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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

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

黃柏翰, Huang,Po Han Unknown Date (has links)
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.

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