债务抵押债券定价中的违约相依性研究

发布时间：2018-05-05 03:30

本文选题：违约相依性 + Pair　；参考：《数学的实践与认识》2014年04期

【摘要】：如何衡量违约风险乃至违约相依性是债务抵押债券定价的主要问题.运用PairCopula刻划信用资产组合违约时刻的相依结构,通过Pair Copula分解得到资产组合违约时刻的联合密度,利用Monte Carlo模拟估算CDO各系列的公平价差,进而分析各系列公平价差对回收率的敏感性.实证研究结果表明,Pair Copula能有效捕捉信用资产组合的违约相依性,各系列公平价差随着回收率的增加而减小.
[Abstract]:How to measure default risk and even default dependence is the main problem of debt collateralized bond pricing. The dependent structure of default time of credit portfolio is described by PairCopula, the joint density of default time of portfolio is obtained by Pair Copula decomposition, and the fair price difference of each series of CDO is estimated by Monte Carlo simulation. Then the sensitivity of each series of fair price difference to recovery rate was analyzed. The empirical results show that pair Copula can effectively capture the default dependence of credit portfolio, and the fair spread of each series decreases with the increase of recovery rate.
【作者单位】：中国科学技术大学统计与金融系;深圳大学管理学院;
【基金】：中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02) 国家自然科学基金(71001073) 深圳大学科研基金(201121)
【分类号】：F830.91;F224

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