本篇論文主要介紹在抵押債權憑證(Collateral Debt Obligation,CDO),其為信用衍生性商品的一種,在以下的章節中將分別介紹它的歷史發展、市場概況、商品種類、商品利基、商品風險及評價模式,特別在評價模式的部分,比較使用常態和t copula對評價產生的效果,我們發現t copula比常態copula更能抓住極端事件的發生,更符合信用事件發生的特性,最後介紹富邦所發的國內第一個複合式CDO-絲路。
This thesis is going to give you a glance of collateral debt obligation (CDO), some credit derivative. In the following chapters, we will introduce you what CDO is, the evolution of CDO product, why CDO is popular nowadays, and how to evaluate CDO product. We compare two different results of CDO evaluating, normal copula and t copula and found that t copula is more suitable in pricing CDO. T copula can catch extreme event more easily. Finally, we introduce the first synthetic CDO in Taiwan, Silk road issued by Fubon Security.