政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34009
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34009


    Title: 評價擔保債權憑證與避險－隱含連繫結構模型
    Valuing and Hedging Collateralized Debt Obligations with the Implied Copula Model
    Authors: 黃柏翰
    Huang,Po Han
    Contributors: 廖四郎
    Liao,Szu Lang
    黃柏翰
    Huang,Po Han
    Keywords: 西低歐
    隱含連繫結構
    避險
    CDO
    implied copula
    delta
    greeks
    Date: 2006
    Issue Date: 2009-09-17 19:05:13 (UTC+8)
    Abstract: Collateralized debt obligations (CDOs) represent one of the fastest-growing credit derivatives of the structured finance world. In January 2007, the law has been promoted so that CDOs can be issued in Taiwan, including CLOs and CBOs. Thus, we can expect that these two kinds of CDOs will be main products in short future.
    There are many approaches to valuing CDOs, such as structural models, reduced-form models and credit barrier models. Copula models, which are sometimes classified as reduced-form models, represent the market standard for pricing CDOs. In this paper, we discuss the “implied copula model”, one approach implied from copulas. This is first written by John Hull and Alan White in October, 2006. Here, we discuss how the assumptions in the implied copula model can be released or changed. In our study, we use the CDX IG data on June 8, 2007, for calibration.
    Besides valuing CDOs with implied copula, we use the adjusted implied copula approach to hedge. Since credit default swap (CDS) has become one of the basic credit products and CDOs are based from some set of CDSs, the CDO tranches and the CDSs must be arbitrage-free. By taking this idea into our model, our study shows that this approach can be used to hedge CDOs with CDSs. Moreover, we use implied copula to eliminate the arbitrage opportunity in Gaussian copula/base correlation approach. As valuing, we also use the CDX IG data on June 8, 2007, for calibration in our hedging model. Consequently, our results suggest that there is a hedging approach with better hedging effect, which is constructed according to Greeks of CDO tranches or according to classification by industries and credit ratings of the CDS names for CDOs.
    Reference: Atish Kakodkar, Barnaby Martin and Stefano Galiani, 2003, “Correlation Trading”, Derivatives, Merrill Lynch.
    David T. Hamilton, Sharon Ou, Frank Kim, and Richard Cantor, 2007, “Corporate Default and Recovery Rates, 1920-2006”, Global Credit Research, Moody’s Investors Service.
    Dominic O’Kane and Matthew Livesey, 2004, “Base Correlation Explained”, Fixed Income Quantitative Credit Research, Lehman Brothers.
    John C. Hull and Alan D. White, 2006, “Valuing Credit Derivatives Using an Implied Copula Approach”, Journal of Derivatives.
    John C. Hull and Alan D. White, 2004, “Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives.
    Louis Loizou and Dresdner Kleinwort Benson, 2006, “Credit Barrier and Dynamic Correlation Techniques for Pricing Collateralized Debt Obligations of European Small and Medium-sized Enterprises”, working paper.
    Nicole Lehnert, Frank Altrock, Svetlozar T. Rachev, Stefan Truck, and Andre Wilch, 2005, “Implied Correlations in CDO Tranches”.
    Robert A. Jarrow and Stuart M. Turnbull, 1995, “Pricing Derivatives in Financial Securities Subject to Credit Risk”, Journal of Finance.
    Tahsin Alam and David Folkerts, 2007, “Quantitative Credit Strategy”, Global Market Research, Deutsche Bank.
    林恩平，2006，「因子相關性結構模型之下合成型擔保債權憑證之評價與避險」，政大金融所碩士論文。
    郭銚倫，2006，「信用評等分組下之合成型CDO評價」，政大金融所碩士論文。
    Description: 碩士
    國立政治大學
    金融研究所
    94352028
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094352028
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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