本文關(guān)鍵詞： CDO 評(píng)級(jí)選購(gòu) K-S檢驗(yàn) 判別分析　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2007年起的金融危機(jī)仍在對(duì)我們的生活產(chǎn)生巨大的影響。危機(jī)初步顯現(xiàn)為次級(jí)住房抵押貸款的直接違約損失,但卻被債務(wù)抵押債券(Collateralized Debt Obligations, CDO)放大,許多潛在問(wèn)題至今仍未爆發(fā)出來(lái)。CDO類屬于結(jié)構(gòu)性金融產(chǎn)品,相較于一般的債券更依賴于獨(dú)立第三方評(píng)級(jí)機(jī)構(gòu)對(duì)其的評(píng)級(jí)。而由于在評(píng)級(jí)問(wèn)題上,發(fā)行人與投資者存在著很強(qiáng)的信息不對(duì)稱,故導(dǎo)致了評(píng)級(jí)模型套利(或稱評(píng)級(jí)選購(gòu))的出現(xiàn)。本文的思路來(lái)源于Fender and Kiff(2005),基于實(shí)證數(shù)據(jù)和統(tǒng)計(jì)方法,對(duì)基于信息不對(duì)稱的評(píng)級(jí)模型套利是否存在進(jìn)行了統(tǒng)計(jì)檢驗(yàn)。在單變量檢驗(yàn)中使用了單因素ANOVA和K-S檢驗(yàn),在此結(jié)果基礎(chǔ)上作判別分析,得出多變量檢驗(yàn)結(jié)果。結(jié)論是,基于信息不對(duì)稱的評(píng)級(jí)模型套利的確存在,并且CDO的發(fā)行幣種和期限對(duì)其差異的影響十分顯著。
[Abstract]:The financial crisis that began in 2007 is still having a huge impact on our lives. The crisis has initially emerged as a direct default loss on subprime mortgages. But they are magnified by collateralized Debt obligations (CDOs). Many potential problems have yet to erupt. The CDO category is a structured financial product, relying more on independent third-party rating agencies than on bonds in general. There is a strong information asymmetry between issuers and investors. This leads to the emergence of rating model arbitrage (or rating selection). The idea of this paper comes from Fender and Kiffon 2005, based on empirical data and statistical methods. This paper makes a statistical test on whether arbitrage exists in the rating model based on information asymmetry. The univariate ANOVA and K-S tests are used in the univariate test, and the discriminant analysis is made on the basis of the results. The results of multivariate test show that arbitrage based on asymmetric information rating model does exist and that the currency and maturity of CDO issue have a significant effect on the difference.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.9;F224

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相關(guān)期刊論文 前1條

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本文編號(hào)：1484018