The objective of this paper is to offer a methodology for sizing credit-sensitive Asset Backed Securities (ABS) used in the prime mortgage lending sector in the U.S. and then to evaluate their relative performance. Using a multi-factor Monte Carlo simulation framework, we perform a four-step analysis. First, we estimate scenario-specific credit losses from a given mortgage pool. We then structure the pool into a 6-pack subordination structure based on statistically-determined stress economic scenarios. Next, we estimate performance indicators of the tranches to compare risk-adjusted returns. Finally, we report our results in terms of tranche-specific risk-adjusted returns. The results indicate that the middle tranches of ABS, e.g., BBB and BB, possess the lowest risk-adjusted returns. We also find and explain a cliff phenomenon in the tranche-level principal cash flows.

The objective of this paper is to offer a methodology for sizing credit-sensitive Asset Backed Securities (ABS) used in the prime mortgage lending sector in the U.S. and then to evaluate their relative performance. Using a multi-factor Monte Carlo simulation framework, we perform a four-step analysis. First, we estimate scenario-specific credit losses from a given mortgage pool. We then structure the pool into a 6-pack subordination structure based on statistically-determined stress economic scenarios. Next, we estimate performance indicators of the tranches to compare risk-adjusted returns. Finally, we report our results in terms of tranche-specific risk-adjusted returns. The results indicate that the middle tranches of ABS, e.g., BBB and BB, possess the lowest risk-adjusted returns. We also find and explain a cliff phenomenon in the tranche-level principal cash flows.

CDO經由分券的過程將資產的特有風險與系統性風險予以劃分，主要的目的是讓投資者針對風險承擔的能力購買不同的分券。在信用指數合成型CDO方面，市場實務採用簡化的LPGC(Large Pool Gaussian Copula Model)評價，面對降等與特別事件造成的個別資產違約卻無法有效的評估。本文在LPGC上加入信用評等分組與信用移轉矩陣，以Factor Copula方法建立聯合違約關係，配合高斯積分的數值方法計算出各分券的價格，對於信用評等下降的情況與LPGC做比較，結果顯示分組能夠有效的阻隔資產的特有風險，不會讓其他的資產也受到此資產降等的嚴重影響，因此適當的分組夠使模型對於系統與非系統風險有較佳的反應能力。

自從1997年東南亞金融風暴，許多跨國企業紛紛倒閉，造成一連串的金融危機連鎖效應，無論是金融機構或投資人皆蒙受巨大的損失，使得金融市場開始正視信用風險的問題，增加對風險管理的重視。除了信用風險的問題外，由於過去幾年利率是一路下滑，使反浮動利率的公司結構債廣受歡迎，如今利率反轉上升，結構債的價格就會下跌虧損，手上握有大筆結構債的基金或是投信公司便因此受到牽連，自2005年起開始發行的CBO，便是為了解決公司結構債的問題而發行。在此環境下，更加速了信用衍生性商品的發展。 資產證券化對金融機構來說，除了有可以將信用風險移轉給投資人的好處之外，也是減低籌資成本的一個管道。另外，還有能增加收入、克服資本限制以及流動性限制等優點。 但在CDO之債權群組中，當債務人間的違約情況具有相關性時，個別債務人發生違約將可能連帶使得整個CDO債務現金流量來源產生嚴重衝擊。因此，如何準確推估CDO與CDO-squared各個分券下合理之信用價差，乃本研究分析商品的重點。 本研究採用Gaussian Copula，並利用蒙地卡羅法以及Probability Bucketing Approach評價擔保債權憑證。雖然Probability Bucketing Approach與蒙地卡羅法所模擬出來的結果很接近，然而Probability Bucketing Approach卻是較有效率的評價方法。在Probability Bucketing Approach中，損失級距的切割將會影響到評價的準確性，切割地越細密，越能準確地計算出損失分配，進而得到精確的信用價差。本文亦發現違約回收率、相關係數、違約率以及債權重複性(Overlap)均會顯著影響分券信用價差的評價，顯示參數正確評估之重要性。

The asset combination of the multi-target credit derivatives and the pricing model of credit risk, the dependence in credit default in credit derivatives is an important connection factor. Copula functions represent a methodology which has recently become the most significant new tool to handle in a flexible way the comovement between markets, risk factors and other relevant variables studied in finance. Besides, Copula functions have been applied to the solution of the need to reach effective diversification has led to new investment products, bound to exploit the credit risk features of the assets. It is particularly for the evaluation of these new products, such as securitized assets (asset-backed securities, such as CDO and the like) and basked credit derivatives (nth to default options) that the need to account for comovement among non-normally distributed variabes has become an unavoidable task. This article attempts utilizes the credit yield spread between the non-risk bond and the common corporation bond in the market and using Copula functions to make up the relation composition of asset combination. Then, penetrates through the Monte-Carlo Simulation to estimated the default time of asset combination and princing the credit risk spread in the tranche of the Collateralized Debt Obligation (CDO). Besides, this article aims at the asset default recovery rate, the discount rate and the correlation coefficient of asset combination and so on three factors makes the sensitivity analysis, we find that the most effect of the credit default spread in the Collateralized Debt Obligation is asset default recovery rate, next is the correlation coefficient of asset combination, the influence of discount rate is not obvious.

The topic of this thesis is Credit swaps and CDOs and their use in the financial environment of the 21st century. The aim of this thesis is to examine how the market of these instruments works, show how they are traded and how diversely they can be used but also warns about the potential negative consequences in case these instruments are not handled with the required caution. The practical part of this thesis concentrates on the current situation on the credit derivatives market focusing on the above mentioned instruments. The role of CDSs and CDOs in the 2008 global financial crisis is examined with emphasis on the AIG case.

No description available.

這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後，我們發現遠期生效擔保債權憑證與其選擇權對跨期損失相關性有高度敏感性。 / This article tries to find the term-structure of credit spread and portfolio loss distribution to price an option on CDO tranche. Our solution is based on a multiple period of factor copula model proposed by Andersen to fit the dynamic credit spread process by considering inter-temporal loss correlations through time. We also extend the model of valuing European options on CDO tranches presented by Hull and White and discuss the Greeks of the option formula. We numerically test the dependence of forward-starting CDOs on the correlation of loss across time. With the results, we price the options on CDO tranches. Finally, we find forward-starting CDOs and options on CDO tranches can have strong sensitivity to inter-temporal loss correlation.

Ce travail porte sur l'étude des propriétés optiques de l'oxyde de zinc (ZnO), matériau semi-conducteur à grand gap. La technique de caractérisation principale de ce travail est la spectroscopie par photoluminescence, technique non destructive permettant d'obtenir des informations relatives à la structure électronique d'un matériau. Après avoir présenté les propriétés du ZnO, de ses alliages, et rappelé quelques principes de base associés à la luminescence des matériaux semi-conducteurs., nous comparerons dans un premier temps les propriétés optiques de différents types de ZnO monocristallin, selon leur mode d'élaboration : matériaux massifs de différentes origines, couches épitaxiées et nanofils. Ces comparaisons ainsi que l'étude des effets sur les spectres de photoluminescence des traitements tels que recuit et passivation nous permettront d'avancer différentes hypothèses quant à l'origine de la luminescence visible dans ce matériau grand gap, sujet encore controversé dans la littérature. Dans un deuxième temps, nous présenterons notre contribution à l'étude du dopage p du matériau, qui est encore aujourd'hui le verrou pour l'obtention de diodes électroluminescentes à base de ZnO. Nous examinerons le problème du dopage intrinsèque de type n et de la compensation, préalable indispensable avant d'aborder le dopage de type p. Le dopage p est traité ici principalement au travers des études optiques d'échantillons implantés et recuits. Plusieurs variantes liées à l'implantation d'azote seront présentées et l'obtention de paires donneur accepteurs clairement mise en évidence pour des conditions de recuit optimisées. La nature des accepteurs présents est discutée par référence aux travaux antérieurs. . / We have studied the optical properties of Zinc Oxide (ZnO), a wide band gap semiconductor material. The main characterization technique used in this work is the photoluminescence spectroscopy, a non destructive technique which gives information about the electronic structure of the material. After presenting the properties of ZnO, its alloys, and reminding some basic principles relative to the luminescence in semiconductor materials, we will compare the optical properties of ZnO single-crystals from different growth methods: bulk material from different origins, epitaxial layers and nanowires. These comparisons and the effects of different treatments (annealing, passivation...) on the PL spectra unable us to emit hypothesis about the origin of the visible luminescence, which is a controversial subject in the literature. Secondly, we will present our contribution to the study of the p doping of ZnO, which is indispensable for device applications based on the p–n junction. We will take a look at the n type intrinsic doping problem before examining the p type doping. We investigate here p type doping through optical studies of implanted and annealed samples. We present here some variants of nitrogen implantation and the presence of donor acceptor pairs has been proven, leading to the optimization of the annealing conditions. Nature of the acceptors is discussed with the literature.

I re-examine “rating shopping” and “rating catering” in the market for AAA rated collateralized debt obligations (CDOs) by replicating the study of Griffin and Tang (2013) using post-crisis data. I find a sharp increase in the amount of CDOs that received a single rating, suggesting that CDO underwriters were more cautious about formally soliciting multiple ratings. However, I also find a decrease in AAA rating disagreements between S&P and Moody’s, implying that issuers shopped their CDOs through informal conversations with agencies. Finally, I find investors correctly accepted tighter credit spreads for dual-rated CDOs because dual-rated CDOs experienced fewer rating downgrades than single rated deals. These results differ from the pre-crisis findings of Griffin and Tang (2013) and are consistent with the existence of rating shopping and disappearance of rating catering during the post-crisis period.