从合成担保债务契约市场报价反求期望损失  

Calibration of Expected Loss from Market Data of CDO Tranches

作　　者：梁进[1] 周宇晶[1] 

机构地区：[1]同济大学数学系,上海200092

出　　处：《数学的实践与认识》2011年第23期1-9,共9页Mathematics in Practice and Theory

基　　金：国家973项目(2007CB814903)

摘　　要：研究通过CDO市场报价反求、校验期望损失的方法.在CDO风险中性定价的基础上建立介绍了通过市场报价反求期望损失的两个模型.比较了两种模型的优缺点.然后讨论了定价公式中不同的参数对保费的影响,并给出了模型的两个应用:求标的资产的违约分布以及计算非标准层的定价.In the credit derivatives, Synthetic CDO is a kind of credit derivative which has the most strong fluidity, the highest standard and the most datum. In this paper, we mainly study the calibration method from the market data of CDO tranches. We introduce two models to find the expected loss by the market quote based on the risk neutral valuation of CDO tranches. Then, we compare the advantages and disadvantages of these two models and discuss the different para-influences to the premium in the pricing formula. At length, we give two applications： seeking the loss distribution of underlying assets and valuing of non-standard tranches.

关 键 词：信用衍生产品 合成担保债务契约 期望损失 标定校验 

分 类 号：F830.91[经济管理—金融学] O242.1[理学—计算数学]