Introduction and evolution of bespoke CDOs. pricing, risk management and market peculiarities
Metadatos
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Metadatos
Título
Introduction and evolution of bespoke CDOs. pricing, risk management and market peculiaritiesAutoría
Tutor/Supervisor; Universidad.Departamento
Nieto Soria, María Luisa; Universitat Jaume I. Departament de Finances i ComptabilitatFecha de publicación
2018-07-10Editor
Universitat Jaume IResumen
This document is devoted, from a theoretical and empirical perspective, to the introduction
and classification of Bespoke CDOs, the evolution of the modeling, pricing and risk
management of the product over time, ... [+]
This document is devoted, from a theoretical and empirical perspective, to the introduction
and classification of Bespoke CDOs, the evolution of the modeling, pricing and risk
management of the product over time, and the discussion of current market trends related
to it. First, I gradually explain the Bespoke CDO mechanics and position it among other
products from different categories. Then I review the Gaussian copula model with base
correlations used as an industry standard for pricing and risk management, commenting at
the same time what various authors put forward for and against the model and its
alternatives. Finally, I expose as a possible and more sophisticated alternative the
Consistent valuation through semi-analytical Monte Carlo simulation with many-to-one
restriction proposed by (Li, 2010), describing simultaneously the present-day market size
and situation. [-]
Palabras clave / Materias
Descripción
Treball Final de Grau en Finances i Comptabilitat. Codi: FC1049. Curs: 2017/2018
Tipo de documento
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