Academic literature on the topic 'Synthetic Collateralized Debt Obligation (CDO)'
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Journal articles on the topic "Synthetic Collateralized Debt Obligation (CDO)"
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Kim, Mi Ae. "Investigation for Synthetic Collateralized Debt Obligation." Journal of Derivatives and Quantitative Studies 14, no. 1 (2006): 127–68. http://dx.doi.org/10.1108/jdqs-01-2006-b0005.
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Recently, domestic market participants have a growing interest in synthetic Collateralized Debt Obligation (CDO) as a security to reduce credit risk and create new profit. Therefore, the valuation method and hedging strategy for synthetic CDO become an important issue. However, there is no won-denominated credit default swap transactions, which are essential for activating synthetic CDO transaction‘ In addition, there is no transparent market information for the default probability, asset correlation, and recovery rate, which are critical variables determining the price of synthetic CDO. This study first investigates the method of estimating the default probability, asset correlation coefficient, and recovery rate. Next, using five synthetiC CDO pricing models‘ widely used OFGC (One-Factor Non-Gaussian Copula) model. OFNGC (One-Factor Non-Gaussian Copula) model such as OFDTC (One-Factor Double T-distribution Copula) model of Hull and White (2004) or NIGC (Normal Inverse Gaussian Copula) model of Kalemanova et al.(2005), SC<Stochastic Correlation) model of Burtschell et al.(2005), and FL (Forward Loss) model of Bennani (2005), I Investigate and compare three points: 1) appropriateness for portfolio loss distribution, 2) explanation for standardized tranche spread, 3) sensitivity for delta-neutral hedging strategy. To compare pricing models, parameter estimation for each model is preceded by using the term structure of iTraxx Europe index spread and the tranch spreads with different maturities and exercise prices Remarkable results of this study are as follows. First, the probability for loss interval determining mezzanine tranche spread is lower in all models except SC model than OFGC model. This result shows that all mαdels except SC model in some degree solve the implied correlation smile phenomenon, where the correlation coefficient of mezzanine tranche must be lower than other tranches when OFGC model is used. Second, in explaining standardized tranche spread, NIGC model is the best among various models with respect to relative error. When OFGC model is compared with OFDTC model, OFOTC model is better than OFGC model in explaining 5-year tranche spreads. But for 7-year or 10-year tranches, OFDTC model is better with respect to absolute error while OFGC model is better with respect to relative error. Third, the sensitivity sign of senior tranctle spread with respect to asset correlation is sometime negative in NIG model while it is positive in other models. This result implies that a long position may be taken by the issuers of synthet.ic COO as a correlation delta-neutral hedging strategy when OFGC model is used, while a short position may be taken when NIGC model is used.
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Lartey, Franklin M. "Ethical Challenges of Complex Products: Case of Goldman Sachs and the Synthetic Collateralized Debt Obligations." International Business Research 13, no. 6 (2020): 115. http://dx.doi.org/10.5539/ibr.v13n6p115.
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In analyzing complex products, this study selected the company Goldman Sachs and one of its product offerings, the synthetic collateralized debt obligation (synthetic CDO). The study later analyzed the ethical implications of providing such a complex product to customers. A review of the literature indicates that researchers identified this product and other associated derivatives of the mortgage backed securities as the main causes of the 2008 financial crisis in the United States of America. As such, Goldman Sachs&rsquo; offering of the product posed ethical and moral issues. An analysis of the company and its offering was done under the lenses of various ethical theories such as Kohlberg&#39;s theory of moral reasoning, the Kantian ethics, the utilitarian perspective, Friedman&rsquo;s shareholder theory, the stakeholder theory, the market approach to consumer protection, and the contract view of consumer protection. Besides Friedman&rsquo;s shareholder theory, all other theories judged the product offering morally wrong and unethical. At the end of the study, the author suggested a contribution to knowledge regarding Kohlberg&rsquo;s theory of moral reasoning in its application to organizations. The author also suggested further research to validate the outcome of Friedman&rsquo;s shareholder theory regarding this case.
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JABłECKI, JULIUSZ. "RISE AND FALL OF SYNTHETIC CDO MARKET: LESSONS LEARNED." International Journal of Theoretical and Applied Finance 20, no. 08 (2017): 1750052. http://dx.doi.org/10.1142/s0219024917500522.
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This paper uses a unique data set of more than 1000 synthetic Collateralized Debt Obligations (CDOs) deals to describe typical structures, their pricing and performance with the aim of identifying the factors behind the spectacular collapse of this important segment of structured credit market in late 2008. The data suggests that mark-to-market losses on many synthetic CDO tranches were much more significant than in case of simpler, lower-rated products despite the former experiencing little or no impairment of the notional. The losses were driven instead by the concentration of relatively limited number of defaults in a short period of time, suggesting that pre-crisis pricing must have seriously underestimated such risk of default clustering. In view of the post-crisis pick-up in synthetic CDO issuance, the paper attempts to heed this lesson and offer a simple factor model of default correlation in the spirit of Marshall–Olkin that is naturally suited to capturing the temporal dimension of default dependencies that have been crucial for synthetic CDOs investors. The model allows building a rich dependence structure capable of consistently fitting standardized iTraxx and CDX index tranches, which makes it ideal for pricing bespoke CDOs.
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LIU, WEN-QIONG, and WEN-LI HUANG. "HEDGING OF SYNTHETIC CDO TRANCHES WITH SPREAD AND DEFAULT RISK BASED ON A COMBINED FORECASTING APPROACH." International Journal of Theoretical and Applied Finance 22, no. 02 (2019): 1850057. http://dx.doi.org/10.1142/s0219024918500577.
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Hedging of credit derivatives, especially the Collateralized Debt Obligations (CDOs), is the prerequisite of risk management in financial market. Since both spread risk and default risk exist, the models in existing literature resort to the incomplete-market theory to derive the hedging strategies. From another point of view, the construction of hedging strategies of CDO might be regarded as the process of forecasting the changes in value of CDO by the changes in value of hedging instruments. Based on this idea, this paper proposes an alternative hedging approach via the combined forecasting and regression techniques, where the two individual forecasting models are Gaussian copula model and local intensity model, used to hedge against spread risk and default risk, respectively. Finally, the dynamic hedge ratios of CDO tranches with CDS index are derived. A numerical analysis is carried out and the hedge ratios obtained by the new models are compared with those from actual market spreads. It is shown that the model derived in this paper not only provides hedging strategies which agree with the market hedge ratios but that can be effectively implemented as well.
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KIM, SUNG IK, and YOUNG SHIN KIM. "FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK." International Journal of Theoretical and Applied Finance 24, no. 04 (2021): 2150021. http://dx.doi.org/10.1142/s0219024921500217.
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A critical aspect in the valuation and risk management of multi-name credit derivatives is the modeling of the dependence among sources of credit risk. The dependence modeling poses difficulties in the pricing of a multi-name credit derivatives, in the estimation of the value-at-risk of a portfolio, or in the pricing of some other basket credit derivative as the description not only on the default arrival in an individual reference entity but on the default dependence among entities in the portfolio should be considered. Although the elliptical models have been widely used due to their mathematical tractability, the dependence modeling using the multi-dimensional Lévy process has shown growing interest among researchers despite its complexity. In this paper, we introduce one factor copula model for portfolio credit risk based on Normal Tempered Stable (NTS) distribution and calibrate the model through 5-year synthetic Collateralized Debt Obligation (CDO) tranche spreads under a large homogeneous portfolio approximation. The calibration results show that the one factor copula model based on NTS distribution is more flexible and provides a dependence structure fitting market CDO tranche spreads. As one of the major applications of the dependence modeling in credit risk, this model shares the advantage of the Gaussian one factor model, and all extensions and implementation methods used for it can be utilized.
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Longstaff, Francis A., and Brett W. Myers. "How Does the Market Value Toxic Assets?" Journal of Financial and Quantitative Analysis 49, no. 2 (2014): 297–319. http://dx.doi.org/10.1017/s0022109014000222.
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AbstractHow does the market value “toxic” structured-credit securities? We study the valuation of what is possibly the most toxic of all toxic assets: the equity tranche of a collateralized debt obligation (CDO). In theory, CDO equity should be similar in nature to bank stock since both represent residual claims on a portfolio of loans. We find CDO equity returns are much more related to stock returns than to fixed-income returns. CDO equity returns track the returns of financial stocks much more closely than any other industry. Nearly two-thirds of the variation in CDO returns can be explained by fundamentals.
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LI, PING, HOUSHENG CHEN, XIAOTIE DENG, and SHUNMING ZHANG. "ON DEFAULT CORRELATION AND PRICING OF COLLATERALIZED DEBT OBLIGATION BY COPULA FUNCTIONS." International Journal of Information Technology & Decision Making 05, no. 03 (2006): 483–93. http://dx.doi.org/10.1142/s0219622006002076.
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Default correlation is the key point for the pricing of multi-name credit derivatives. In this paper, we apply copulas to characterize the dependence structure of defaults, determine the joint default distribution, and give the price for a specific kind of multi-name credit derivative — collateralized debt obligation (CDO). We also analyze two important factors influencing the pricing of multi-name credit derivatives, recovery rates and copula function. Finally, we apply Clayton copula, in a numerical example, to simulate default times taking specific underlying recovery rates and average recovery rates, then price the tranches of a given CDO and then analyze the results.
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Qu, Shuanghong, Lingxian Meng, and Hua Li. "Application of RQMC for CDO Pricing with Stochastic Correlations under Nonhomogeneous Assumptions." Complexity 2022 (July 31, 2022): 1–8. http://dx.doi.org/10.1155/2022/3243450.
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In consideration of that the correlation between any two assets of the asset pool is always stochastic in the actual market and that collateralized debt obligation (CDO) pricing models under nonhomogeneous assumptions have no semianalytic solutions, we designed a numerical algorithm based on randomized quasi-Monte Carlo (RQMC) simulation method for CDO pricing with stochastic correlations under nonhomogeneous assumptions and took Gaussian factor copula model as an example to conduct experiments. The simulation results of RQMC and Monte Carlo (MC) method were compared from the perspective of variance changes. The results showed that this numerical algorithm was feasible, efficient, and stable for CDO pricing with stochastic correlation under nonhomogeneous assumptions. This numerical algorithm is expected to be extended to other factor Copula models for CDO pricing with stochastic correlations under nonhomogeneous assumptions.
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Nakae, Tatsuya, Kenji Baba, Toshiyuki Moritsu, and Norihisa Komoda. "Fast calculation method for fine-tuned design of need-based collateralized debt obligation (CDO)." IEEJ Transactions on Electrical and Electronic Engineering 2, no. 3 (2007): 378–86. http://dx.doi.org/10.1002/tee.20140.
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Nakae, Tatsuya, Kenji Baba, Toshiyuki Moritsu, and Norihisa Komoda. "Fast calculation method for fine-tuned design of need-based collateralized debt obligation (CDO)." IEEJ Transactions on Electrical and Electronic Engineering 2, no. 3 (2007): xxxvii—xxxviii. http://dx.doi.org/10.1002/tee.20163.
Full textDissertations / Theses on the topic "Synthetic Collateralized Debt Obligation (CDO)"
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Morkötter, Stefan. "Ratingprozesse als Determinante für Informationsineffizienzen bei CDO-Transaktionen." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/04608386001/$FILE/04608386001.pdf.
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Zapata, Ramirez Javier Andrés. "Análisis de Estabilidad de las Calificaciones de Riesgo Crediticio de CDOS Sintéticos." Tesis, Universidad de Chile, 2011. http://repositorio.uchile.cl/handle/2250/104016.
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El objetivo de este trabajo es analizar la estabilidad de las calificaciones de riesgo crediticio (ratings) de un tipo de derivados de crédito conocido como synthetic Collateralized Debt Obligations (CDO sintéticos).
Durante la crisis subprime gatillada el 2007, la mayoría de los derivados de crédito tipo CDO tuvo un muy mal desempeño. Debido a que cada CDO poseía una calificación de riesgo crediticio, este mal desempeño evidenció la falta de precisión de los ratings de las agencias calificadoras. En este contexto, este trabajo se enfoca en los CDO sintéticos, por dos motivos. Primero, pues ellos tuvieron un rol protagónico en la crisis subprime al transformarse en uno de los instrumentos favoritos de los especuladores para hacer “apuestas unidireccionales”. Y segundo, dado que los CDO sintéticos se transaban en un mercado secundario no regulado, y poco transparente, esto los hace más interesantes como objetos de estudio.
Tradicionalmente, los ratings de las calificadoras de riesgo se han basado en un único estimador, sin considerar el error asociado con éste. Por ello, este trabajo analiza la estabilidad de las calificaciones de riesgo, mediante la estimación de intervalos de confianza y análisis de sensibilidad en función de los distintos parámetros considerados. Este trabajo utiliza la metodología de calificación de Moody’s, una de las calificadoras de mayor participación de mercado, que emplea el concepto de pérdida esperada. En el desarrollo de los análisis, se consideró la información a la cual un inversionista habría tenido acceso previo a la crisis subprime. Los casos de estudio seleccionados corresponden a CDO sintéticos representativos del mercado global de riesgo de crédito.
Este trabajo concluye que el empleo de un solo valor como medida de riesgo de crédito para los CDO sintéticos es inadecuado. Los intervalos de confianza estimados para la perdida esperada contienen consistentemente más de un rating, es decir, contienen un margen de error significativo. Además, este trabajo revela que la información disponible previa a la crisis subprime habría permitido a inversionistas sofisticados haber detectado el peligroso margen de error asociado a los ratings. Por último, este trabajo pone de manifiesto la importancia de reconsiderar la estructura de los marcos regulatorios financieros que en la mayoría de los países se basan en ratings emitidos por calificadoras de riesgo, y por lo tanto, son inherentemente inestables.
Considerando la importancia de las conclusiones de este trabajo, sería interesante extender esta investigación a otras metodologías de calificación de riesgo y a otros tipos de derivados de crédito.
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Melo, Pedro Ricardo Proença. "Credit dependencies : an analysis of European CDS and CDO contracts." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10367.
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Mestrado em Finanças<br>Este estudo tem como objetivo estudar o mercado europeu de CDS e CDO.
Através de uma análise econométrica estimaremos a relevância de diversas variáveis para explicar o logaritmo das primeiras diferenças dos spreads das tranches do CDO baseado no iTraxx Europe 5-year.
Assim, a nossa amostra é composta por dados diários desde Fevereiro de 2005 até Fevereiro de 2012 das tranches do iTraxx Main 5-year e de proxies para os riscos de crédito, taxa de juro, liquidez e para a volatilidade de mercado e rendibilidades do mercado acionista.
Para aferir se houve alterações significativas no mercado Europeu de CDO depois da crise financeira, estimaremos duas regressões adicionais, onde na primeira utilizaremos uma dummy temporal para isolar os períodos antes e depois da crise e na segunda outra dummy temporal para isolar o período após a falência do Lehman Brothers.
As nossas principais conclusões são que as proxies para os riscos de crédito e de taxa-de-juro, bem como a volatilidade de mercado são relevantes em todas as tranches para a totalidade do período da amostra.
Além disso, as rendibilidades do mercado acionista e o declive da estrutura temporal parecem assumir uma maior relevância para explicar as tranches do CDO depois da crise financeira de 2007.<br>The focus of this study is the European CDS and CDO markets. Using a regression-based approach we estimated the relevance of market-based proxies for explaining the first differences of the logarithm of European CDS Index tranches premia (iTraxx Europe 5-year index). Therefore, our sample is comprised by daily data since February 2005 to February 2012, of iTraxx Main 5-year tranche premia and proxies for credit risk, interest rate risk, liquidity risk, equity returns and market volatility.
In order to understand if there were significant changes in the CDO market after the financial crisis, we run two additional regressions, where first, we add a time dummy to isolate the periods before and after the turmoil and, after that we include a time dummy to isolate the period after the Lehman Brothers´ collapse.
Our main findings are that proxies for credit risk, risk-free rate risk and market volatility are significant in all tranches when we consider the entire sample.
Moreover, equity returns and the slope of the term structure seem to play a more important role in pricing tranche premia, since the start of the financial crisis of 2007.
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Carvalho, Luís Manuel Lopes. "Default correlation implied from portfolio credit derivatives." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1652.
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Mestrado em Finanças<br>Despite the absence of good theoretical models to cope with credit portfolio issues, the development of credit derivative markets and the popularity of portfolio credit derivatives have created the need of handling the issue of default correlations in some way. In that context the copula models emerged and became extremely popular within the industry. In recent studies copula models have been criticized for not being flexible enough and for being a static approach. The recent turmoil on the Asset Backed Security market and the failure of Lehman Brothers, Inc brought to discussion the accuracy of these models. Based on data provided by two banks, on default correlation implied from CDO tranche market quotes, we try to draw conclusions about: 1)The credibility of the HLPGC copula model; 2) The power that correlations between single name CDS spreads have to explain those implied by market data, specially during the current. For the empirical study we will use the most popular and liquid portfolio credit derivatives: Collateralized Debt Obligations (CDO based on the iTraxx credit index for 5 years maturity), and implied correlations of CDO tranches written on the same index. The data source will be Bloomberg for single name CDS spreads and Calyon and JP Morgan for implied correlations from a Copula model.<br>Apesar da inexistência de modelos teóricos robustos para lidar com carteiras de risco de crédito, o desenvolvimento e a popularidade dos mercados de derivados de crédito criaram a necessidade de lidar com a questão das correlações de probabilidades de incumprimento de uma forma simples. Foi neste contexto que surgiram os modelos de cópula associados à indústria do risco de crédito. Estudos recentes criticam os modelos de cópula pela sua falta de flexibilidade e por assumirem uma abordagem estática. A recente crise no mercado de titularizações de hipotecas bem como a falência do Lehman Brothers, Inc reacenderam a discussão sobre a eficácia destes modelos. Com base em informação cedida por dois bancos de investimento sobre correlações implícitas nas cotações de mercado de tranches de CDOs, procurar-se-á concluir acerca da: 1) Credibilidade do modelo de cópula HLPGC; 2) Capacidade que as correlações entre spreads dos CDS individuais têm, na actual crise, para explicar as correlações essas correlações implícitas. Para a análise empírica usamos a carteira mais líquida de derivados de crédito: o índice iTraxx com maturidade de 5 anos e as correlações implícitas para as tranches emitidas sobre esta carteira. As fontes de informação utilizadas são, a Bloomberg para os prémios de risco dos nomes que constituem o iTraxx e JP Morgan e Calyon para correlações implícitas geradas pelos seus modelos de cópula.
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Puzanova, Daria. "Americká ekonomická krize 2007-2009." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-10912.
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This diploma work describes the financial and economical crisis that has emerged in the USA during the year 2007. In the work the preceding recessions and the flow of the current crisis are being analyzed. Attention is also given to a detailed study of the pre-crisis period in the USA economics and the identification of the root causes of the crisis and their interrelationship. The final part of the work is dedicated to the examination of the crisis consequences and the possible ways of its progress
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Liu, Yen-Kai, and 劉彥楷. "The correlation evaluation of collateralized debt obligation (CDO) Tranches." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/36440769421802474891.
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碩士<br>國立嘉義大學<br>企業管理學系<br>99<br>The probability of default (PD), the loss given default (LGD), the exposure at default (EAD) and the default correlation are some important issues for the pricing of Collateralized Debt Obligations (CDOs). A growing body of literature indicates that the positive correlation between PD and LGD cannot be ignored in the pricing process. Therefore, in addition to using Copula function as the linkage between the sub-structure of tranches, we assume that there is a positive correlation between PD and LGD when pricing CDOs. By a simulation approach, we find that the effect of the length of maturity to PD cannot be revealed and the capture of extremely rare events is poor when using the Gaussian Copula simulation, so the Clayton Copula simulation is employed in the numerical results.
Some important findings are as follows: First, the PD of subordinate tranche increases significantly as the correlation between PD and LGD increases; it also increases significantly as the LGD increases. Second, when the default correlation is greater than a moderate level, the rise of the PD of senior tranche is extremely significant when the correlation between PD and LGD increases; this is also the case when considering the increase of the LGD. Thurs, the correlation between PD and LGD cannot be ignored when pricing each tranche of a CDO.
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Gupta, Dharmendra. "Accelerating an Analytical Approach to Collateralized Debt Obligation Pricing." Thesis, 2009. http://hdl.handle.net/1807/18317.
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In recent years, financial simulations have gotten computationally intensive due to larger portfolio sizes, and an increased demand to perform real-time risk analysis. In this paper, we propose a hardware implementation that uses a recursive analytical method to price the Collateralized Debt Obligations. A novel convolution approach based on FIFOs for storage is implemented for the recursive convolution. It is also used to address one of the main drawbacks of the analytical approach. The FIFO-based convolution approach is compared against two different convolution approaches outperforming them with a much smaller memory usage.
The CDO core designed with the FIFO-based convolution method is implemented and tested on a Virtex-5 FPGA and compared against a C implementation, running on a 2.8GHz Intel Processor, resulting in a 41-fold speed up. A brief comparison against a Monte Carlo based hardware implementation for structured instruments yields mixed results.
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Tsai, Sen Bu, and 蔡森部. "The Study of CDO(Collateralized Debt Obligation ) market prospect in Taiwan." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/66916642599853758522.
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碩士<br>國立臺灣大學<br>財務金融組<br>94<br>A CDO, or collateralized debt obligation, is a form of structured financing and typically generates a fixed cash flow. It has been around for 18 years and $1.1 trillion of CDOs are now outstanding. Yet, it was only 0.4 % of ABS in 1995 and increased greatly to 15% in 2005. It has been the fastest-growing investment vehicle of the last decade. The development of ABS in Taiwan has also played an important role while the government was dealing with Bond-Fund in 2005. In the meanwhile, the CDO has started the new era in the financial market of Taiwan.
The research of this paper intended to find out what the business opportunity would be for CDOs during the Bond-Fund Crisis. In order to evaluate if CDOs would work in the financial market of Taiwan, we analyzed the structures and risks of CDOs issuing in the international financial market. Besides, we discussed if the issuer or investor in Taiwan is qualified to deal with a CDO. Furthermore, we discovered some of the problems that need government to help the development of CDOs in Taiwan.
We could simulate or learn from the financial firms which already have successfully issued CDOs. For example, we can invite the top global investment banks for help and support. Based on their experience, they might be able to develop a well system for issuing a CDO in Taiwan. They could also train our employees to become professional sales selling the CDO products. In addition, we could diversify the underlying assets of CDO. We do not have to limit our CDO only to the local companies. Instead, we need to globalize the underlying assets of our CDO. It would then make CDOs more flexible and efficient in the financial market. Although people nowadays think it is difficult to develop a CDO in Taiwan, the government is still very active in helping issue a CDO. Therefore if there is an appropriate policy which would cooperate well with the financial market, Taiwan’s CDOs would have its own market all over the world someday!
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Yu, Shih Cheng, and 石政于. "Synthetic Collateralized Debt Obligation - Structure, Risk and Rating." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/84541840076491247283.
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碩士<br>輔仁大學<br>金融研究所<br>94<br>Abstract
Title of Thesis : Synthetic Collateralized Debt Obligation - Structure, Risk and Rating
Name of Institute: Graduate Institute of Finance, Fu Jen Catholic University
Name of Student: Shih Cheng Yu
Advisor: Dr. Lee Ah Yee
The purpose of this thesis is to investigate the structure and risk of new synthetic CDO transactions from the perspectives of main market participants—sponsors, investors, and rating agencies. Traditional Collateralized Debt Obligation (CDO) are structured financial products backed by a variety of debt obligations. Synthetic CDO combines the securitization techniques with credit derivative strategy to produce a series of financial instruments. It does not require “true sale” of the underlined assets, therefore the cost and the time for the transaction is much lower than traditional CDO transactions. From a sponsor’s point of view, synthetic CDO has the advantage of transferring risk of the underlying assets to a counterparty without the legal complication of doing “true sale”. Thus synthetic CDO can help a sponsor to release regulatory capital and increase capital adequacy ratio. From an investor’s point of view, it offers a variety of investment opportunity with different level of risk and returns.
In this thesis, I build a portfolio of debt obligations of Taiwanese firms and use it as the bases for simulation. The simulation results are used for the purpose of tranching.
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Tai, Chia-hsiung, and 戴嘉雄. "The Princing Model of Credit Risk Spread in Collateralized Debt Obligation(CDO)." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/02165313196973378450.
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碩士<br>國立中山大學<br>財務管理學系研究所<br>94<br>The asset combination of the multi-target credit derivatives and the pricing model of credit risk, the dependence in credit default in credit derivatives is an important connection factor. Copula functions represent a methodology which has recently become the most significant new tool to handle in a flexible way the comovement between markets, risk factors and other relevant variables studied in finance. Besides, Copula functions have been applied to the solution of the need to reach effective diversification has led to new investment products, bound to exploit the credit risk features of the assets. It is particularly for the evaluation of these new products, such as securitized assets (asset-backed securities, such as CDO and the like) and basked credit derivatives (nth to default options) that the need to account for comovement among non-normally distributed variabes has become an unavoidable task.
This article attempts utilizes the credit yield spread between the non-risk bond and the common corporation bond in the market and using Copula functions to make up the relation composition of asset combination. Then, penetrates through the Monte-Carlo Simulation to estimated the default time of asset combination and princing the credit risk spread in the tranche of the Collateralized Debt Obligation (CDO).
Besides, this article aims at the asset default recovery rate, the discount rate and the correlation coefficient of asset combination and so on three factors makes the sensitivity analysis, we find that the most effect of the credit default spread in the Collateralized Debt Obligation is asset default recovery rate, next is the correlation coefficient of asset combination, the influence of discount rate is not obvious.
Books on the topic "Synthetic Collateralized Debt Obligation (CDO)"
Book chapters on the topic "Synthetic Collateralized Debt Obligation (CDO)"
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"Synthetic CDO Ratings." In Developments in Collateralized Debt Obligations. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119197768.ch6.
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Markose, Sheri M., Bewaji Oluwasegun, and Simone Giansante. "Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO)." In Simulation in Computational Finance and Economics. IGI Global, 2013. http://dx.doi.org/10.4018/978-1-4666-2011-7.ch012.
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A database driven multi-agent model has been developed with automated access to US bank level FDIC Call Reports that yield data on balance sheet and off balance sheet activity, respectively, in Residential Mortgage Backed Securities (RMBS) and Credit Default Swaps (CDS). The simultaneous accumulation of RMBS assets on US banks’ balance sheets and also large counterparty exposures from CDS positions characterized the $2 trillion Collateralized Debt Obligation (CDO) market. The latter imploded at the end of 2007 with large scale systemic risk consequences. Based on US FDIC bank data, that could have been available to the regulator at the time, the authors investigate how a CDS negative carry trade combined with incentives provided by Basel II and its precursor in the US, the Joint Agencies Rule 66 Federal Regulation No. 56914, which became effective on January 1, 2002, on synthetic securitization and Credit Risk Transfer (CRT), led to the unsustainable trends and systemic risk. The resultant market structure with heavy concentration in CDS activity involving 5 US banks can be shown to present too interconnected to fail systemic risk outcomes. The simulation package can generate the financial network of obligations of the US banks in the CDS market. The authors aim to show how such a Multi-Agent Financial Network (MAFN) model is well suited to monitor bank activity and to stress test policy for perverse incentives on an ongoing basis.
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Ali, Paul U. "Synthetic collateralized debt obligations (CDO) squares and the continuing evolution of funds of funds." In Funds of Hedge Funds. Elsevier, 2006. http://dx.doi.org/10.1016/b978-075067984-8.50026-2.
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"Cash versus Synthetic Arbitrage CDOs." In Structured Finance and Collateralized Debt Obligations. John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118268230.ch9.
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"Collateralized Debt and Synthetic Obligations." In Structured Credit Portfolio Analysis, Baskets and CDOs. Chapman and Hall/CRC, 2006. http://dx.doi.org/10.1201/9781420011470-10.
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"Collateralized Debt and Synthetic Obligations." In Structured Credit Portfolio Analysis, Baskets and CDOs. Chapman and Hall/CRC, 2006. http://dx.doi.org/10.1201/9781420011470.ch3.
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"Synthetic Collateralized Debt Obligation Structures." In Introduction to Structured Finance. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119197249.ch7.
Full textConference papers on the topic "Synthetic Collateralized Debt Obligation (CDO)"
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Ye, Zhongxing, and Lizhen Sun. "Modified Pricing Model for Synthetic Collateralized Debt Obligation (SCDO)." In 2010 3rd International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2010. http://dx.doi.org/10.1109/bife.2010.44.
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