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題名 評價擔保債權憑證與避險－隱含連繫結構模型
Valuing and Hedging Collateralized Debt Obligations with the Implied Copula Model
作者 黃柏翰
Huang,Po Han
貢獻者 廖四郎
Liao,Szu Lang
黃柏翰
Huang,Po Han
關鍵詞 西低歐
隱含連繫結構
避險
CDO
implied copula
delta
greeks
日期 2006
上傳時間 17-Sep-2009 19:05:13 (UTC+8)
摘要 Collateralized debt obligations (CDOs) represent one of the fastest-growing credit derivatives of the structured finance world. In January 2007, the law has been promoted so that CDOs can be issued in Taiwan, including CLOs and CBOs. Thus, we can expect that these two kinds of CDOs will be main products in short future.
There are many approaches to valuing CDOs, such as structural models, reduced-form models and credit barrier models. Copula models, which are sometimes classified as reduced-form models, represent the market standard for pricing CDOs. In this paper, we discuss the “implied copula model”, one approach implied from copulas. This is first written by John Hull and Alan White in October, 2006. Here, we discuss how the assumptions in the implied copula model can be released or changed. In our study, we use the CDX IG data on June 8, 2007, for calibration.
Besides valuing CDOs with implied copula, we use the adjusted implied copula approach to hedge. Since credit default swap (CDS) has become one of the basic credit products and CDOs are based from some set of CDSs, the CDO tranches and the CDSs must be arbitrage-free. By taking this idea into our model, our study shows that this approach can be used to hedge CDOs with CDSs. Moreover, we use implied copula to eliminate the arbitrage opportunity in Gaussian copula/base correlation approach. As valuing, we also use the CDX IG data on June 8, 2007, for calibration in our hedging model. Consequently, our results suggest that there is a hedging approach with better hedging effect, which is constructed according to Greeks of CDO tranches or according to classification by industries and credit ratings of the CDS names for CDOs.
參考文獻 Atish Kakodkar, Barnaby Martin and Stefano Galiani, 2003, “Correlation Trading”, Derivatives, Merrill Lynch.
David T. Hamilton, Sharon Ou, Frank Kim, and Richard Cantor, 2007, “Corporate Default and Recovery Rates, 1920-2006”, Global Credit Research, Moody’s Investors Service.
Dominic O’Kane and Matthew Livesey, 2004, “Base Correlation Explained”, Fixed Income Quantitative Credit Research, Lehman Brothers.
John C. Hull and Alan D. White, 2006, “Valuing Credit Derivatives Using an Implied Copula Approach”, Journal of Derivatives.
John C. Hull and Alan D. White, 2004, “Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives.
Louis Loizou and Dresdner Kleinwort Benson, 2006, “Credit Barrier and Dynamic Correlation Techniques for Pricing Collateralized Debt Obligations of European Small and Medium-sized Enterprises”, working paper.
Nicole Lehnert, Frank Altrock, Svetlozar T. Rachev, Stefan Truck, and Andre Wilch, 2005, “Implied Correlations in CDO Tranches”.
Robert A. Jarrow and Stuart M. Turnbull, 1995, “Pricing Derivatives in Financial Securities Subject to Credit Risk”, Journal of Finance.
Tahsin Alam and David Folkerts, 2007, “Quantitative Credit Strategy”, Global Market Research, Deutsche Bank.
林恩平，2006，「因子相關性結構模型之下合成型擔保債權憑證之評價與避險」，政大金融所碩士論文。
郭銚倫，2006，「信用評等分組下之合成型CDO評價」，政大金融所碩士論文。
描述 碩士
國立政治大學
金融研究所
94352028
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094352028
資料類型 thesis
dc.contributor.advisor 廖四郎zh_TW
dc.contributor.advisor Liao,Szu Langen_US
dc.contributor.author (Authors) 黃柏翰zh_TW
dc.contributor.author (Authors) Huang,Po Hanen_US
dc.creator (作者) 黃柏翰zh_TW
dc.creator (作者) Huang,Po Hanen_US
dc.date (日期) 2006en_US
dc.date.accessioned 17-Sep-2009 19:05:13 (UTC+8)-
dc.date.available 17-Sep-2009 19:05:13 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:05:13 (UTC+8)-
dc.identifier (Other Identifiers) G0094352028en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34009-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 94352028zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) Collateralized debt obligations (CDOs) represent one of the fastest-growing credit derivatives of the structured finance world. In January 2007, the law has been promoted so that CDOs can be issued in Taiwan, including CLOs and CBOs. Thus, we can expect that these two kinds of CDOs will be main products in short future.
There are many approaches to valuing CDOs, such as structural models, reduced-form models and credit barrier models. Copula models, which are sometimes classified as reduced-form models, represent the market standard for pricing CDOs. In this paper, we discuss the “implied copula model”, one approach implied from copulas. This is first written by John Hull and Alan White in October, 2006. Here, we discuss how the assumptions in the implied copula model can be released or changed. In our study, we use the CDX IG data on June 8, 2007, for calibration.
Besides valuing CDOs with implied copula, we use the adjusted implied copula approach to hedge. Since credit default swap (CDS) has become one of the basic credit products and CDOs are based from some set of CDSs, the CDO tranches and the CDSs must be arbitrage-free. By taking this idea into our model, our study shows that this approach can be used to hedge CDOs with CDSs. Moreover, we use implied copula to eliminate the arbitrage opportunity in Gaussian copula/base correlation approach. As valuing, we also use the CDX IG data on June 8, 2007, for calibration in our hedging model. Consequently, our results suggest that there is a hedging approach with better hedging effect, which is constructed according to Greeks of CDO tranches or according to classification by industries and credit ratings of the CDS names for CDOs.		en_US
dc.description.tableofcontents I. Introduction...................................................................................................................1
II. CDO and CDO-related Models...................................................................................3
2.1 CDS and CDO Structure.....................................................................................3
2.2 Structural Models................................................................................................4
2.3 Reduced-form Models.........................................................................................5
2.4 Credit Barrier Models.........................................................................................5
2.5 Copula Model.......................................................................................................6
2.5.1 One Factor Copula Model........................................................................6
2.5.2 The Standard Market Model...................................................................8
2.5.3 Probability Bucketing...............................................................................8
2.6 The Implied Correlation......................................................................................8
2.6.1 The Compound Correlation.....................................................................9
2.6.2 The Base Correlation................................................................................9
2.7 Correlation Trading...........................................................................................11
III. The Implied Copula Model.......................................................................................12
3.1 Intuition behind Implied Copula Model..........................................................12
3.2 Correlation, Hazard Rates, and the Gaussian Copula...................................13
3.3 Implementation of Model..................................................................................15
3.3.1 Choosing the λ’s......................................................................................18
3.3.2 Choosing the π’s......................................................................................18
3.3.3 Bespoke CDO Tranches..........................................................................19
3.3.4 Arbitrage-free with CDSs.......................................................................19
IV. Empirical Analysis of CDX IG Data.........................................................................21
4.1 The Data of the CDO Indices............................................................................21
4.2 The Result of Calibration of CDX IG Data.....................................................22
4.3 Comparison of the Base Correlation and Implied Copula Approach...........24
4.3.1 On-the-run CDO Tranches....................................................................25
4.3.2 Off-the-run CDO Tranches....................................................................25
V. Greeks of CDO Tranches and Hedging Approaches................................................27
5.1 Comparison of Flat Term Structure Model and Implied Copula Model......28
5.2 Sensitivity Analysis of Greeks for Dynamic Hedging.....................................31
5.3 Delta of One Single Name..................................................................................35
5.3.1 The Nonhomogeneous Model.................................................................36
5.3.2 Deltas of a Single Name in the Nonhomogeneous Model....................36
5.4 Hedging Models..................................................................................................38
5.4.1 The First Model for Hedging.................................................................39
5.4.2 The Second Model for Hedging.............................................................41
VI. Conclusion..................................................................................................................44
Reference.........................................................................................................................45
Appendix 1........................................................................................................................46
i		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094352028en_US
dc.subject (關鍵詞) 西低歐zh_TW
dc.subject (關鍵詞) 隱含連繫結構zh_TW
dc.subject (關鍵詞) 避險zh_TW
dc.subject (關鍵詞) CDOen_US
dc.subject (關鍵詞) implied copulaen_US
dc.subject (關鍵詞) deltaen_US
dc.subject (關鍵詞) greeksen_US
dc.title (題名) 評價擔保債權憑證與避險－隱含連繫結構模型zh_TW
dc.title (題名) Valuing and Hedging Collateralized Debt Obligations with the Implied Copula Modelen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Atish Kakodkar, Barnaby Martin and Stefano Galiani, 2003, “Correlation Trading”, Derivatives, Merrill Lynch.zh_TW
dc.relation.reference (參考文獻) David T. Hamilton, Sharon Ou, Frank Kim, and Richard Cantor, 2007, “Corporate Default and Recovery Rates, 1920-2006”, Global Credit Research, Moody’s Investors Service.zh_TW
dc.relation.reference (參考文獻) Dominic O’Kane and Matthew Livesey, 2004, “Base Correlation Explained”, Fixed Income Quantitative Credit Research, Lehman Brothers.zh_TW
dc.relation.reference (參考文獻) John C. Hull and Alan D. White, 2006, “Valuing Credit Derivatives Using an Implied Copula Approach”, Journal of Derivatives.zh_TW
dc.relation.reference (參考文獻) John C. Hull and Alan D. White, 2004, “Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives.zh_TW
dc.relation.reference (參考文獻) Louis Loizou and Dresdner Kleinwort Benson, 2006, “Credit Barrier and Dynamic Correlation Techniques for Pricing Collateralized Debt Obligations of European Small and Medium-sized Enterprises”, working paper.zh_TW
dc.relation.reference (參考文獻) Nicole Lehnert, Frank Altrock, Svetlozar T. Rachev, Stefan Truck, and Andre Wilch, 2005, “Implied Correlations in CDO Tranches”.zh_TW
dc.relation.reference (參考文獻) Robert A. Jarrow and Stuart M. Turnbull, 1995, “Pricing Derivatives in Financial Securities Subject to Credit Risk”, Journal of Finance.zh_TW
dc.relation.reference (參考文獻) Tahsin Alam and David Folkerts, 2007, “Quantitative Credit Strategy”, Global Market Research, Deutsche Bank.zh_TW
dc.relation.reference (參考文獻) 林恩平，2006，「因子相關性結構模型之下合成型擔保債權憑證之評價與避險」，政大金融所碩士論文。zh_TW
dc.relation.reference (參考文獻) 郭銚倫，2006，「信用評等分組下之合成型CDO評價」，政大金融所碩士論文。zh_TW