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| Title: | 具提前解約權之聯貸信用違約交換及其指數型擔保債權憑證的評價與避險
Pricing and Hedging of Loan CDS and CDX with Cancellable Rights |
| Authors: | 楊文瀚
Yang, Wen Han |
| Contributors: | 江彌修
Chiang, Mi Hsiu
楊文瀚
Yang, Wen Han |
| Keywords: | 聯貸信用違約交換
提前解約權
違約強度模型
因子聯繫模型
分券避險參數
loan CDS
cancellable rights
intensity-based model
factor copula
tranche Deltas |
| Date: | 2013 |
| Issue Date: | 2014-07-21 15:38:37 (UTC+8) |
| Abstract: | 本文利用隨機違約強度模型 (stochastic intensity-based model) 和擴展的高斯一因子聯繫模型 (extended one factor Gaussian copula model) 分別來探討具提前解約權之聯貸信用違約交換 (LCDS) 的單一資產和其指數型擔保債權憑證 (LCDX tranche swap) 的評價和避險。以上所有用到的兩個模型都是以外生給定的違約強度和可取消性的強度來決定違約和提前解約的事件的發生機率。
本文將針對具提前解約權之聯貸信用違約交換 (Legacy LCDS) 以及沒有提前解約權之聯貸信用違約交換 (Bullet LCDS) 兩者進行比較，藉此觀察提前解約權 (Cancellable Rights) 對於此商品的信用價差之影響。同樣地，此一比較也會延伸至對於其指數型擔保債權憑證的部分的探討。另外，本文也將透過敏感度分析，來觀察參數φ (違約和可取性之間的相關性) 在模型中扮演的腳色。
最後，本文利用風險衡量指標以及Delta避險的方式，將可以清楚看到模擬的結果中，其指數型擔保債權憑證在不同分券底下所具有的風險特徵和其避險所需負擔的成本，希望藉此提供投資人和後續研究者一些參考和方向。
In this paper we investigate the pricing and hedging issues of Loan CDS (LCDS) and its index product, the Loan CDX (LCDX) tranche swap under intensity-based model and extended one factor Gaussian copula, respectively. Although market today has developed the bullet LCDS to remove the cancellation feature from syndicated loan derivatives expecting to improve the liquidity of the loan market, still a great proportion is traded on the Legacy LCDS with early termination.
Here, we first address on the difference between the spread for Legacy LCDS and Bullet LCDS (LCDS with and without a cancellation feature), then we go further to consider the index product LCDX tranche swap to test the difference of the spread under different subordination levels. Consequently, our results suggest that the computed spread is generally higher for the Bullet LCDS and Bullet LCDX tranche swap; however, we find it really interesting that the super senior tranche for the cancellable Legacy LCDX tranche swap is possible to have a higher spread than the non-cancellable Bullet LCDX tranche swap when there is strong negative correlation between default and cancellation.
Besides, we try to find out the role of the correlation parameter φ (correlation between default time and cancellation time) in both models using sensitivity analysis. Furthermore, using risk measures that consider expected loss and unexpected loss, we examine the risk characteristics of such products. Finally, we delve into the hedging issue for the LCDX tranche swap, again comparing results of the Legacy and Bullet version of the instrument. Efficient calculations for the hedging parameters and hedging costs are demonstrated, and we provide an in-depth analysis for the relevant hedging implications followed from our numerical results. |
| Reference: | 1. Bandreddi, S., Kakodkar, A., Shi, R.,Tanna, S., and Shchuchinov,Y. (2007). “A barrier model to price cancellation in LCDS. Credit Derivatives Strategy”, Merrill Lynch.
2. Benzschawel, T., DaGraca, J., Kamra, A., and Yu, J. (2008). “Valuing loan credit default swap cancellability”. The Journal of Credit Risk 4(3), 21–38.
3. Chiang, M., Yueh, M., and Lin, A. (2009). “The Pricing and Hedging of Synthetic CDOs Under the Conditional Independence Assumption”, The Official Publication of Taiwan Finance Association, volume 17, number 1, March 2009.
4. Duffie, D., D. Filipovi´c, and W. Schachermayer (2003). “Affine Processes and Applications in Finance”, Annals of Applied Probability 13, 984.1053.
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6. Dobranszky, P. and Schoutens, W. (2009). “Do not forget the cancellation: Marking-to-market and hedging LCDX tranches”, Working Paper.
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8. Elizalde, A., Jonsson, J., Gallo, A., Kakodkar A., and Bandreddi, S. (2007). Pricing cancellable LCDS. Credit Derivatives Strategy, Merrill Lynch.
9. Gibson, M. (2004). “Understanding the risk of synthetic CDOs”, FEDS Discussion Papers, no. 2004-36, Board of Governors of the Federal Reserve System.
10. Hull, J., and White, A. (2000).“Valuing credit default swaps: no counterparty default risk”, Journal of Derivatives 8(1), 29–40.
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12. JP Morgan (2006). Credit derivatives handbook. Corporate Quantitative Research.
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14. Li, D. X. (2000). On default correlation: A copula function approach (working paper, The RiskMetrics Group), 99-07
15. Liang, Michael (2009). “Valuation of Loan CDS and Synthetic Loan CDS with Prepayment Risk”, Financial Markets, Industrial Bank (China) Co.,Ltd
16. Markit (2014). Markit Credit Indices: A Primer, January 2014.
17. Markit (2010). One in the chamber: the new North American bullet LCDS contract and its impact on Markit LCDX indices and tranches.Web Resource, Markit.
18. Markit. Markit LCDX Primer.
19. Morgan, S., and Zheng, Z. (2007). From CDS to LCDS: accounting for cancellation. Quantitative Credit Research, Lehman Brothers.
20. Ong, M., Li., D., Lu, D. (2012), “A survey of loan credit default swap pricing models”, Journal of Credit Risk Volume 8/Number 3, Fall 2012 (67–96).
21. Scott, A., Beinstein, E., and Le, K. (2007), “Loan CDS: valuing the cancellable feature”, Corporate Quantitative Research, JP Morgan.
22. Shek, H., Shunichiro, U., and Wei, Z. (2007), “Valuation of Loan CDS and CDX”, Working Paper, Stanford University.
23. Wei, Z. (2007). “Valuation of loan CDS under intensity-based model”, Working Paper, Department of Statistics, Stanford University. |
| Description: | 碩士
國立政治大學
金融研究所
101352025
102 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0101352025 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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