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Subordinate process -based CDOs Pricing Model

Author: SunZhongBao
Tutor: YangDeQuan
School: Dalian University of Technology
Course: Systems Engineering
Keywords: CDOs Subordinate process Pricing Model
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 76
Quote: 0
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Abstract


Collateralized debt obligations (CDO) is a type of asset-backed securities structured, the value and benefits of having fixed income associated with the underlying asset portfolio, or you can say, CDOs are credit-based mortgage debt through the Securities technology, the composition of the underlying asset pool of assets, the credit risk of re-allocated to different types of investments designed to meet the needs of people of derivative securities products. CDO pricing problem is collateralized debt obligations of the core issues, the key is how to determine the probability of default for each debtor and default correlation between assets and thus characterize the entire pool of assets accumulated loss given default. With the 2007 U.S. subprime mortgage crisis, the market factors commonly used in Gaussian Copula model is no longer able to meet the actual needs. Seeking to better reflect the characteristics of the market CDOs pricing model is imminent. Firstly, and summarized the main CDO pricing model and its research status at home and abroad. Then the two parameters from the dynamic process model Levy slave start its two aspects expansion. First, Levy slave process model framework set by the recovery of certainty for economic development function was constructed based on random recovery CDOs pricing models. The numerical results show that: The new model can better reflect the recovery of the debt secured by the bond market is not fixed constants of the real situation. Second, through the introduction of inverse Gaussian processes and Gamma slave slave processes were constructed based on inverse Gaussian processes and Gamma subordinate subordinate process CDOs pricing model, and gives the Fourier transform of the asset pool under the cumulative default loss distribution proof. In a different classification standards, the numerical simulation showed that: The two models can reflect the size of the risk of wound layer and inverse Gaussian process model subordinate subordinate process better than the Gamma capture CDO market sometimes third sub-volume layer than the second sub-volume credit spread layer of much larger magnitude of change in the situation. In addition, the process also dependent factor pricing model respectively Copula model, the relationship between the strength of the model are discussed, the results Note: When not considering the impact of company-specific circumstances, the slave process model and Factor Copula model calculation of the probability of default is consistent; certain sense, the slave process model is the strength of the model mean reversion rate tends to infinity when the limit form.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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