Autori: Rabino, Simonetta , Russo, Flavio
Titolo: Gamma-Hedging in synthetic CDO (SCDO) structures
Periodico: Università degli Studi di Roma "La Sapienza" - Dipartimento di metodi e modelli per l'economia il territorio e la finanza. Working papers
Anno: 2012 - Fascicolo: 96 - Pagina iniziale: 1 - Pagina finale: 17

This paper presents a theoretical and numerical framework where the Gamma-Hedging of a Multi-Name Synthetic Collateralized Debt Obligation (SCDO) is defined. Gamma is numerically calculated in order to compute the Profits and Losses shape of each tranche. A further analysis which has been developed is the understanding and quantification of the impact of a joint shift of both Credit Default Swap (CDS) spread and default correlation under different recovery rates. The model used for the purpose of this work is the One-Factor-Copula and the main assumption considered is a finite and homogeneous portfolio.


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