期权期货及其他衍生产品第9版赫尔_9.pptVIP

* * * * * * * * * * Cumulative Default Probability Conditional on Factor Options, Futures, and Other Derivatives 9th Ediition, Copyright ? John C. Hull 2014 * From the binomila distribution,the probability of k defaults from n names by time t conditional on F is Valuing CDO Tranches Consider times tj (eg: tj=0.25, 0.5, 0.75….) Calculate the expected tranche principal, Ej at each time The expected payoff between times ti and ti+1 is the reduction in expected principal The expected payment at time ti is proportional to the expected principal at that time Options, Futures, and Other Derivatives 9th Ediition, Copyright ? John C. Hull 2014 * Valuation continued. v(t) is discount factor for maturity of t Options, Futures, and Other Derivatives 9th Ediition, Copyright ? John C. Hull 2014 * Calculation of the E’s Discretize the distribution of F so that there are, say, 30 values with 30 weights. For each value of F calculate the probability that there will be 1, 2, 3…defaults on the underlying portfolio by each time ti Use binomial distribution to calculate the probability of 0,1, 2, 3… defaults by each time ti on the underlying portfolio for each value of F For each value of F calculate expected principal of tranche at each time ti Weight value of tranche by probability of F to obtain unconditional expected principals at each time ti Options, Futures, and Other Derivatives 9th Ediition, Copyright ? John C. Hull 2014 * The F-values and their weights Calculated from Gaussian quadrature (or copied from www.rotman.utoronto.ca/~hull) Options, Futures, and Other Derivatives 9th Ediition, Copyright ? John C. Hull 2014 * Implied Correlations A compound (tranche) correlation is the correlation that is implied from the price of an individual tranche using the one-factor Gaussian copula model A base correlation is correlation that prices the 0 to X% tranche consistently with the market where X% is a detachment point (the end point of a standard tranche) Options, Futures,