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| Title: | 探討標準化偏斜Student-t分配關聯結構模型之抵押債務債券之評價
Pricing CDOs with Standardized Skew Student-t Distribution Copula Model |
| Authors: | 黃于騰
Huang, Yu Teng |
| Contributors: | 劉惠美
Liu, Hui Mei
黃于騰
Huang, Yu Teng |
| Keywords: | 抵押債務債券
單因子關聯結構模型
標準化偏斜Student-t分配
collateralized debt obligation
one factor copula model
standardized skew student-t distribution |
| Date: | 2012 |
| Issue Date: | 2013-09-02 15:36:54 (UTC+8) |
| Abstract: | 在市場上最常被用來評價抵押債務債券(Collateralized Debt Obligation, CDO)的分析方法即為應用大樣本同質性資產組合(Large Homogeneous Portfolio, LHP)假設之單因子關聯結構模型(One Factor Copula Model)。由過去文獻指出，自2008年起，抵押債務債券的商品結構已漸漸出現改變，而目前所延伸之各種單因子關聯結構模型在新型商品的評價結果中皆仍有改善空間。
在本文中使用標準化偏斜Student-t分配(Standardized Skew Student-t distribution, SSTD)取代傳統的高斯分配進行抵押債務債券之分券的評價，此分配擁有控制分配偏態與峰態的參數。但是與Student-t分配相同，SSTD同樣不具備穩定的摺積(convolution)性質，因此在評價過程中會額外消耗部分時間。而在實證分析中，以單因子SSTD關聯結構模型評價擔保債務債券新型商品之分券時得到了較佳的結果，並且比單因子高斯關聯結構模型擁有更多參數以符合實際需求。
The most widely used method for pricing collateralized debt obligation(CDO) is the one factor copula model with Large Homogeneous Portfolio assumption. Based on the literature of discussing, the structure of CDO had been changed gradually since 2008. The effects for pricing new type CDO tranches in the current extended one factor copula models are still improvable.
In this article, we substitute the Gaussian distribution with the Standardized Skew Student-t distribution(SSTD) for pricing CDO tranches, and it has the features of heavy-tail and skewness. However, similar to the Student-t distribution, the SSTD is not stable under convolution as well. For this reason, it takes extra time in the pricing process. The empirical analysis shows that the one factor SSTD copula model has a good effect for pricing new type CDO tranches, and furthermore it brings more flexibility to the one factor Gaussian copula model. |
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19. Willemann, S. (2004). An Evaluation of the Base Correlation FrameWork for Synthetic CDOs. Working Paper.
20. 林聖航(2012) 探討合成型抵押擔保債券憑證之評價，碩士學位論文
21. 邱嬿燁(2007) 探討單因子複合分配關聯結構模型之擔保債權憑證之評價，碩士學位論文 |
| Description: | 碩士
國立政治大學
統計研究所
100354020
101 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0100354020 |
| Data Type: | thesis |
| Appears in Collections: | [統計學系] 學位論文
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