基于因子Copula模型的CDO产品定价分析

发布时间：2018-03-30 21:44

本文选题：NIG分布　切入点：随机回收率　出处：《东北财经大学》2012年硕士论文

【摘要】：抵押债券凭证(Collateralized Debt Obligation, CDO)是一种金融衍生品,一种资产证券化产品。其在最近十几年来发展的异常迅猛。探究其本质就是把多种债券做打包组合,然后由于这些债券的资产组合特性,导致原本的债券风险得到很好分散,从而提高债券信用等级,降低风险,达到为投资者提供稳定的现金流的目的。这种产品因其组合灵活,高获利,并且能给金融公司提供极好的资金运转而得到投资者和金融机构的承认,并因此获得良好的发展。但是由于CDO是表外金融衍生品,这就导致极易出现监管不利的情况,又因为金融机构盲目追求利润,降低标的物等级,扩大产品杠杆。从而使得CDO产品在2007年的金融危机中起到了推波助澜、扩大风险,破坏金融市场的作用。这使得其接下来的发展受到了极大的质疑。然而,我们必须看到其作为金融产品无辜的一面。它引起风险扩散、造成金融危机的现象更多是风险估计不准、金融监管不力和金融公司盲目追求效益,扩大杠杆造成的,同时也是当时定价模型有问题,导致金融机构的风险预防系统崩溃。这并不是CDO产品本身的问题。而其作为金融衍生品,客观上来讲是有难以估价和不容易控制的问题,但是它更具有分散风险、活跃金融市场、盘活金融交易、促进投资的作用,甚至在宏观层面上来讲其可能具有改善中小企业融资难困境的作用,促进实体经济发展的作用。所以这种组合型金融衍生品的推出是我国金融市场发展的必然趋势。那么对我国CDO产品的状况、监管机制和定价理论进行研究就成为必不可少的研究课题。本文首先介绍了国际上CDO产品近年来的发展趋势及其基本状况,并且从根源上分析了其作为金融衍生品的构成和运行机制。从其发展趋势和运作机理中我们可以概括性的看出其运行中体现出的情况、风险来源,及其对金融市场表现出的影响。通过对其进行基本分析,我们可以基本掌握CDO产品的脉络,明确对其定价的方向,及投资的注意要素。通过分析其发展趋势我们可以知道它在金融市场中起到的作用和造成的影响。我们可以通过过去CDO产品的发展了解到CDO产品的优势和缺点。分析其造成金融危机的原因,研究预防的方法,并且可以吸取其良好的功能和作用为我所用,使得我国的金融市场能有更好的发展和进步,促进我国经济稳定健康的发展。对CDO产品构成原理的分析也有利于我们分析其监管办法和定价方式。使得我国金融衍生市场有个更高的起步平台。对金融衍生品发展最重要的一个环节就是定价环节。定价不准、风险估计错误是金融衍生品导致金融危机的重要一个原因。以前的定价模型有怎样的问题,我们应该做出怎样的改进,这也是本文的一个研究重点。本文在参照以前的定价模式和金融危机中CDO产品的表现,提出一个更加完善的因子Copula定价模型。这个模型为了改善资产池内资产价格变化尾部相关性差的问题,引入了标准-逆高斯混合分布替代原来的正态分布假设,这样的改善可以为CDO产品超高级定价提供可能性,并且使得尾部相关呈现可变特性。同时,本文利用变因子系数的方式,希望通过在不同条件下不同的因子系数不同,也就意味着不同的相关性。通过这样的方式使得在不同的经济环境下,资产池内资产有不同的相关性,这样可以更好的模拟资产池价值变化,从而有效地改善定价模型和避免在上次金融危机中出现的,资产池内资产相关性骤升,定价模型失效的现象。在定价模型的改良中,在最后本文利用随机回收率的方式,改良了原来模型假定回收率不变的缺陷,这样的改良可以改善在金融危机或经济危机到来的情况下,整个资产池中资产的回收率大幅度下降的问题,这样的情况下,我们可以更加合理的对CDO进行定价,更加贴近整个资产池伴随宏观经济变动而发生变动的情况。在本文提出的模型中可以以析解的方式对CDO进行定价,灵活性更强,同时经过模拟假设更加合理,是更加完善的CDO定价模型。由于我国的金融市场还不是一个发达的金融市场,所以定价模型的完善并不能够使得我国的金融衍生品定价问题得到完美的解决,我国还需要根据我国的国情有自己的、可以实践的CDO产品定价思路。所以本文定价研究的最后提出结合我国市场实际情况给CDO产品定价的思路,为我国发展CDO产品及我国投资者进行CDO产品投资找出一条定价的思路,并且为金融衍生品的风险防范提供一个可行的方法。
[Abstract]:Mortgage bond certificate (Collateralized Debt Obligation, CDO) is a kind of financial derivatives, an asset securitization products. In recent years the development of very fast. Its essence is to explore a variety of bonds as packaging portfolio, then the portfolio characteristics of these bonds, leading to the original bond risk is well dispersed. In order to improve the bond credit rating, reduce the risk, to provide a stable cash flow for the purpose of investors. This product because of its flexible combination, high profit, and to provide excellent financial companies operating funds and recognized by investors and financial institutions, and thus get a good development.
But because CDO is outside the table of financial derivatives, which leads to easy regulation of adverse circumstances, and financial institutions because of the blind pursuit of profit, reduce the object level, expand product leverage. So CDO products in the 2007 financial crisis has fueled, expand the risk of destruction of the financial market. This makes the the next development has been a great challenge.
However, we must see it as a financial product innocent side. It caused the spread of risk, the financial crisis caused by the phenomenon of more risk estimation, financial supervision and financial companies blindly pursue benefits, expand leverage caused, but also when the pricing model has a problem, leading to the risk of financial institutions to prevent system crashes. This is not the CDO product itself. But as the financial derivatives, objectively speaking is hard to value and not easy to control, but it is more active in the financial markets, risk diversification, revitalize the financial transactions, to promote the role of investment, even at the macro level it can improve SME financing difficulties, promote the development of the real economy. So this combination of financial derivatives launch is the inevitable trend of the development of financial market in China. Then the CDO in China The research on the status of the product, the regulatory mechanism and the pricing theory has become an essential research topic.
This paper first introduces the development trend of the international CDO products in recent years and its basic situation, and from the root to analyze its composition and operation mechanism of financial derivatives. From the development trend and the operation of the mechanism we can see the general reflected in the operation situation, the sources of risk, and its influence on financial market performance the basic. Through analysis, we can grasp the basic CDO product context, clear on its pricing and investment direction, pay attention to elements.
Through the analysis of the development trend we can know the influence it plays in the role of financial market and cause. We can understand the advantages and disadvantages of CDO products through the development of past CDO products. Analysis of the causes of the financial crisis, methods of prevention, and can absorb the good function of use, the China's financial markets will have a better development and progress, to promote stable and healthy development of China's economy. On the principle analysis of CDO products is also conducive to our analysis of the regulation and pricing. The financial derivatives market of our country has a higher starting platform.
One of the most important link of the development of financial derivatives is pricing. The pricing is not allowed, the risk estimation error is an important cause of financial derivatives pricing model. The causes of the financial crisis before what's the problem, we should make a study on how to improve, which is the focus of this paper.
In this paper, in reference to the previous pricing model and the financial crisis CDO the performance of the product, put forward a factor Copula pricing model is more perfect. This model in order to improve the problem of poor tail dependence in the asset pool asset price changes, introduced a standard inverse - Gauss mixture distribution to replace the assumption of normal distribution of the original, this can improve the possibility of provide super advanced pricing for CDO products, and the tail correlation exhibit variable characteristics.
At the same time, the variable factor coefficient method, hope that through the factor coefficients in different conditions are different, which means different correlation. So in different economic environment through this way, the assets in the asset pool have different correlation, simulation of changes in the value of the asset pool that can better, thus effectively improve the pricing model and to avoid in the last financial crisis, the relationship between asset pool asset pricing model swells, failure phenomenon.
In the modified pricing model, at last using random recovery method, improved the original model assumes constant defect rate of recovery, this improvement can improve the financial crisis or economic crisis situation, the problem that reduced the recovery of assets in the asset pool, under such circumstances, we can be more reasonable pricing on CDO, closer to the asset pool with macroeconomic changes and changes of the situation.
In the model proposed in this paper, we can analyze the price of CDO in the way of analysis, which is more flexible. At the same time, the simulation hypothesis is more reasonable, which is a more perfect CDO pricing model.
Because of China's financial market is not a developed financial market, so to improve the pricing model can not make the pricing of financial derivatives in China have been solved, China still need to according to the situation of our country has its own pricing, CDO products can practice thinking. So the research on the pricing at the end of the paper according to the actual situation of China's market for CDO product pricing ideas, find a price for the development of CDO products in China and Chinese investors CDO product investment ideas, and for the financial derivatives risk prevention provides a feasible method.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830;F224

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