CDS价差结构转换模型及对标准化CDO价格的修正.pdfVIP

409 Vol. 40, N o. 9 2 0 10 9 JOURNAL OF UNI VERSIT Y OF SCIENCE AND T ECHNOLOGY OF CHINA Sep. 2 0 1 0 : 0座机电话号码 2010 0座机电话号码 CDSCDO 过蓓蓓, 方兆本 , 230026 : 利用CDS 欧洲指数每日中间价, 建立价差日改变量的马尔科夫结构转换模型, 以捕捉 融事 件对违约风险的影响. 将此结构转换模型应用到标准化抵押债务证券 coll ter lized debt oblig tions, CDO 权益分券的定价中, 得到修正后的结合市场环境的分券价格. 该模型及CDO 修 正价格从量化的角度说明, 源于美国的次贷危机是发行机构监管部门以及市场环境变化的共同作 用, 而并非 融产品本身对 融市场的危害. 对此进行深入研究, 建立适应市场环境的定价及风险 监控模型, 才是面对次贷危机所最应作出的反应. : 次贷危机; CDS 指数; 信用价差; 标准化CDO; 结构转换模型 : F830. 9 : A doi: 10. 3969/ j. issn. 0座机电话号码. 20 10. 09. 004 Regimeswitching model of CDS spreads and an improved pricing method of standard CDO GUO Beibei, FANG Zh oben Dep t. of Statistics and Finance, University of Science and Technology of China, H ef ei 230026, China Abstract: In or der to qu ntify the re son ble price of CDO coll ter lized debt oblig tion under different m rket conditions, the M rkov regimesw itching model for iT r xx CDS spr e ds d ily ch nges w s used to demonstr te the influence of fin nci l events on def ult risk. Using this model to price equity tr nche of st nd rd CDO, n improved pricing method w s obt ined combining m rket envir onment . T he improved pricing model show s th t the co ctions of the issuer , regul tor nd m r ket environment led to the subprime lo n cr isis, r ther th n the fin nci l instrument itself . Est blishment to pricing nd risk contr ol model should be pr oper response to the subpr ime lo d crisis. Key words: subpr ime lo n crisis; CDS index; credit spre ds; st nd rd CDO; regimesw itching model 10 0 2007 , 2007 2 , . , 78 , 78 , . , 2007 9 , 2007 , , . , : 座机电话号码; : 座机电话号码 : KJCX3SYWS02 . : , , 1982 , . : . Em il: guobb@ m il. ustc. edu. cn : , / . Em il: zbf ng@ ustc. edu. cn 第9 期 CDS 价差结构转换模型及对标准化CDO 价格的修正 903 . . , , 1987 CDS iTr xx index CDX index , CDO st nd rd CDO, tr nched index CDO coll ter lized debt CDO . oblig tions, CDO , [ 13] . CDO . 2006 5 , CDS CDS index contr cts CDS singlen me CDS contr cts CDO ;