured Finance and Collateralized Debt Obligations

Author : Janet M. Tavakoli
Publisher : John Wiley & Sons
ISBN 13 : 0470443448
Total Pages : 590 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Structured Finance and Collateralized Debt Obligations by : Janet M. Tavakoli

Download or read book Structured Finance and Collateralized Debt Obligations written by Janet M. Tavakoli and published by John Wiley & Sons. This book was released on 2008-09-22 with total page 590 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date look at the exploding CDO and structured credit products market In this fully updated Second Edition, financial expert Janet Tavakoli provides readers with a comprehensive look at the CDO and structured credit products market amid recent developments. In addition to a detailed overview of the market, this book presents key issues in valuing structured financial products and important quality control issues. Tavakoli shares her experiences in this field, as she examines important securitization topics, including the huge increase in CDO arbitrage created by synthetics, the tranches most at risk from new technology, dumping securitizations on bank balance sheets, the abuse of offshore vehicles by companies, the role of hedge funds, critical issues with subprime, Alt-A, and prime mortgage securitizations, and securitizations made possible by new securitization techniques and the Euro. While providing an overview of the market and its dynamic growth, Tavakoli takes the time to explore the types of products now offered, new hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs.

Synthetic CDOs

Author : Craig Mounfield
Publisher : Cambridge University Press
ISBN 13 : 0521897882
Total Pages : 386 pages
Book Rating : 4.5/5 (218 download)

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Book Synopsis Synthetic CDOs by : Craig Mounfield

Download or read book Synthetic CDOs written by Craig Mounfield and published by Cambridge University Press. This book was released on 2009 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.

Efficient Wavelets-Based Valuation of Synthetic CDO Tranches

Author : Luis Ortiz-Gracia
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Efficient Wavelets-Based Valuation of Synthetic CDO Tranches by : Luis Ortiz-Gracia

Download or read book Efficient Wavelets-Based Valuation of Synthetic CDO Tranches written by Luis Ortiz-Gracia and published by . This book was released on 2014 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present new formulae for the valuation of synthetic collateralized debt obligation (CDO) tranches under the one-factor Gaussian copula model. These formulae are based on the wavelet theory and the method used is called WA[^a,^b]. We approximate the cumulative distribution function (CDF) of the underlying pool by a finite combination of jth order B-spline basis, where the B-spline basis of order zero is typically called a Haar basis. We provide an error analysis and we show that for this type of distributions, the accuracy in the approximation is the same regardless of the order of the B-spline basis employed. The resulting formula for the Haar basis case is much easier to implement and performs better than the formula for the B-spline basis of order one in terms of computational time. The numerical experiments confirm the impressive speed and accuracy of the WA[^a,^b]. method equipped with a Haar basis, independently of the inhomogeneity features of the underlying pool. The method appears to be particularly fast for multiple tranche valuation.

Collateralized Debt Obligations and Structured Finance

Author : Janet M. Tavakoli
Publisher : John Wiley & Sons
ISBN 13 : 047148136X
Total Pages : 354 pages
Book Rating : 4.4/5 (714 download)

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Book Synopsis Collateralized Debt Obligations and Structured Finance by : Janet M. Tavakoli

Download or read book Collateralized Debt Obligations and Structured Finance written by Janet M. Tavakoli and published by John Wiley & Sons. This book was released on 2004-03-29 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most cutting-edge read on CDO and credit market structures Collateralized Debt Obligations and Structured Finance provides a state-of-the-art look at the exploding CDO and structured credit products market. Financial expert Janet Tavakoli examines securitization topics never before seen in print, including the huge increase in the CDO arbitrage created by synthetics; the tranches most at risk from this new technology; dumping securitizations on bank balance sheets; the abuse of offshore vehicles by companies such as Enron; and securitizations made possible by new securitization techniques and the introduction of the Euro. This valuable guide comprehensively covers one of the fastest growing markets on Wall Street, predicting where new bank regulations and other developments may lead to product growth or product extinction. While providing an overview of the market and its dynamic growth, Collateralized Debt Obligations and Structured Finance explores the types of products offered, hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs. Janet M. Tavakoli, MBA (Chicago, IL), has over eighteen years of experience trading, structuring, and marketing derivatives and structured products with major financial institutions in New York and London. She is also the author of Credit Derivatives and Synthetic Structures, now in its Second Edition (0-471-41266-X).

Valuing Synthetic Collateralized Debt Obligations Using a Structural Model

Author : Michael Herms
Publisher :
ISBN 13 :
Total Pages : 158 pages
Book Rating : 4.:/5 (892 download)

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Book Synopsis Valuing Synthetic Collateralized Debt Obligations Using a Structural Model by : Michael Herms

Download or read book Valuing Synthetic Collateralized Debt Obligations Using a Structural Model written by Michael Herms and published by . This book was released on 2011 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Modern Derivatives Pricing and Credit Exposure Analysis

Author : Roland Lichters
Publisher : Springer
ISBN 13 : 1137494840
Total Pages : 569 pages
Book Rating : 4.1/5 (374 download)

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Book Synopsis Modern Derivatives Pricing and Credit Exposure Analysis by : Roland Lichters

Download or read book Modern Derivatives Pricing and Credit Exposure Analysis written by Roland Lichters and published by Springer. This book was released on 2015-11-15 with total page 569 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Collateralized Debt Obligations

Author : Laurie S. Goodman
Publisher : John Wiley & Sons
ISBN 13 : 0471445614
Total Pages : 386 pages
Book Rating : 4.4/5 (714 download)

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Book Synopsis Collateralized Debt Obligations by : Laurie S. Goodman

Download or read book Collateralized Debt Obligations written by Laurie S. Goodman and published by John Wiley & Sons. This book was released on 2002-11-25 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical guide to the features and investment characteristics of CDOs In the bond area, collateralized debt obligations, which include collateralized bond obligations and collateralized loan obligations, are the fastest-growing sector. Collateralized Debt Obligations: Structures and Analysis describes the various products in this area-cash flow CDOs, market value CDOs, synthetic CDOs, etc.-and explains how to evaluate them. With this book as their guide, investment managers and institutional investors alike will learn how to analyze the risks associated with CDOs, create a portfolio of CDO products, and assess trading opportunities in the secondary market.

Collateralized debt obligations

Author : Markus Lorenz
Publisher : diplom.de
ISBN 13 : 3836621061
Total Pages : 132 pages
Book Rating : 4.8/5 (366 download)

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Book Synopsis Collateralized debt obligations by : Markus Lorenz

Download or read book Collateralized debt obligations written by Markus Lorenz and published by diplom.de. This book was released on 2008-10-22 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inhaltsangabe:Abstract: This work aims to give the reader a holistic introduction to Collateralized Debt Obligations (CDOs), an asset category which has recently experienced both popularity and criticism. Collateralized Debt Obligations represent a subset of asset-backed securities. As opposed to classical types of asset-backed-securities like mortgage-backed securities or credit card debt-backed securities, a Collateralized Debt Obligation is a vehicle transforming bank loans or commercial paper into tranches of traded securities. While Collateralized Debt Obligations have been an established part of the U.S. fixed income market, it was only recently that academics showed interest in this asset category. From an asset pricing standpoint, CDOs represent a challenge as credit risk from a heterogeneous pool is passed through to tranches. Hence, asset pricing models have to account for expected defaults and default correlation on the one hand while incorporating the structural support the CDO is offering to the debt tranches on the other. Also, regulatory agencies such as the Basel Committee on Banking Supervision have increasingly covered CDOs and their use in credit risk management, thus further stimulating interest in this asset category. The report is mainly organized in three parts. The first part presents the basic ideas of Collateralized Debt Obligation as well as their structure and principal economics. Part II is the core of the report focusing on the aforementioned asset pricing problem and presenting various models to cope with it. Finally, the third part presents some of the multifaceted applications of Collateral Debt Obligations and concludes with an outlook for the product category. Here, special focus is laid on the European and German market as this is seen as a major area for growth. Inhaltsverzeichnis:Table of Contents: Index of figuresv Index of tablesvi Prefacevii 1.INTRODUCTION1 1.1Definitions1 1.2Mathematical Classification2 1.3Purpose and Relevance of CDOs4 1.4Motivation and Aim of the Study6 2.STRUCTURE AND DESIGN OF CDOS8 2.1Underlying Assets9 2.2Tranches10 2.3Purpose11 2.3.1Risk Transfer11 2.3.2Credit Risk Pricing Arbitrage11 2.4Credit Structure13 2.4.1Market Value Structure13 2.4.2Cash Flow Structure13 2.5Summary and Typical CDO Structures15 3.RATIONALE AND ECONOMIC FEATURES18 3.1Incentives to enter CDO Contracts19 3.1.1Comparative Advantages in Holding Specific Risks19 3.1.2Incentives for Equity [...]

On Computational Methods for the Valuation of Credit Derivatives

Author : Wanhe Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (133 download)

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Book Synopsis On Computational Methods for the Valuation of Credit Derivatives by : Wanhe Zhang

Download or read book On Computational Methods for the Valuation of Credit Derivatives written by Wanhe Zhang and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A credit derivative is a financial instrument whose value depends on the credit risk of an underlying asset or assets. Credit risk is the possibility that the obligor fails to honor any payment obligation. This thesis proposes four new computational methods for the valuation of credit derivatives. Compared with synthetic collateralized debt obligations (CDOs) or basket default swaps (BDS), the value of which depends on the defaults of a prescribed underlying portfolio, a forward-starting CDO or BDS has a random underlying portfolio, as some ``names'' may default before the CDO or BDS starts. We develop an approach to convert a forward product to an equivalent standard one. Therefore, we avoid having to consider the default combinations in the period between the start of the forward contract and the start of the associated CDO or BDS. In addition, we propose a hybrid method combining Monte Carlo simulation with an analytical method to obtain an effective method for pricing forward-starting BDS. Current factor copula models are static and fail to calibrate consistently against market quotes. To overcome this deficiency, we develop a novel chaining technique to build a multi-period factor copula model from several one-period factor copula models. This allows the default correlations to be time-dependent, thereby allowing the model to fit market quotes consistently. Previously developed multi-period factor copula models require multi-dimensional integration, usually computed by Monte Carlo simulation, which makes the calibration extremely time consuming. Our chaining method, on the other hand, possesses the Markov property. This allows us to compute the portfolio loss distribution of a completely homogeneous pool analytically. The multi-period factor copula is a discrete-time dynamic model. As a first step towards developing a continuous-time dynamic model, we model the default of an underlying by the first hitting time of a Wiener process, which starts from a random initial state. We find an explicit relation between the default distribution and the initial state distribution of the Wiener process. Furthermore, conditions on the existence of such a relation are discussed. This approach allows us to match market quotes consistently.

Collateralized Debt Obligations

Author : Enrico Marcantoni
Publisher : Springer Science & Business Media
ISBN 13 : 3658048468
Total Pages : 102 pages
Book Rating : 4.6/5 (58 download)

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Book Synopsis Collateralized Debt Obligations by : Enrico Marcantoni

Download or read book Collateralized Debt Obligations written by Enrico Marcantoni and published by Springer Science & Business Media. This book was released on 2014-01-22 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. The original method is developed by Castagna, Mercurio and Mosconi in 2012. The Thesis provides an extension of the original work by generalizing the Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton copula. The method is applied to price the tranches of a CDX. By comparing the tranches prices, it is possible to notice that the Clayton approach leads to smaller equity and mezzanine tranches. The senior and super senior tranches levels are higher when the dependence is modeled by a Clayton copula.

QFINANCE

Author : Bloomsbury Publishing
Publisher : Bloomsbury Publishing
ISBN 13 : 1472915895
Total Pages : 7101 pages
Book Rating : 4.4/5 (729 download)

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Book Synopsis QFINANCE by : Bloomsbury Publishing

Download or read book QFINANCE written by Bloomsbury Publishing and published by Bloomsbury Publishing. This book was released on 2014-11-20 with total page 7101 pages. Available in PDF, EPUB and Kindle. Book excerpt: QFINANCE: The Ultimate Resource (5th edition) is the first-step reference for the finance professional or student of finance. Its coverage and author quality reflect a fine blend of practitioner and academic expertise, whilst providing the reader with a thorough education in the may facets of finance.

QFinance

Author :
Publisher : A&C Black
ISBN 13 :
Total Pages : 2218 pages
Book Rating : 4.0/5 ( download)

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Book Synopsis QFinance by :

Download or read book QFinance written by and published by A&C Black. This book was released on 2009-10-13 with total page 2218 pages. Available in PDF, EPUB and Kindle. Book excerpt: Compiled by more than 300 of the world's leading professionals, visionaries, writers and educators, this is THE first-stop reference resource and knowledge base for finance. QFINANCE covers an extensive range of finance topics with unique insight, authoritative information, practical guidance and thought-provoking widsom. Unmatched for in-depth content, QFINANCE contains more than 2 million words of text, data analysis, critical summaries and bonus online content. Created by Bloomsbury Publishing in association with the Qatar Financial Centre (QFC) Authority, QFINANCE is the expert reference resource for finance professionals, academics, students, journalists and writers. QFINANCE: The Ultimate Resource Special Features: Best Practice and Viewpoint Essays – Finance leaders, experts and educators address how to resolve the most crucial issues and challenges facing business today. Finance Checklists – Step-by-step guides offer problem-solving solutions including hedging interest-rate risk, governance practices, project appraisal, estimating enterprise value and managing credit ratings. Calculations and Ratios – Essential mathematical tools include how to calculate return on investment, return on shareholders’ equity, working capital productivity, EVA, risk-adjusted rate of return, CAPM, etc. Finance Thinkers and Leaders – Illuminating biographies of 50 of the leading figures in modern finance including Joseph De La Vega, Louis Bachelier, Franco Modigliani, Paul Samuelson, and Myron Scholes Finance Library digests –Summaries of more than 130 key works ranging from “Against the Gods” to “Portfolio Theory & Capital Markets” and “The Great Crash”. Country and Sector Profiles – In-depth analysis of 102 countries and 26 sectors providing essential primary research resource for direct or indirect investment. Finance Information Sources – A select list of the best resources for further information on finance and accounting worldwide, both in print and online, including books, journal articles, magazines, internet, and organizations Finance Dictionary – A comprehensive jargon-free, easy-to-use dictionary of more than 9,000 finance and banking terms used globally. Quotations – More than 2,000 business relevant quotations. Free access to QFinance Online Resources (www.qfinance.com): Get daily content updates, podcasts, online events and use our fully searchable database.

The Handbook of Structured Finance, Chapter 7 - An Introduction to the CDO Risk Management

Author : Arnaud de Servigny
Publisher : McGraw Hill Professional
ISBN 13 : 0071715746
Total Pages : 48 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis The Handbook of Structured Finance, Chapter 7 - An Introduction to the CDO Risk Management by : Arnaud de Servigny

Download or read book The Handbook of Structured Finance, Chapter 7 - An Introduction to the CDO Risk Management written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2007-01-22 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.

Investing in Collateralized Debt Obligations

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 9781883249908
Total Pages : 252 pages
Book Rating : 4.2/5 (499 download)

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Book Synopsis Investing in Collateralized Debt Obligations by : Frank J. Fabozzi

Download or read book Investing in Collateralized Debt Obligations written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2001-05-15 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fastest growing sector of the asset-backed securities market is the collateralized debt obligation (CDO) market. CDOs are securities backed by a pool of diversified assets and are referred to as collateralized bond obligations (CBOs) when the underlying assets are bonds and as collateralized loan obligations (CLOs) when the underlying assets are bank loans. Investing in Collateralized Debt Obligations covers not only the fundamental features of these securities and the investment characteristics that make them attractive to a broad range of institutional investors, but also the tools for identifying relative value. Nearly a dozen of today's best known analysts discuss emerging market CBOs, relative value frameworks, pricing strategies and techniques, and more.

The Handbook of Structured Finance, Chapter 8 - A Practical Guide to CDO Trading Risk Management

Author : Arnaud de Servigny
Publisher : McGraw Hill Professional
ISBN 13 : 0071715754
Total Pages : 38 pages
Book Rating : 4.0/5 (717 download)

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Book Synopsis The Handbook of Structured Finance, Chapter 8 - A Practical Guide to CDO Trading Risk Management by : Arnaud de Servigny

Download or read book The Handbook of Structured Finance, Chapter 8 - A Practical Guide to CDO Trading Risk Management written by Arnaud de Servigny and published by McGraw Hill Professional. This book was released on 2007-01-22 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This chapter comes from the book The Handbook of Structured Finance, a complete guide to the major issues facing investors in the structured finance market. Comprehensive and accessible, it provides the latest techniques for measuring and managing risk, finding optimum pricing, and taking advantage of leverage and market incompleteness, as well as models for debt and equity modeling.