本文選題：單因子Copula模型 + 大樣本同質(zhì)投資組合(LHP)�。� 參考：《浙江工業(yè)大學(xué)》2014年碩士論文

【摘要】：近年來,CDO發(fā)展迅速。如何進(jìn)行CDO的風(fēng)險評估,對其進(jìn)行公平的價差評價,是促進(jìn)其健康發(fā)展的重要因素。國內(nèi)的學(xué)者和實務(wù)界的業(yè)內(nèi)人士對相關(guān)領(lǐng)域的研究還涉足較少,很少對CDO的信用風(fēng)險進(jìn)行討論分析,缺乏信用風(fēng)險的評價體系。歸根結(jié)底,還是未能對CDO產(chǎn)品進(jìn)行準(zhǔn)確合理的定價。深入分析CDO的合理定價,對促進(jìn)我國金融改革有非常廣闊的應(yīng)用前景。本文分別基于t-NIG分布和G-NIG分布的單因子Copula模型在大樣本同質(zhì)投資組合(LHP)的近似情況下給出了兩個CDO定價模型具體的定價步驟：計算CDO資產(chǎn)池資產(chǎn)的違約概率和損失分布；并通過CDO定價的半解析法,根據(jù)無套利思想,得到了CDO分券層價差的計算公式。 最后,基于定價模型對信用衍生品指數(shù)Dow Jones iTraxx Europe指數(shù)2006年4月13日的各分券層定價進(jìn)行了數(shù)值分析,分析對比了Dow Jones iTraxx Europe指數(shù)的市場價格和本文中幾種單因子Copula定價模型的定價結(jié)果,發(fā)現(xiàn)了G-NIG Copula模型的定價結(jié)果最貼合市場報價,且單因子Copula模型中因子變量所服從的分布和模型中自由參數(shù)的數(shù)量是決定CDO定價與市場報價貼合程度的兩個重要因素。更進(jìn)一步,分別引入二狀態(tài)(貝努利)隨機(jī)相關(guān)系數(shù)和三狀態(tài)(對稱)隨機(jī)相關(guān)系數(shù),理論上對單因子Copula的CDO定價模型進(jìn)行擴(kuò)展。為定價模型的改進(jìn)和應(yīng)用提供理論和實證參考。
[Abstract]:CDO has developed rapidly in recent years. How to evaluate the risk of CDO and evaluate its fair spread is an important factor to promote its healthy development. Domestic scholars and practitioners are still involved in less research in related fields, rarely discuss and analyze the credit risk of CDO, and lack a credit risk evaluation system. After all, still fail to carry on accurate and reasonable price to CDO product. Further analysis of reasonable pricing of CDO has a very broad application prospect for promoting financial reform in China. In this paper, based on t-NIG distribution and G-NIG distribution, two specific pricing steps of CDO pricing model are given under the approximation of large sample homogeneous portfolio. The default probability and loss distribution of CDO asset pool are calculated. Based on the semi-analytic method of CDO pricing and the idea of no arbitrage, the formula for calculating the price difference of CDO coupon layer is obtained. Finally, based on the pricing model, the pricing of the credit derivative index Dow Jones iTraxx Europe on April 13, 2006, is analyzed numerically. This paper analyzes and compares the market price of Dow Jones iTraxx Europe index and the pricing results of several single factor Copula pricing models in this paper. It is found that the G-NIG Copula model is the most suitable for market price. The distribution of factor variables in single factor Copula model and the number of free parameters in the model are two important factors to determine the degree of matching between CDO pricing and market quotation. Furthermore, the two-state (Bernoulli) random correlation coefficient and the three-state (symmetric) stochastic correlation coefficient are introduced, respectively, to extend the CDO pricing model of single-factor Copula. To provide theoretical and empirical reference for the improvement and application of pricing model.
【學(xué)位授予單位】：浙江工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F830.91

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本文編號：1799089