基于Copula的债务抵押债券定价

运筹与管理 ›› 2011, Vol. 20 ›› Issue (6): 127-136.

基于Copula的债务抵押债券定价

吴恒煜^1,2, 李冰², 严武², 吕江林²

1.华南理工大学工商管理学院, 广东广州 510640;
2.江西财经大学金融学院, 江西南昌 330013

收稿日期:2010-05-23 出版日期:2011-12-25
作者简介:吴恒煜(1970-),男,广东雷州人,教授,博士后,研究方向为金融工程、金融经济学;李冰(1984-),女,河南偃师人,硕士研究生,研究方向为金融风险管理;严武(1958-),男,教授、博士生导师,研究方向为资本市场;吕江林(1955-),男,江西九江人,教授,博士生导师,研究方向为金融风险管理。
基金资助:
国家自然科学基金资助项目(70861003,71171168,70825005);中国博士后基金资助项目(20110490877);教育部人文社会科学一般项目(09YJA790092,10YJA790200);江西省教育厅科技计划项目(GJJ10427);江西省教育厅教改项目(JXJG-09-3-20)

Pricing of Collateralized Debt Obligation Based on Copula

WU Heng-yu^1,2, LI Bing², YAN Wu², LV Jiang-lin²

1. School of Business Administration, South China Universty of Technology, Guangzhou 510640,China;
2. School of Finance, Jiangxi University of Finance & Economics, Nanchang 330013, China

Received:2010-05-23 Online:2011-12-25

摘要/Abstract

摘要： 债务抵押债券在美国次债危机中扮演了非常重要的角色,对其正确定价引起学术界的普遍关注。本文利用KMV模型估算出各债务人的违约概率,并用三种Copula函数分别估算出债务人之间的违约相关系数,模拟出各债务人的违约时点,在此基础上对债务抵押债券各系列进行定价,研究结果发现Student-t Copula计算出的公平溢酬大致上高于Gaussion Copula和Clayton Copula,并且CDO 的存续期越长,挽回率越低,各系列投资者要求的公平溢酬就越高。

关键词: 金融工程, 债务抵押债券定价, Copula函数, 公平溢酬

Abstract: Collateralized debt obligation played an important role in US subprime financial crisis. So theorists pay more attention to acurate pricing of it. The paper uses KMV model to assess default probability of every obligor and their correlation coefficient between them with three Copulas and simulate default time,and then price every tranches of collateralized debt obligation.It is found that the fair premium based on Student-t Copula is higher than Gaussion Copula and Clayton Copula, and the higher the fair premium of every tranch is, the longer CDO time and recovery rate are.

Key words: financial engineering, pricing of collateralized debt obligation, copula function, fair credit spread

中图分类号:

F810.5

吴恒煜, 李冰, 严武, 吕江林. 基于Copula的债务抵押债券定价[J]. 运筹与管理, 2011, 20(6): 127-136.

WU Heng-yu, LI Bing, YAN Wu, LV Jiang-lin. Pricing of Collateralized Debt Obligation Based on Copula[J]. Operations Research and Management Science, 2011, 20(6): 127-136.

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