CDS价差结构转换模型及对标准化CDO价格的修正  

Regime-switching model of CDS spreads and an improved pricing method of standard CDO

作　　者：过蓓蓓[1] 方兆本[1] 

机构地区：[1]中国科学技术大学统计与金融系,安徽合肥230026

出　　处：《中国科学技术大学学报》2010年第9期902-907,共6页JUSTC

基　　金：中国科学院知识创新工程重要方向项目(KJCX3-SYW-S02)资助

摘　　要：利用CDS欧洲指数每日中间价,建立价差日改变量的马尔科夫结构转换模型,以捕捉金融事件对违约风险的影响.将此结构转换模型应用到标准化抵押债务证券(collateralized debt obligations,CDO)权益分券的定价中,得到修正后的结合市场环境的分券价格.该模型及CDO修正价格从量化的角度说明,源于美国的次贷危机是发行机构、监管部门以及市场环境变化的共同作用,而并非金融产品本身对金融市场的危害.对此进行深入研究,建立适应市场环境的定价及风险监控模型,才是面对次贷危机所最应作出的反应.In order to quantify the reasonable price of CDO(collateralized debt obligation)under different market conditions,the Markov regime-switching model for iTraxx CDS spreads daily changes was used to demonstrate the influence of financial events on default risk.Using this model to price equity tranche of standard CDO,an improved pricing method was obtained combining market environment.The improved pricing model shows that the coactions of the issuer,regulator and market environment led to the subprime loan crisis,rather than the financial instrument itself.Establishment to a pricing and risk control model should be a proper response to the subprime load crisis.

关 键 词：次贷危机 CDS指数 信用价差 标准化CDO 结构转换模型 

分 类 号：F83[经济管理—金融学]