CDO定价研究：中国一级和二级市场的实证结果

发布时间：2018-01-18 13:26

本文关键词：CDO定价研究：中国一级和二级市场的实证结果　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：债务担保证券(CDO)是近10多年来迅速发展起来的一种结构融资类型的固定收益产品。CDO将多个质押资产打包为一个整体资产池,再将资产池出售给特殊目的公司,由投资银行将质押资产池分割为不同信用等级的证券,发行给投资者。CDO在世界金融危机中扮演了重要角色,本文对CDO的定价进行研究,以期为国内CDO产品定价提供可行的建议。本文运用了实证检验的方法,研究了Copula模型对CDO产品的定价效果。结合蒙特卡洛模拟,利用Matlab建模,对模型参数“回收率”和“资产相关系数”进行了敏感性分析；比较了高斯Copula、t-Copula、双t-Copula模型的定价效果；并以“工元2013-1”期CDO产品为例,对我国CDO产品定价进行实证检验,得到实证结果与实际定价之差小于0.4%, t-Copula模型定价效果较为理想。本文还研究了国内CDO二级市场的发展前景,借鉴国外CDO市场的套利交易策略,对国内CDO二级市场进行套利实证检验,发现相同期限AAA级CDO产品存在套利空间,并构建了可行的套利策略,为即将开放的CDO二级市场交易提供了可参考的投资建议。
[Abstract]:Collateralized debt obligation (CDO) is developed rapidly in the past 10 years a type of financing structure of fixed income products.CDO multiple pledge assets as a whole asset pool, the pool of assets sold to the Special Purpose Company, the investment bank pledged asset pool is divided into different credit rating of the securities issued to investors..CDO in the world financial crisis has played an important role, this paper studied the pricing of CDO, in order to provide feasible suggestions for the domestic CDO product pricing. This paper uses the method of empirical research, the Copula model of CDO pricing effect. Combined with Monte Carlo simulation, using Matlab modeling, the model parameters' recovery rate "and" asset correlation coefficient for sensitivity analysis; comparison of Gauss Copula, t-Copula, double t-Copula model pricing effect; and to "work element 2013-1" CDO products For example, an empirical test on China's CDO product pricing, the empirical results and the actual price of less than 0.4%, t-Copula pricing model is ideal. This paper also studies the development prospects of the domestic CDO market of the two, from the arbitrage strategy of foreign CDO market, the domestic CDO two market arbitrage empirical test, found the same period of AAA CDO products have arbitrage space, and construct the arbitrage strategy is feasible, can provide a reference for investment advice to open CDO two secondary market trading.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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