抵押债权证券之评价—损失函数之共同因子模式.pdfVIP

風險管理學報 第六卷 第三期 2004 年 11 月 Journal of Risk Management Vol.6 No.3 Nov. 2004 pp.291-306 Pricing Collateralized Debt Obligation: A Model of Common Shock for Loss Functions 抵押債權證券之評價—損失函數之共同因子模式 * Chih-Wei Lee ( 李志偉) Abstract In this paper, we propose a CDO valuation model without having to assume conditional independence. In the valuation of CDO tranches, it is critical to model multiple default correlations and to derive the appropriate loss function. Conditional independence is usually assumed to derive CDO loss function due to its simplicity. However, except for common shock, meaningful correlated shocks are ignored in this assumption. Although models assuming conditional dependence attempt to improve on this matter, the number of parameters makes model calibration very challenging. We propose to use a discrete model with common shock for the derivation of CDO loss function, assuming conditional dependence. By grouping firms with equal credit ratings, the number of model parameters can be reduced. Keywords: Model with Common Shock, Collateralized Debt Obligation (CDO), Loss Function. 摘要 在抵押債權證券的評價過程中，推導損失函數極為重要。損失函數涉及債權 發行企業的倒帳相關性。而對於倒帳相關性的假設通常分為條件獨立與條件相關 兩種。在條件獨立假設下，除了共同變動因子外，其它相關變動因子卻被忽略。 雖然有其它評價模式試圖假設條件相關，但參數過多的問題，使得評價模式的計 算相當困難。為解決此問題，本文提出一個離散性共同因子模式，推導條件相關 假設下的損失函數。模式參數個數即可減少，使得評價模式的計算更有效率。 關鍵詞：共同因子模式、抵押債權證券、損失函數。 * 國立台灣大學國際企業學系博士候選人暨講師。 Ph.D. Candidate and Lecturer, Department of International Business, National Taiwan Univers