| Abstract: | 多檔固定比例擔保債務憑證在發行之初獲得各家信評機構相當高的評等，但是在 2007 年底至2008 年金融危機時期，大部分固定比例擔保債務憑證都受到降評，許多觸擊損失停止水準或是違約而使投資人損失慘重，違約機率及違約損失率比預期的高，這說明了信評機構、發行商在評價該商品的過程中存有缺陷。就其風險特徵而言，此商品之特殊的客製化結構令其曝險於違約風險、信用價差風險、展期風險、流動性風險、及交易對手風險。本研究計劃著重於此商品之多重風險層面，提供現有評價模型之改善，以期提高評估此項商品之風險及價格的精確度。在違約風險及信用價差風險上，由於該商品的策略是在市況不佳時增加曝險部位，因此有放大資產聯合違約機率分配左尾厚尾風險的效果，如何確切考量其違約叢集性之描述，為實務和學術界所關注之重要議題。在此論述上，本研究延伸Davis and Lo (2001) 及Collin-Dufresne, Goldstein and Helwege (2009)之信用違約傳染模型，並且藉由適當之理論模型建立提供固定比例擔保債務憑證之評價。本研究計畫所建立之理論模型，預期提供聯合違約機率分配厚尾的特徵描述，將有助於該商品風險特性之探討且增加評價的準確度。在展期風險及流動性風險方面，本研究提出以遠期信用價差曲線並加上買賣價差來預估固定比例擔保債務憑證的展期損益，其中買賣價差必須是信用價差的函數，當信用市場市況不佳常伴隨流動性差的狀況出現，此時買賣價差會增加。本研究計劃將導入傳染效果進入遠期信用價差曲線的動態過程中，以期增加預估該商品展期損益的精確性。此外，槓桿比率的動態調整過程為決定固定比例擔保債務憑證價格的重要因子，本研究計畫進而爭論，資產間傳染效果與交易對手違約風險，對於固定比例債務擔保憑證信用部位槓桿比率存有一抵換關係。相對於信用資產間的傳染效果導致信用交換價差提高，降低固定比例債務擔保憑證槓桿比率，考量交易對手違約風險將信用違約交換價差下修，此時固定比例債務擔保憑證槓桿比率相對會提高。因此，同時考量違約傳染效應與交易對手違約風險之下，如何求算固定比例債務擔保憑證之最適槓桿比率設定，為本研究計畫所關注之議題。本研究計畫將嘗試藉由Baydar, Di Graziano, and Korn (2008)的所建立之隨機最適控制方法，以求算固定比例債務擔保憑證之最適槓桿比率。
Alhough CPDOs (Constant Proportion Debts Obligations) had received investment-grade ratings from rating agencies prior to the financial crisis of 2007-2008, most CPDOs suffered from downgrading immediately thereafter, as a direct consequence of having incurred severe losses during the crisis. Their default probabilities and loses given defaults were much higher than had been expected. This reveals that the pricing models used by the rating agencies, the issuers and even the investors have serious drawbacks. In the research project, we argue that, the customized product structure of CPDO in fact imposes on the investors with multiple risk exposures: default risk, credit spread risk, roll over risk, liquidity risk, and counterparty risk. With the multiple aspects risk exposures in focus, this research project aim to provide extensions to existing valuation models, and at the same time, provides proper risk assessments on the product structure of CPDOs. In terms of modeling of the clustering of defaults and credit spread risk, this project aims to extend the framework of Davis and Lo (2001) and Collin-Dufresne, Goldstein and Helwege (2009) in order to establish a valuation model that incorporates default contagion. A proper characterization of the left fat tail of the joint default distribution shall enable us to improve on the accuracy of the pricing model and to fully explore the underlying risk characteristics of CPDO. As regard to roll-over and liquidity risks, in this research project we propose a forward credit spread curve with bid-offer to properly estimate the roll-over benefits/losses of CPDOs. We assume that the bid-offer spread is a function of credit spreads, and the liquidity risk arises in a market with a downward trend. We expect that by considering the dynamics of forward credit spread curve with bid-offer spreads and default contagion, we can further increase the precision of estimation for roll over benefits/losses. In addition, this research project shall consider the co-dependence of default clustering of the reference assets and the counter-party risk of the protection seller. We argue that the increases on CPDO tranche spreads caused by default contagion could in fact be offset by the counter-party risk, and the interaction between them reveals itself on the CPDO’s leverage ratio. How to determine an optimal leverage when default contagion and counterparty risk co-exist is therefore a vital task that this research project attempts to resolve. And we shall begin by considering the framework proposed by Baydar, Di Giaziano, and Korn (2008) to explore an optimal leverage function for CPDOs. |
