危机中的结构融资评级模型

CDO Rating Models in the Crisis

本文采用随机模拟的方式分析了基础资产违约率、相关系数以及资产回收率等参数对结构融资评级模型的影响,结果发现模型产生的优先层级违约概率和预期损失传递的信息不一致,并且常规情况下得出的结论在高违约概率和高相关系数的危机背景下并不成立。此外,本文分析还表明,结构融资工具的违约变动模式显著不同于基础资产。因此,对结构融资工具和传统债务工具采用相同的评级标识可能会对投资者产生误导。

We employ Monte Carlo simulations in analysis of the impacts of default rate, correlation and recovery rate of underlying assets on CDO rating models. Our results indicate that the generated default rates and expected losses of senior levels may convey inconsistent information, and rules inferred from regular scenarios may not hold under extreme scenarios with high default rates and high correlations. Moreover, our study also shows that the risk profile of CDOs is significantly different from its underlying assets. Therefore, applying the traditional rating symbols of corporate bonds to CDOs may mislead investors.