本文選題：NIG分布　切入點：隨機回收率　出處：《東北財經(jīng)大學》2012年碩士論文

【摘要】：抵押債券憑證(Collateralized Debt Obligation, CDO)是一種金融衍生品,一種資產(chǎn)證券化產(chǎn)品。其在最近十幾年來發(fā)展的異常迅猛。探究其本質(zhì)就是把多種債券做打包組合,然后由于這些債券的資產(chǎn)組合特性,導致原本的債券風險得到很好分散,從而提高債券信用等級,降低風險,達到為投資者提供穩(wěn)定的現(xiàn)金流的目的。這種產(chǎn)品因其組合靈活,高獲利,并且能給金融公司提供極好的資金運轉(zhuǎn)而得到投資者和金融機構(gòu)的承認,并因此獲得良好的發(fā)展。 但是由于CDO是表外金融衍生品,這就導致極易出現(xiàn)監(jiān)管不利的情況,又因為金融機構(gòu)盲目追求利潤,降低標的物等級,擴大產(chǎn)品杠桿。從而使得CDO產(chǎn)品在2007年的金融危機中起到了推波助瀾、擴大風險,破壞金融市場的作用。這使得其接下來的發(fā)展受到了極大的質(zhì)疑。 然而,我們必須看到其作為金融產(chǎn)品無辜的一面。它引起風險擴散、造成金融危機的現(xiàn)象更多是風險估計不準、金融監(jiān)管不力和金融公司盲目追求效益,擴大杠桿造成的,同時也是當時定價模型有問題,導致金融機構(gòu)的風險預防系統(tǒng)崩潰。這并不是CDO產(chǎn)品本身的問題。而其作為金融衍生品,客觀上來講是有難以估價和不容易控制的問題,但是它更具有分散風險、活躍金融市場、盤活金融交易、促進投資的作用,甚至在宏觀層面上來講其可能具有改善中小企業(yè)融資難困境的作用,促進實體經(jīng)濟發(fā)展的作用。所以這種組合型金融衍生品的推出是我國金融市場發(fā)展的必然趨勢。那么對我國CDO產(chǎn)品的狀況、監(jiān)管機制和定價理論進行研究就成為必不可少的研究課題。 本文首先介紹了國際上CDO產(chǎn)品近年來的發(fā)展趨勢及其基本狀況,并且從根源上分析了其作為金融衍生品的構(gòu)成和運行機制。從其發(fā)展趨勢和運作機理中我們可以概括性的看出其運行中體現(xiàn)出的情況、風險來源,及其對金融市場表現(xiàn)出的影響。通過對其進行基本分析,我們可以基本掌握CDO產(chǎn)品的脈絡,明確對其定價的方向,及投資的注意要素。 通過分析其發(fā)展趨勢我們可以知道它在金融市場中起到的作用和造成的影響。我們可以通過過去CDO產(chǎn)品的發(fā)展了解到CDO產(chǎn)品的優(yōu)勢和缺點。分析其造成金融危機的原因,研究預防的方法,并且可以吸取其良好的功能和作用為我所用,使得我國的金融市場能有更好的發(fā)展和進步,促進我國經(jīng)濟穩(wěn)定健康的發(fā)展。對CDO產(chǎn)品構(gòu)成原理的分析也有利于我們分析其監(jiān)管辦法和定價方式。使得我國金融衍生市場有個更高的起步平臺。 對金融衍生品發(fā)展最重要的一個環(huán)節(jié)就是定價環(huán)節(jié)。定價不準、風險估計錯誤是金融衍生品導致金融危機的重要一個原因。以前的定價模型有怎樣的問題,我們應該做出怎樣的改進,這也是本文的一個研究重點。 本文在參照以前的定價模式和金融危機中CDO產(chǎn)品的表現(xiàn),提出一個更加完善的因子Copula定價模型。這個模型為了改善資產(chǎn)池內(nèi)資產(chǎn)價格變化尾部相關(guān)性差的問題,引入了標準-逆高斯混合分布替代原來的正態(tài)分布假設,這樣的改善可以為CDO產(chǎn)品超高級定價提供可能性,并且使得尾部相關(guān)呈現(xiàn)可變特性。 同時,本文利用變因子系數(shù)的方式,希望通過在不同條件下不同的因子系數(shù)不同,也就意味著不同的相關(guān)性。通過這樣的方式使得在不同的經(jīng)濟環(huán)境下,資產(chǎn)池內(nèi)資產(chǎn)有不同的相關(guān)性,這樣可以更好的模擬資產(chǎn)池價值變化,從而有效地改善定價模型和避免在上次金融危機中出現(xiàn)的,資產(chǎn)池內(nèi)資產(chǎn)相關(guān)性驟升,定價模型失效的現(xiàn)象。 在定價模型的改良中,在最后本文利用隨機回收率的方式,改良了原來模型假定回收率不變的缺陷,這樣的改良可以改善在金融危機或經(jīng)濟危機到來的情況下,整個資產(chǎn)池中資產(chǎn)的回收率大幅度下降的問題,這樣的情況下,我們可以更加合理的對CDO進行定價,更加貼近整個資產(chǎn)池伴隨宏觀經(jīng)濟變動而發(fā)生變動的情況。 在本文提出的模型中可以以析解的方式對CDO進行定價,靈活性更強,同時經(jīng)過模擬假設更加合理,是更加完善的CDO定價模型。 由于我國的金融市場還不是一個發(fā)達的金融市場,所以定價模型的完善并不能夠使得我國的金融衍生品定價問題得到完美的解決,我國還需要根據(jù)我國的國情有自己的、可以實踐的CDO產(chǎn)品定價思路。所以本文定價研究的最后提出結(jié)合我國市場實際情況給CDO產(chǎn)品定價的思路,為我國發(fā)展CDO產(chǎn)品及我國投資者進行CDO產(chǎn)品投資找出一條定價的思路,并且為金融衍生品的風險防范提供一個可行的方法。
[Abstract]:Mortgage bond certificate (Collateralized Debt Obligation, CDO) is a kind of financial derivatives, an asset securitization products. In recent years the development of very fast. Its essence is to explore a variety of bonds as packaging portfolio, then the portfolio characteristics of these bonds, leading to the original bond risk is well dispersed. In order to improve the bond credit rating, reduce the risk, to provide a stable cash flow for the purpose of investors. This product because of its flexible combination, high profit, and to provide excellent financial companies operating funds and recognized by investors and financial institutions, and thus get a good development.
But because CDO is outside the table of financial derivatives, which leads to easy regulation of adverse circumstances, and financial institutions because of the blind pursuit of profit, reduce the object level, expand product leverage. So CDO products in the 2007 financial crisis has fueled, expand the risk of destruction of the financial market. This makes the the next development has been a great challenge.
However, we must see it as a financial product innocent side. It caused the spread of risk, the financial crisis caused by the phenomenon of more risk estimation, financial supervision and financial companies blindly pursue benefits, expand leverage caused, but also when the pricing model has a problem, leading to the risk of financial institutions to prevent system crashes. This is not the CDO product itself. But as the financial derivatives, objectively speaking is hard to value and not easy to control, but it is more active in the financial markets, risk diversification, revitalize the financial transactions, to promote the role of investment, even at the macro level it can improve SME financing difficulties, promote the development of the real economy. So this combination of financial derivatives launch is the inevitable trend of the development of financial market in China. Then the CDO in China The research on the status of the product, the regulatory mechanism and the pricing theory has become an essential research topic.
This paper first introduces the development trend of the international CDO products in recent years and its basic situation, and from the root to analyze its composition and operation mechanism of financial derivatives. From the development trend and the operation of the mechanism we can see the general reflected in the operation situation, the sources of risk, and its influence on financial market performance the basic. Through analysis, we can grasp the basic CDO product context, clear on its pricing and investment direction, pay attention to elements.
Through the analysis of the development trend we can know the influence it plays in the role of financial market and cause. We can understand the advantages and disadvantages of CDO products through the development of past CDO products. Analysis of the causes of the financial crisis, methods of prevention, and can absorb the good function of use, the China's financial markets will have a better development and progress, to promote stable and healthy development of China's economy. On the principle analysis of CDO products is also conducive to our analysis of the regulation and pricing. The financial derivatives market of our country has a higher starting platform.
One of the most important link of the development of financial derivatives is pricing. The pricing is not allowed, the risk estimation error is an important cause of financial derivatives pricing model. The causes of the financial crisis before what's the problem, we should make a study on how to improve, which is the focus of this paper.
In this paper, in reference to the previous pricing model and the financial crisis CDO the performance of the product, put forward a factor Copula pricing model is more perfect. This model in order to improve the problem of poor tail dependence in the asset pool asset price changes, introduced a standard inverse - Gauss mixture distribution to replace the assumption of normal distribution of the original, this can improve the possibility of provide super advanced pricing for CDO products, and the tail correlation exhibit variable characteristics.
At the same time, the variable factor coefficient method, hope that through the factor coefficients in different conditions are different, which means different correlation. So in different economic environment through this way, the assets in the asset pool have different correlation, simulation of changes in the value of the asset pool that can better, thus effectively improve the pricing model and to avoid in the last financial crisis, the relationship between asset pool asset pricing model swells, failure phenomenon.
In the modified pricing model, at last using random recovery method, improved the original model assumes constant defect rate of recovery, this improvement can improve the financial crisis or economic crisis situation, the problem that reduced the recovery of assets in the asset pool, under such circumstances, we can be more reasonable pricing on CDO, closer to the asset pool with macroeconomic changes and changes of the situation.
In the model proposed in this paper, we can analyze the price of CDO in the way of analysis, which is more flexible. At the same time, the simulation hypothesis is more reasonable, which is a more perfect CDO pricing model.
Because of China's financial market is not a developed financial market, so to improve the pricing model can not make the pricing of financial derivatives in China have been solved, China still need to according to the situation of our country has its own pricing, CDO products can practice thinking. So the research on the pricing at the end of the paper according to the actual situation of China's market for CDO product pricing ideas, find a price for the development of CDO products in China and Chinese investors CDO product investment ideas, and for the financial derivatives risk prevention provides a feasible method.

【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830;F224

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