擔保債權憑證之評價分析

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 學位論文 > Item 987654321/33027

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題名:	擔保債權憑證之評價分析
其他題名:	Valuation of collateralized debt obligations
作者:	李福慶;Lee, Fu-ching
貢獻者:	淡江大學管理科學研究所博士班廖四郎;Liao, Szu-lang;陳淼勝;Chen, Miao-sheng
關鍵詞:	擔保債權憑證分析;Copula;Factor Copula;隨機違約率模型;Copula;Factor Copula;CDO Tranche;Strochastic hazard rate process
日期:	2008
上傳時間:	2010-01-11 03:09:00 (UTC+8)
摘要:	自2002年底起，國際主要投資機構開始將投資重心轉向新奇信用衍生性CDO指數型分券(index tranche)，例如標準化CDO指數型分券(index tranche)與CDO-Squared分券等。台灣金融產業目前正值轉型期，銀行業者不但面臨低利帶來經營壓力外，同時亦需規避評等較差之企業貸款的信用風險。此外，由於公司債連鎖違約與逆浮動結構債的鉅額損失，導致債券的投資資本轉向CDO市場。因此，此一環境背景下恰為發行CDO之良好契機。從1997年發生東南亞金融危機，乃至1998年韓國的亞洲金融危機，造成許多跨國企業紛紛裁員、關廠、甚至倒閉，造成一連串的金融危機連鎖效應。由此可知，公司間或產業間之榮枯是相互關聯的，公司的破產機率除受債信評等高低所影響外，且均受總體經濟因素所影響。因此，本文嘗試以copula與factor copula方法來探究CDO資產池內標的間的違約相關性，以準確地估算CDO各分券之信用價差。本研究之主要目的在於能更真實地捕捉CDO資產池的違約行為，在回復率隨機的假設設，採用CIR 隨機違約率模型與KMV-Merton Model合成的factor copula模型來評價指數型分券，同時利用兩階段probability bucketing方法來評價寶來證券所發行的第一檔CDO2。本文與Hull and White (2004)模式double student’s t factor copula 模型作一比較，發現採用兼具CIR 隨機違約率與隨機回復率模式將產生相對於Hull and White(2004) 模式來得低之各分券信用價差。此即意味著違約率與回復率之常數假設是不合理的因為CDS 契約存在著不同到期日之每日市場報價，亦即信用價差之訊息可及時地由市場報價獲得。 After 2002, many originators turn to consider various bespoke tranches of other CDOs (including standardized contract of CDS Index) as underlying of collateral for both raising the return of its tranches and diversifying underlying of its collateral. The type of exotic CDOs is referred to as Synthetic CDO-Squared. Currently, the Taiwanese financial industry is going through a period of transformation. The banks face not only the pressure of operating pressures owing to declining interest rate, but also the pressure to control credit risk on loans. Additionally, the crisis resulting from successive corporate bond default events and a huge loss of inverse floating structured notes have led to the switch of financial investments from bond mutual funds to Collateralized Debt Obligation (CDO) markets in Taiwan. The Southeast Asian financial crisis occurred in year 1997, followed by the Asian financial crisis of affecting S. Korea of 1998. They both resulted in numerous multinational enterprises laying off employees, shutting down factories, and even going bankrupt, and caused widespread financial pain. For risk management and valuation of multi-name credit derivatives, the estimation of the default dependence is considered an extremely important factor. Default dependency may be influenced by both overall economy factor, sectoral and firm-specific factors. For hybrid portfolio of the first CDO-Squared issued by the Polaris Securities Group in Taiwan, we propose hybrid factor copula model which involves CIR stochastic intensity model and KMV-Merton Model developed by Leland (2004) under random recovery rate environment to price CDO-Squared. Compared with the double student’s t factor copula method developed by Hull and White (2004), we find that the proposed model which uses CIR intensity rate, random recovery rate of various secured-level brackets, and double student’s t copula produces fair credit spreads of tranches lower than the Hull and White (2004) model except 15%~30% tranche. The assumptions of positive mean-reverting hazard rate and stochastic recovery rates of various classifications are more realistic since CDS has daily market quotes of different maturities, and thus market trading can expose credit spread information of obligors.
顯示於類別:	[管理科學學系暨研究所] 學位論文

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