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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36234


    Title: 信用衍生性產品相關性交易分析(Correlation Trading)
    Authors: 陳雲龍
    Yun-Lung, Chen
    Contributors: 沈中華
    Chung-Hua Shen
    陳雲龍
    Yun-Lung, Chen
    Keywords: 信用衍生性產品
    相關性交易
    Correlation Trading
    Date: 2003
    Issue Date: 2009-09-18 17:39:30 (UTC+8)
    Abstract: 信用違約交換是為一種保護，信用交易市場所謂買入保護或賣出保護。信用相關性產品意指資產組合內個別信用個體之間違約相關性所定價的產品。這些產品包含合成式債信抵押債券（synthetic CDO）、第N次違約組合（The N times To Default baskets or NTD baskets）和與匯率或利率連結合成式債信抵押債券或第N次違約組合之高收益債券（Hybrids），進一步的發展為更具流動性信用違約交換組合指標（CDS indices）。

    相關性市場暴露幾種形式的風險。主要風險包括違約風險、突發違約風險、差價風險（spread risk）、差價凸性風險（spread convexity risk）、隱含相關性風險（implied correlation risk）和時間遞減（time decay）。

    相關性投資人會因資產組合隱含相關性風險變動而提高市價評估波動性。然而，相關性交易員操作Delta避險部位仍暴露相當高隱含相關性風險。Delta是相關性函數，在不斷的Delta平衡操作中，使得交易員在買入或賣出相關度時產生獲利或是損失。因此，相關性交易隔絕風險是藉由不斷修正結合不同信用層、信用違約交換指標或單一信用標的信用違約交換暴露。

    本篇文章提供相關性交易指導，且所包含要點如下：
    （一）市場展望、規模、結構及參與者。
    （二）信用違約交換及違約相關性分析及相關性產品成長。
    （三）評估違約相關性及相關性產品定價。
    （四）相關性交易Delta避險、敏感度（Rho）、差價凸性（spread convexity）及突發的違約風險（Instantaneous Default Risk）。
    （五）相關性策略（Correlation Strategies）。
    Credit default swaps are also known as “protection”. Transactions in the market are usually referred to in terms of either buying or selling protection. Credit correlation products refer to portfolio-based products where the price of the product is a function of default correlation between the individual credits in the portfolio. These include products such as synthetic CDOs（including single-tranche）, Nth-to-default（NTD）baskets and hybrids such as FX or IR structures linked to a CDO or NTD.

    Participants in the correlation market are exposed to several type of risk. The key risks include default swap, instantaneous default risk, spread risk, spread convexity risk, implied correlation risk and time decay.

    Correlation investors are exposed to the MTM volatility arising out of changes in implied default correlation of the underlying tranche. However, correlation traders with delta-hedged portfolios maintain a relatively high exposure to implied correlation. Delta is a function of correlation and consequent rebalancing of deltas can lead to gains and losses for correlation traders based on whether they are long or short correlation. Therefore, correlation traders can isolate the risks via a correct combination of different tranches, CDS index and single-name CDS exposures.

    This report provides a user guide to correlation trading and covers topics including the following：
    （1）Market prospects、scale、structure and participants.
    （2）Credit default swap、default correlation analysis and the growth of correlation products.
    （3）Evaluating default correlation and pricing correlation products.
    （4）Correlation trading about Delta-hedged、Rho、spread convexity and Instantaneous Default Risk.
    （5） Correlation Strategies.
    第一章 、前言……………………………………………………………08

    第二章、市場展望、規模、結構及參與者.…………………………..10

    第三章、信用違約交換及違約相關性分析及相關性產品成長.……..14

    第四章、評估違約相關性及相關性產品定價……..………………….23

    第五章、相關性交易Delta避險、敏感度（Rho）、差價凸性
    （spread convexity）及突發的違約風險（Instantaneous Default Risk）…………………………………………………………………...29

    第六章、相關性策略（Correlation Strategies）………..……… 51

    第七章、結論.…………………………………………………………..59

    參考書籍 ...……………………………..…………………………….60

    參考期刊…………………..…………………………………………….61

    附註一、Copula 方程式………………………………………..……. 63

    附註二、TRAC-X 和iBoxx背景介紹..………………………..…….. 69
    Reference: 參考書籍：
    1、Andrew R. Young,”A Guide to Fixed Income Analysis “, Morgan Stanley.
    2、Anthony Saunders & Marcia Marcua Millon Cornett , “Financial Institutions Management “, McGraw HILL .
    3、Philippe Jorion ,”Financial Risk Manager handbook” , GARP .
    4、Satyajit Das ,”Structure Product & Hybrid Securities” , John Wiley & Sons (Asia) Pte Ltd .
    5、Suresh Sundaresan ,” Fixed Income Markets and their Derivatives “, SOUTH-WESTERN .
    參考期刊：
    1、Alex Reyfman、Klaus Toft , “Mezzanine Classes of Investment Grade Synthetic CDOs- An Investor’s Guide” , Goldman Sachs 30 May 2001 .
    2、Alex Reyfman、Klaus Toft ,”How to Compare Collateralized Debt Obligations With Corporate Bond Portfolios” , Goldman Sachs November 2001 .
    3、Alex Reyfman、Klaus Toft ,”Wide Credit Spreads Create an Opportunity in Managed Synthetic CDOs”, Goldman Sachs 25 November 2002 .
    4、Alex Reyfman、Klaus Toft , “An Investor’s Guide to Asset Management Synthetic CDOs” , Goldman Sachs 15 April 2002 .
    5、Arvind Rajan ,”The Quantitative Credit Analyst Issue 3”, Salomon Smith Barney 17 October 2003 .
    6、Atish Kakodkar、Barnaby Martin、Stefano Galiani , “Correlation Trading” , Merrill Lynch 2003 .
    7、BarnabyMartin、Chris Francis、Atish Kakodkar, “Default Swap Unwinds”,
    Merrill Lynch 11 July 2002.
    8、Chris Francis、Atish Kakodkar、BarnabyMartin, “Credit Derivative
    Handbook 2003”, Merrill Lynch 16 April 2003.
    9、David Newman、Peter Dalena、Tom Crawley , “Bond and Credit Valuation Criteria “, Salomon Smith Barney 27 November 2002 .
    10、David X. Li ,“On Default Correlation：A Copula Function Approach”,
    The RiskMetrics Group April 2000.
    11、Glen McDermott、Jure Skarabot、Alexei Kroujiline , “Optimizing Selection of Credit Portfolios” , Salomon Smith Barney 21 October 2003 .
    12、Gunnar Stangl、Christoph Schon、Andy Lee, “Index Monitor-Preview on iBoxx EUR roll activity” , Dresdner Kleinwort Wasserstein 26 March 2003 .
    13、Gunnar Stangl、Christoph Schon、Andy Lee, “Index Monitor-in this issue：introduction of iBoxx Euro Liquid Indices and October-roll”, Dresdner Kleinwort Wasserstein 26 September 2002 .
    14、Gunnar Stangl、Christoph Schon、Guido Barthels, “Index Monitor：A matter of classification” , Dresdner Kleinwort Wasserstein 1 December 2003 .
    15、Gunnar Stangl、Christoph Schon、Guido Barthels,“ iBoxx notes-update, New portfolio rules “, Dresdner Kleinwort Wasserstein 3 September 2003 .
    16、Gunnar Stangl、Christoph Schon、Guido Barthels ,“Index Monitor-iBoxx meets bank capital”, Dresdner Kleinwort Wasserstein 30 June 2003 .
    17、Gus Harris , “Credit Rating Migration of CDO Notes, 1996-2000 “, Moody’s 27 April 2001 .
    18、John Tan , “A Guide to Collateralised Debt Obligations (CDOs)” , Standard Chartered Bank 15 August 2003 .
    19、Neil McPherson、Helen Remeza、David Kung ,”A Guide to Structured Finance CDOs”, Credit Suisse First Boston 11 March 2003 .
    20、Sanlay Mithal ,”Single-Name CreditDefault Swaps-A User Guide” , Salomon Smith Barney 1 February 2002.
    21、Sanlay Mithal、Peter Meijer、Alex Gu , “Default Swap Products “, Salomon Smith Barney 20 August 2001.
    22、Sanjay Mithal、Arvind Rajan、 Terry Benzschawel ,”The Quantitative Credit Analyst” , Salomon Smith Barney 8 August 2002 .
    23、”Criteria for Rating Synthetic CDO Transactions” , Standard&Poor’s September 2003 .
    24、”The Importance of Active Credit Risk Management for Non-bank Corporations－The Enron Case” , Goldman Sachs January 2002 .
    25、”TRAC-Xsm NA Series 2”, Morgan Stanley & JP Morgan October 2003 .
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    90932221
    92
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090932221
    Data Type: thesis
    Appears in Collections:[Executive Master of Business Administration] Theses

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