1. Securitization - Analysis and Implications
- Author
-
Maťašová, Dominika, Komárková, Lenka, and Myška, Petr
- Subjects
financial crisis ,Monte Carlo simulácie peňažných tokov ,stress testing ,securitized products ,sekuritizované produkty ,stresové testovanie ,kopule ,tranže ,copula functions ,tranches ,finančná kríza ,MonteCarlo simulation of cash flows - Abstract
In the present work we study the securitized products of ?financial markets with focus on collateralized debt obligations and the impact of fi?nancial crisis on the markets in the world. First part the thesis is focused on the methodology of the reasons behind launching these products, the portfolio, tranches and further on mechanisms how these structures are working. In the second part the thesis teoretically describes the valuation methods for which the Markov chains and copula functions are used. Further on follows the practical part with output from the quantitative analysis and at the end the thesis describes the impacts on economics of di?fferent countries and practically introduces the stress testing as the precaution tool.
- Published
- 2012