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題名 | 與物價指數連動之擔保債權憑證的評價模型=A Pricing Model of Inflation-indexed Collateralized Debt Obligations |
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作者 | 陳芬英; 彭星與; Chen, Fen-ying; Peng, Hsing-yu; |
期刊 | 中山管理評論 |
出版日期 | 20130300 |
卷期 | 21:1 2013.03[民102.03] |
頁次 | 頁165-197 |
分類號 | 563.538 |
語文 | chi |
關鍵詞 | 物價指數連動的CDO; 縮減式模型; 一般化CDO模型; 機率水桶法; 蒙地卡羅法; Inflation-indexed CDO; Reduced form model; General CDO model; Probability Bucketing method; Monte Carlo simulation; |
中文摘要 | 本文擴展Meneguzzo & Vecchiato(2002)模型,應用縮減式信用風險模型,首次提出與物價指數連動的擔保債權憑證(Collateralized Debt Obligations, CDO)模型。該模型,除了具備傳統CDO的特色之外,在物價不斷攀升之際,亦能保障分券投資人的實質收益。此外,當模型分券之通膨效果為零時,則本模型隨即變成傳統的CDO模型,所以本模型可視為傳統CDO的一般化(general form)模型。在蒙地卡羅法和機率水桶法之應用下,實證發現,與物價指數連動的CDO模型,其分券的信用價差皆高於無通膨效果之傳統CDO評價模型;物價指數波動度與各分券之信用價差呈同向變動。 |
英文摘要 | This article extends the work by Meneguzzo & Vecchiato (2002) under a reduced form to first present an inflation-indexed CDO model. Besides the properties of traditional CDOs, the model can preserve investors' real profits in an inflation period. Also, the model can reduce to a traditional CDO model when the proportion of the inflation effects of the tranches in the model equals to zero. Thus our model can be regarded as a general one of the traditional CDO models. In empirical studies, using Monte Carlo simulation and Probability Bucketing method, it is found that the fair spread of the inflation-indexed model is higher than that of the traditional CDO model with no inflation effect. Also, the relationship between the fair spread and inflation volatility is positive. |
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