頁籤選單縮合
| 題 名 | 條件獨立假設下合成型擔保債權憑證之評價與避險=The Pricing and Hedging of Synthetic CDOs under the Conditional Independence Assumption |
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| 作 者 | 江彌修; 岳夢蘭; 林恩平; | 書刊名 | 財務金融學刊 |
| 卷 期 | 17:1 2009.03[民98.03] |
| 頁 次 | 頁1-40 |
| 分類號 | 563.538 |
| 關鍵詞 | 合成型擔保債權憑證; 因子連繫結構; 分券避險比例; 損失分配; Synthetic CDOs; Factor Copulae; Tranche deltas; Loss distributions; |
| 語 文 | 中文(Chinese) |
| 英文摘要 | In this paper we investigate the valuation and hedging issues of synthetic collateral debt obligations (CDOs) under the conditional independence assumption. The probability bucketing method of Hull and White (2004) enables us to construct the loss distribution, and we characterize the correlation structure between defaults based on the factor-copula formalism initiated by Laurent and Gregory (2003) to arrive at a semi-analytic valuation framework. We consider risk measures that are adequate for assessing the relative risks of tranches. Efficient calculation of the hedging parameters is demonstrated, and we provide an in-depth analysis for the relevant hedging implications followed from our numerical results. |
本系統中英文摘要資訊取自各篇刊載內容。