擔保債權憑證評價之研究

Pricing Tranches of a CDO

陶幼卓(Yu-Jwo Tao)

指導教授 ： 雷淑儀

共同指導教授 ： 劉惠美

國立臺北大學/商學院/統計學系/碩士(2012年)

摘要

20世紀末發生了次級房屋信貸危機，而以2007年4月美國第二大次級房貸公司新世紀金融公司破產事件為標竿，再由房地產市場蔓延到信貸市場，進而演變為全球性金融危機。拜各式各樣金融產品發明之名，逐步讓貸款人得以出售他們發行抵押貸款的付款所有權，這個過程被稱為資產證券化，由此產生的證券被稱為住房抵押貸款證券、信用違約交換、擔保債權憑證以及合成型擔保債權憑證，而擔保債權憑證的評價模型有很多種，而本研究目的就是從這些模型中，找出一個更能精準評估預測擔保債權憑證的合理評價，以作為業者或投資人之參考依據。
本文之研究方法應用大樣本一致性資產組合（LHP）假設之單因子高斯（Gaussian）及常態逆高斯（NIG）關聯結構模型來評價合成型擔保債權憑證分券價格。分別以Gaussian、NIG（1）及NIG（2）三種模型對五年到期之DJ CDX.NG.IG信用違約交換指數為標的之合成型擔保債權憑證分券進行實證分析，由結果顯示NIG(2)模型優於Gaussian、NIG（1）等模型，除了維持原本在權益層級及次順位層級分券配適佳的優點外，並在中間順位層級分券得到極佳的配適效果，更符合市場實際需求，這也證明NIG分配的第二個參數能夠帶來改善的擔保債權憑證評價效果。

關鍵字

擔保債券憑證、合成型擔保債券憑證、Gaussian、NIG（1）、NIG（2）

並列摘要

At the end of 20th century, the United States' subprime mortgage crisis was happened, For the case about the U.S. second largest subprime lender, New Century Financial Corporation, for Chapter 11 bankruptcy on April 2, 2007, the literature is discussed global financial crisis from the real estate market to subprime mortgage market. By new financial instruments’ creation, the obligation of the legal entity that receives the income payment from collateralized mortgage is called as asset-backed security. These securities are called as Mortgage-Backed Securitization(MBS)、Credit Default Swaps(CDS)、Collateralized Debt Obligations(CDO) and synthetic CDOs. The pricing models of CDO are different and the destination of this research paper is tried to find the method to estimate the reasonable value of CDO. These principles could become the reference for the banks or the investors.
Consistency of application by a large homogeneous portfolio (LHP) assumption of One Factor Copula Model (Gaussian) and Normal Inverse Gaussian Distribution (NIG) associated structure model to pricing synthetic collateralized debt obligation tranche prices. Gaussian, NIG (1) and NIG (2) three models of the five-year maturity the DJ CDX.NG.IG credit default swap index for the subject of synthetic collateralized debt obligation tranches empirical analysis, by results show NIG ( 2) model is superior to the Gaussian, NIG (1) model, in addition to maintaining the advantages of the original equity level and the level of subordinated tranches fit best level in the middle of subordinated tranches excellent fit more in line with actual market demand, but also to prove that the second parameter of the NIG assigned to bring improvement to evaluate the effect of collateralized debt obligations.

Key words : Collateralized Debt Obligations, Synthetic Collateralized Debt Obligations, Gaussian、NIG（1）、NIG（2）.

並列關鍵字

Collateralized Debt Obligations, Synthetic Collateralized Debt Obligations, Gaussian、NIG（1）、NIG（2）.

參考文獻

邱嬿燁 (2007), 探討單因子複合分配關聯結構模型之擔保債權憑證之評價, 國立政治大學統計研究所碩士論文。

Dezhong, W. Rachev S.T., Fabozzi F.J. (2006). “Pricing Tranches of a CDO and a CDS Index: Resent Advances and Future Research”, Working paper.

Hull, J. and White, A. (2004) “Valuation of a CDO and an n-th to Default CDS without Monte Carlo Simulation”, The Journal of Derivatives, l(12), 8-23.

Kalemanove, A., Schmid, B., and Werner, R. (2007). “The Normal Inverse Gaussian Distribution for Synthetic CDO pricing”, The Journal of Derivatives, l(14), 80-93.

Laurent, J.P. and J. Gregory(2003), ”Basket default swaps, CDO’s and factor copulas”, working paper, ISFA Actuarial School, University of Lyon.