考虑回收率随机特征的CDO定价模型
发布时间：2019-01-08 07:04
【摘要】：对债务抵押债券(CDO)的定价,业界普遍采用传统的高斯Copula标准模型,存在尖峰厚尾、负Delta对冲、高分券层定价失效等诸多缺陷。为了克服上述不足,考虑了回收率的下列3种特征:随机回收率、市场共同因子服从混合高斯分布以及采用贝努利相关、三状态相关刻画的随机相关结构。并据此给出了资产池违约边界、随机回收率和CDO分券层定价的数值模拟实例。结果表明:混合高斯分布可有效地用于刻画风险因素的尾部效应,随机回收率可较有效地用于刻画回收率与系统风险及违约相关结构的特征,进而高分券层价差也可得以较合理计算。
[Abstract]:The traditional Gao Si Copula standard model is widely used in the pricing of CDB (CDO), which has many defects, such as peak and thick tail, negative Delta hedging, pricing failure of high-grade bond layer and so on. In order to overcome these shortcomings, the following three characteristics of recovery rate are considered: random recovery rate, distribution of market common factor from mixed Gao Si, and random correlation structure characterized by Bernoulli correlation and three-state correlation. Based on this, numerical simulation examples of asset pool default boundary, stochastic recovery rate and CDO pricing are given. The results show that the mixed Gao Si distribution can be used to describe the tail effect of risk factors effectively, and the random recovery rate can be used to characterize the characteristics of the structure of recovery, systematic risk and default. Furthermore, the price difference of high grade coupons can also be calculated more reasonably.
【作者单位】： 大连理工大学管理学院;大连银行资金运营部;
【基金】：国家自然科学基金资助项目(70771018) 中国博士后科学基金资助项目(200704103500) 教育部人文社科基金项目(05JA630005);教育部新世纪优秀人才支持计划(2005年)资助项目
【分类号】：F224;F830.91
[Abstract]:The traditional Gao Si Copula standard model is widely used in the pricing of CDB (CDO), which has many defects, such as peak and thick tail, negative Delta hedging, pricing failure of high-grade bond layer and so on. In order to overcome these shortcomings, the following three characteristics of recovery rate are considered: random recovery rate, distribution of market common factor from mixed Gao Si, and random correlation structure characterized by Bernoulli correlation and three-state correlation. Based on this, numerical simulation examples of asset pool default boundary, stochastic recovery rate and CDO pricing are given. The results show that the mixed Gao Si distribution can be used to describe the tail effect of risk factors effectively, and the random recovery rate can be used to characterize the characteristics of the structure of recovery, systematic risk and default. Furthermore, the price difference of high grade coupons can also be calculated more reasonably.
【作者单位】： 大连理工大学管理学院;大连银行资金运营部;
【基金】：国家自然科学基金资助项目(70771018) 中国博士后科学基金资助项目(200704103500) 教育部人文社科基金项目(05JA630005);教育部新世纪优秀人才支持计划(2005年)资助项目
【分类号】：F224;F830.91
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