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    题名: 大投資組合異質分配假設下之信用結構商品內蘊風險分析
    大投資組合異質分配假設下之信用結構商品內蘊風險分析
    The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions
    The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions
    作者: 楊啟均
    Yang, Chi Chun
    贡献者: 江彌修
    Chiang, Mi Hsiu
    楊啟均
    Yang, Chi Chun
    关键词: 信用結構商品
    信用結構商品
    跨池因子繫聯結構模型
    跨池因子繫聯結構模型
    違約相關性
    違約相關性
    NIG分配
    NIG分配
    credit-structured products
    credit-structured products
    multi-pool correlation model
    multi-pool correlation model
    default correlation
    default correlation
    NIG distribution
    NIG distribution
    日期: 2015
    上传时间: 2015-09-01 16:12:42 (UTC+8)
    摘要: 本文延伸Hull and White (2010)之跨池因子繫聯結構模型中違約相關性之描述，藉由納入Normal Inverse Gaussian分配並允許其帶有狀態轉換之特性，我們探究信用結構式商品清償順位結構中，影響次順位信用保護層(subordination level)之因素。我們以房屋抵押擔保貸款債權憑證(MBS CDO)為例，分析資產違約相關性、資產池微粒化程度、跨池違約相關性等結構性變數如何影響分券評等之合理性及風險特徵。本文的研究結果呼應Azzalini and Capitanio(2003)中所提及採用Gaussian因子繫聯結構模型之於評價信用結構商品的缺失。我們發現增進信用資產池損失分配的之厚尾性描述，得以改善高估或低估分券信用價差的情況。
    By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit-structured products. Using MBS CDOs as an example, we examine how model-embedded variables, such as default correlation, reference-portfolio granularity, and cross-pool correlation, affect the risk profiles of MBS CDO tranches. Our numerical results echo the findings of Azzalini and Capitanio(2003) in that correlation structure obtained under the Gaussian factor copula model may be inadequate in capturing the fact-tailed characteristic of the reference-pool loss distribution, thus can result in over/under-estimation of CDO tranche spreads.
    參考文獻: [1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper.
    [2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227.
    [3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72.
    [4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN.
    [5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499.
    [6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389.
    [7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76.
    [8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13.
    [9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April.
    [10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June.
    [11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367.
    [12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654.
    [13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666.
    [14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664.
    [15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720.
    [16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36.
    [17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85.
    [18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552.
    [19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232.
    [20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322.
    [21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21.
    [22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23.
    [23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67.
    [24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85.
    [25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122.
    [26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54.
    [27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN.
    [28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819.
    [29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer.
    [30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN.
    [31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470.
    [32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90.
    [33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188.
    [34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp.
    [35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114.
    [36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576.
    [37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040.
    [1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper.
    [2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227.
    [3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72.
    [4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN.
    [5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499.
    [6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389.
    [7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76.
    [8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13.
    [9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April.
    [10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June.
    [11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367.
    [12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654.
    [13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666.
    [14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664.
    [15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720.
    [16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36.
    [17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85.
    [18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552.
    [19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232.
    [20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322.
    [21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21.
    [22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23.
    [23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67.
    [24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85.
    [25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122.
    [26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54.
    [27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN.
    [28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819.
    [29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer.
    [30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN.
    [31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470.
    [32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90.
    [33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188.
    [34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp.
    [35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114.
    [36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576.
    [37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040.
    描述: 博士
    國立政治大學
    金融研究所
    96352503
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    http://thesis.lib.nccu.edu.tw/record/#G0963525031
    数据类型: thesis
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