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研究生： 林君怡
Chun-Yi Lin
論文名稱： 雙層擔保債務憑證評價與敏感性分析
Analysis of CDO-Squared: Valuation and Sensitivity
指導教授： 岳夢蘭
Meng-Lan Yueh
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 94
語文別： 英文
論文頁數： 42
中文關鍵詞： 價差套利 、關連結構 、資產重覆個數 、雙層擔保債務憑證 、擔保債務憑證
外文關鍵詞： CDO-Squared, CDO, overlap, copula, arbitrage spread
相關次數： 點閱：12  下載：0 
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    • 本文首先對雙層擔保債務憑證(CDO-squared)之架構及其對於發行人及投資人的優缺點做初步的介紹，其次分析以關連結構(copula)方式之訂價過程。進而對於標的擔保債務憑證(CDO)及雙層擔保債務憑證的上下界、資產間的相關性、標的擔保債務憑證間的資產重覆個數、回收率及違約機率對標的擔保債務憑證及雙層擔保債務憑證之敏感性分析。最後再分析標的擔保債務憑證價差與雙層擔保債務憑證價差之間的關係以及如何以其價差進行套利策略。

    We would introduce CDO-squared structure and analyze the advantage and disadvantage for investors and traders. Using normal copula to price CDO-squared and do sensitivity analysis of DP/AP, correlations, overlap, recovery rate, and default probability. Finally, we analyze the relationship between CDOs and CDO-squared spreads and how to use these two products to arbitrage.

    1 Introduction 1 1.1 Structure 1 1.2 Advantages and disadvantages 3 2 Literature Review 6 3 Model Assumptions 8 4 Pricing 11 4.1 Step of pricing 11 4.2 An Example 14 5 Loss Distribution 16 6 Sensitivity Analysis 18 6.1 The AP and DP of inner CDOs 18 6.2 AP and DP of master CDO 20 6.3 Correlation 21 6.4 Overlaps 25 6.5 Recovery Rate 32 6.6 Default Probability 33 7 The Relationship of Spread Between CDO-squared and CDOs 34 8 Conclusion 39 Reference 41 Appendix 42

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