即期與遠期生效擔保債權憑證之評價與避險－考慮違約傳染效應

The Pricing and Hedging of Spot and Forward-Starting Collateralized Debt Obligations－via Default Contagion

高銘舜(Ming-Shun Kao)

指導教授 ： 朱香蕙

國立暨南國際大學/管理學院/財務金融學系/碩士(2010年)

摘要

本文以Laurent and Gregory（2003）之因子模型描述公司資產價值，並在違約事件條件獨立與傳染效應假設下，以Hull and White（2004）提出之機率勺斗法則（probability bucketing method）來建構債權群組（reference pool）之損失分配，進而求算即期與遠期生效擔保債權憑證各分券之信用價差。研究結果發現不論即期或遠期生效擔保債權憑證之信用價差，皆隨著傳染效果因子增強而提高。再者，本文數值結果顯示即期與遠期擔保債權憑證之期望損失（率）與非預期損失（率）亦有隨著傳染效果增強而遞增之趨勢。最後，本文求算各分券之避險參數delta並提供避險分析給予投資人參考，研究發現在即期與遠期生效擔保債權憑證之差異在於遠期可透過對未來之預期來影響分券淨收入，因此遠期生效擔保債權憑證在避險上比即期生效擔保債權憑證更彈性且較受投資人青睞。

關鍵字

即期生效擔保債權憑證 ； 遠期生效擔保債權憑證 ； 因子關聯結構 ； 分券避險比例 ； 損失分配 ； 跨期相關

並列摘要

In this paper we investigate the valuation and hedging issues of spot and forward-starting collateral debt obligations（CDOs） under the conditional independence assumption and default contagion effect. We use the factor model that describes the firm value by Laurent and Gregory. We also apply the probability bucketing method of Hull and White（2004） to construct the reference pool loss distribution. No matter what the spot and forward-starting CDO, the tranche credit spread is consistently increasing when the contagion effect is more powerful. Moreover, we use the risk measures that are adequate for assessing the relative risk of tranches from the numerical results, and find the expected and unexpected loss ratio are increasing when the contagion effect is more powerful. Finally the calculation of the hedging parameters is implemented, and we provide results for investors. The difference between the spot and forward-starting CDO is forward-starting CDO can expect the future to gain benefit. Therefore, the forward-starting CDO is more flexible than the spot-starting CDO in hedge, and it has a good grace for investors.

並列關鍵字

Spot-Starting CDO ； Forward-Starting CDO ； Factor Copula ； Tranche Delta ； Loss Distribution ； Intertemporal Correlation

參考文獻

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