與物價指數連動之擔保債權憑證的評價模型

A Pricing Model of Inflation-indexed Collateralized Debt Obligations

陳芬英(Fen-Ying Chen) ； 彭星與(Hsing-Yu Peng)

《中山管理評論》 21卷1期 (2013/03) Pp. 165-197

https://doi.org/10.6160/2013.03.05

摘要

本文擴展Meneguzzo & Vecchiato（2002）模型，應用縮減式信用風險模型，首次提出與物價指數連動的擔保債權憑證（Collateralized Debt Obligations, CDO）模型。該模型，除了具備傳統CDO的特色之外，在物價不斷攀升之際，亦能保障分券投資人的實質收益。此外，當模型分券之通膨效果為零時，則本模型隨即變成傳統的CDO模型，所以本模型可視為傳統CDO的一般化（general form）模型。在蒙地卡羅法和機率水桶法之應用下，實證發現，與物價指數連動的CDO模型，其分券的信用價差皆高於無通膨效果之傳統CDO評價模型；物價指數波動度與各分券之信用價差呈同向變動。

關鍵字

物價指數連動的CDO ； 縮減式模型 ； 一般化CDO模型 ； 機率水桶法 ； 蒙地卡羅法

並列摘要

This article extends the work by Meneguzzo & Vecchiato (2002) under a reduced form to first present an inflation-indexed CDO model. Besides the properties of traditional CDOs, the model can preserve investors' real profits in an inflation period. Also, the model can reduce to a traditional CDO model when the proportion of the inflation effects of the tranches in the model equals to zero. Thus our model can be regarded as a general one of the traditional CDO models. In empirical studies, using Monte Carlo simulation and Probability Bucketing method, it is found that the fair spread of the inflation-indexed model is higher than that of the traditional CDO model with no inflation effect. Also, the relationship between the fair spread and inflation volatility is positive.

並列關鍵字

Inflation-indexed CDO ； Reduced form model ； General CDO model ； Probability Bucketing method ； Monte Carlo simulation

參考文獻

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