Pricing tranches of Collateralize Debt Obligation (CDO) using the one factor Gaussian Copula model, structural model and conditional survival model
| dc.contributor.advisor | Sezer, Deniz | |
| dc.contributor.author | Ofori, Elizabeth | |
| dc.contributor.committeemember | Badescu, Alexandru | |
| dc.contributor.committeemember | Brudnyi, Alex | |
| dc.date.accessioned | 2018-01-05T00:24:28Z | |
| dc.date.available | 2018-01-05T00:24:28Z | |
| dc.date.issued | 2017-12-21 | |
| dc.description.abstract | In this thesis we focus on the pricing of tranches of a synthetic collateralized Debt Obligation (synthetic CDO) which is a vehicle for trading portfolio of credit risk. Our purpose is not to create any new concept but we explore three different models to price the tranches of a synthetic CDO. These three models include the one factor Gaussian copula model, structural model and the conditional survival model To this end, we provide a step by step description of the one factor Gaussian Copula model as proposed by Li, structural model as by Hull Predecu and White and conditional survival model by Peng and Kou. This thesis implement all the three models using the pricing procedure discussed in Peng and Kou paper\cite{cluster}. For practical purpose, we use MATLAB to calculate a synthetic CDO tranche price based on the computation of a non-homogeneous portfolio of three reference entities under the one factor Gaussian copula model, structural model and conditional survival model. We calibrate the structural model to three cooperate bonds data to generate marginal probability of default key to all the three models. The pricing result of the three models are very close for the risky tranches whiles that of the less risky are a little different which is attribute to the fact that the three models are affected by other parameters such as correlation parameter and loading factor. Comparisons are then made between the one factor Gaussian Copula and the structural model and the result tally with the observation Hull, Predescu and White made concerning Gaussian copula model and structural model. | en_US |
| dc.identifier.citation | Ofori, E. (2017). Pricing tranches of Collateralize Debt Obligation (CDO) using the one factor Gaussian Copula model, structural model and conditional survival model (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. | en_US |
| dc.identifier.doi | http://dx.doi.org/10.11575/PRISM/5235 | |
| dc.identifier.uri | http://hdl.handle.net/1880/106239 | |
| dc.language.iso | en | en_US |
| dc.publisher.faculty | Science | en_US |
| dc.publisher.institution | University of Calgary | en |
| dc.rights | University of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission. | en_US |
| dc.subject | Collateralize Debt Obligation | en_US |
| dc.subject | One factor Gaussian Copula model | en_US |
| dc.subject | Structural model | en_US |
| dc.subject | Conditional survival model | en_US |
| dc.subject.classification | Education--Finance | en_US |
| dc.subject.classification | Education--Mathematics | en_US |
| dc.title | Pricing tranches of Collateralize Debt Obligation (CDO) using the one factor Gaussian Copula model, structural model and conditional survival model | en_US |
| dc.type | master thesis | en_US |
| thesis.degree.discipline | Mathematics & Statistics | en_US |
| thesis.degree.grantor | University of Calgary | en_US |
| thesis.degree.name | Master of Science (MSc) | en_US |
| ucalgary.item.requestcopy | true | |
| ucalgary.thesis.checklist | I confirm that I have submitted all of the required forms to Faculty of Graduate Studies. (See <a href="http://grad.ucalgary.ca/current/thesis/ethesis">http://grad.ucalgary.ca/current/thesis/ethesis</a> for more details) | en_US |