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| Title: | 二次擔保債權憑證之評價及其風險衡量－條件機率獨立模型
The Valuation and Risk Measure of CDO-Squared under Conditional Independence |
| Authors: | 陳嘉祺 |
| Contributors: | 江彌修
陳嘉祺 |
| Keywords: | 擔保債權憑證
二次擔保債權憑證
條件機率獨立模型
信用衍生性商品
評價
風險衡量
CDO-Squared
CDO^2
Factor Copula
Semi-Analytic Approach
Credit Derivative
Conditonal Independence |
| Date: | 2006 |
| Issue Date: | 2009-09-17 19:07:33 (UTC+8) |
| Abstract: | 本文的主旨在評價二次擔保債權憑證。在條件獨立機率的假設下，我們使用factor copula的方法去刻劃違約事件間的相關係數，並提供了一個有效率的迴圈演算法去建構損失分配。本方法同時考慮違約數目及違約位置，同時亦可解決重疊性的問題。本文所建構的是Hull and White(2004)的延申模型。我們也對各參數作敏感度分析，以求得其對分券價差的影響。文中亦主張一些風險衝量指標，以量化重疊性的程度等風險議題。
In this paper we address the pricing issues of CDO of CDOs. Underlying the conditional indepdence assumption we use the factor copula approach to characterize the correlation of defaults events. We provide an efficient recursive algorithm that constructs the loss distribution. Our algorithm accounts for the number of defaults, the location of defaults among inner CDOs, and in addition the degree of overlapping between inner CDOs. Our algorithm is a natural extension of the probability bucketing method of Hull and White (2004). We analyze the sensitivity of different parameters on the tranche spreads of a CDO-squared, and in order to characterize the risk-reward profiles of CDO-squared tranches, we introduces appropriate risk measures that quantify the degree of overlapping among the inner CDOs.
Hull and White (2004) presents a recursive scheme known as probability bucketing approach to construct conditional loss distribution of CDO. However, this approach is insufficient to capture the complexities of CDO².
In the case of the modeling of CDO, we are concerned for the probabilities of different number of defaults upon a time horizon t, e.g., the probabilities of 3 defaults happened within a year. With the mentioned probabilities, we can then calculate the expected loss within the time horizon, which enables us to figure out the spreads of CDO.
However, in the modeling of CDO², an appropriate valuation should be able to overcome two more difficulties: (1) the overlapping structure of the underlying CDOs, and (2) the location where defaults happened, in order to get the fair spreads of CDO². |
| Reference: | Andersen, L., J. Sidenius, and S. Basu (2003), "All your hedges in one basket", Risk magazine, November 2003.
Gibson, M.S. (2004), "Understanding the Risk of Synthetic CDOs", Working paper, Trading Risk Analysis Section, Division of Research and Statistics, Federal Reserve Board.
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.
Laurent, J.P. and J. Gregory (2003), "Basket Default Swaps, CDOs and Factor Copula", working paper, ISFA Actuarial School, University of Lyon.
Li, D.X. (2000), "On default correlation: a copula approach", Journal of Fixed Income, 9(3), 43-54.
Marmery, N. (2005), "The pricing puzzle", US credit magazine April 2005.
Neugebauer, M. (2004), "Analysis of Synthetic CDOs of CDOs", Global CDO Criteria Report, Structured Finance, Fitch Ratings.
Richard Bruyere (2006) Credit derivatives and structured credit-A guide for investors, Wiley Finance.
Whetten M. (2005), "CDOs-Squared Demystified", Nomura Fixed Income Research February 2005. |
| Description: | 碩士
國立政治大學
金融研究所
93352011
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0933520111 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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