期刊文献+
任意字段
题名或关键词
题名
关键词
文摘
作者
第一作者
机构
刊名
分类号
参考文献
作者简介
基金资助
栏目信息

CDO定价影响要素的蒙特卡洛模拟研究 被引量：1

The Influence of Factors on CDO Pricing Based on Mote Carlo Simulation
下载PDF
导出
摘要 CDO是目前国内外非常关注的也是定价很复杂的一类信用衍生产品,其定价的关键就是违约概率和违约相关性的估计。文章在Merton扩展模型的基础上,采用蒙特卡洛方法,并结合copula函数来生成具有相关性的违约时间分布,然后计算出各个违约时点,进而求出标的资产组合的违约损失。在此基础上分别计算收益面和损失面的期望值,最终对各种要素对CDO定价的影响进行分析与比较。 CDO is a kind of complex pricing credit derivatives. The key of pricing is the default probability and the default correlation. Based on Monte Carlo method, the paper uses Merton extension model and combines with Copula function to generate default time distribution. And then it calculates the underlying asset portfolios default loss. Based on the premiums and losses of asset portfolios, the paper prices the multiple levels of CDO and analyzes different influence on CDO pricing.
作者 刘平
机构地区 四川银监局
出处 《重庆大学学报（社会科学版）》 CSSCI 北大核心 2014年第3期55-60,共6页 Journal of Chongqing University(Social Science Edition)
关键词 债务抵押债券 蒙特卡洛模拟 Merton扩展模型 COPULA函数 CDO Monte Carlo simulation Merton expansion model Copula function
分类号 F830.91 [经济管理—金融学]
  • 相关文献

参考文献14

  • 1LI D. On default correlation : A copula approach [ J ]. Journal of Fixed Income, 2000,9 ( 4 ) :43 - 54.
  • 2FREY R, McNEIL A. Dependent defaults in models of portfolio credit risk[J]. Journal of Risk, 2003(6) : 59 -92.
  • 3SCHONBUCHER J, SCHUBERT D. Copula-dependent default risk in intensity models [ R]. Working Paper, Department of Statis- tics, Bonn University,2003.
  • 4ROGGE E, SCHONBUCHER J. Modeling dynamic portfolio credit risk[ R]. Working Paper,2003.
  • 5BURTSCHELL X, GREGORY X J,LAURENT JP. A comparative analysis of CDO pricing models [ R ]. Working Paper, BNP Pari- bas ,2005.
  • 6YOTOUOM T D ,ARMSTRONG M. Dynamic copula processes:A new way of modeling CDO tranches[ R]. Working Paper, 2005.
  • 7TOTOUOM T D,ARMSTRONG M. Dynamic copula and forward starting credit derivatives[ R]. Working Paper, 2007.
  • 8朱世武.基于Copula函数度量违约相关性[J].统计研究,2005,22(4):61-64. 被引量：24
  • 9冯谦,杨朝军.担保债权凭证定价——Copula函数的非参数估计与应用[J].运筹与管理,2006,15(5):104-107. 被引量：6
  • 10袁子甲,李仲飞.基于因子模型的CDO定价研究:正态单因子模型的三种推广[EB/OL].[2011—10—20]http://www.ccfr.org.cn/cicff2007/download,2007.

二级参考文献93

  • 1朱世武.基于Copula函数度量违约相关性[J].统计研究,2005,22(4):61-64. 被引量：24
  • 2冯谦,杨朝军.担保债权凭证定价——Copula函数的非参数估计与应用[J].运筹与管理,2006,15(5):104-107. 被引量：6
  • 3Li D X. On default correlation: a copula approach [J]. Journal of Fixed Income, 2000, 9(3): 43-54.
  • 4Hull J, White A. Valuation of a CDO and an nth to Default CDS Without Monte Carlo simulation [J]. Journal of Derivatives, 2004, 12(2): 8-23.
  • 5Andersen L, Sidenius J and Basu S. All your hedges in one basket [J]. Risk, 2003, 16(11): 67 -72.
  • 6Gregory J, Laurent J P. In the Core of Correlation [J]. Risk, 2004, 17(10): 87-91.
  • 7Andersen L, Sidenius J. Extensions to the Gaussian copula: random recovery and random factor loadings [J]. Journal of Credit Risk, 2005, 1(1): 29-70.
  • 8Claudio FerrareseL. A comparative analysis of correlation skew modeling techniques for CDO index tranches [R]. Workingpaper, http://www.defaultrisk.com/pp_cdo_02.htm, 2006.
  • 9Cherubini U, Luciano E and Vecchiato V. Copula methods in finance [M]. New York: Wiley Finance, 2004.
  • 10Nolan J P. Numerical calculation of stable densities and distribution functions [J]. Commun. Statist.- Stochastic Models, 1997, 13(4): 759-774.

共引文献42

同被引文献17

  • 1哈维尔.微观银行学[M].成都:西南财经大学出版社,2000..
  • 2罗默.高级宏观经济学(第二版)[M].上海:上海财经大学出版社,2003..
  • 3Leroy S F, Porter R D. The present-value relation: Tests based on implied variance bounds. Econometrica, 1981, 49(3): 555-574.
  • 4Jarrow R, Turnbull S M. Pricing Derivatives on financial securities subject to credit risk. Journal of Finance, 1995, 50(1): 53-85.
  • 5Vasicek O. An equilibrium characterization of the term structure. Journal of Financial Eco- nomics, 1977, 5(2): 177-188.
  • 6Jarrow R, Turnbull S M. The intersection of market and credit risk. Journal of Banking and Finance, 2000, 24(1-2): 271-299.
  • 7Elhiwi M. Default barrier intensity model for credit risk evaluation. Statistics and Probability Letters, 2014, 95(95): 125-131.
  • 8Yang R C, Qin X Z, Chen T. CDO pricing using single factor MG-NIG copula model with stochas- tic correlation and random factor loading. Journal of Mathematical Analysis and Applications, 2009, 350(1): 73-80.
  • 9Hofert M, Scherer M. CDO pricing with nested Archimedean copulas. Quantitative Finance, 2011, 11(5): 775-787.
  • 10Amraoui S, Cousot L, Hitier S, et al. Pricing CDOs with state-dependent stochastic recovery rates. Quantitative Finance, 2012, 12(8): 1219-1240.

引证文献1

二级引证文献1

重庆大学学报（社会科学版）
2014年 第3期

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部