篇名 | 與物價指數連動之擔保債權憑證的評價模型 |
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卷期 | 21:1 |
並列篇名 | A Pricing Model of Inflation-indexed Collateralized Debt Obligations |
作者 | 陳芬英 、 彭星與 |
頁次 | 165-197 |
關鍵字 | 物價指數連動的CDO 、 縮減式模型 、 一般化CDO 模型 、 機率水桶法 、 蒙地卡羅法 、 Inflation-indexed CDO 、 Reduced form model 、 General CDO model 、 Probability Bucketing method 、 Monte Carlo simulation 、 TSSCI |
出刊日期 | 201303 |
本文擴展Meneguzzo & Vecchiato(2002)模型,應用縮減式信用風險模型,首次提出與物價指數連動的擔保債權憑證(Collateralized Debt Obligations,CDO)模型。該模型,除了具備傳統CDO 的特色之外,在物價不斷攀升之際,亦能保障分券投資人的實質收益。此外,當模型分券之通膨效果為零時,則本模型隨即變成傳統的CDO模型,所以本模型可視為傳統CDO的一般化(general form)模型。在蒙地卡羅法和機率水桶法之應用下,實證發現,與物價指數連動的CDO 模型,其分券的信用價差皆高於無通膨效果之傳統CDO 評價模型;物價指數波動度與各分券之信用價差呈同向變動。
This article extends the work by Meneguzzo & Vecchiato (2002) under a
reduced form to first present an inflation-indexed CDO model. Besides the
properties of traditional CDOs, the model can preserve investors’ real profits in an inflation period. Also, the model can reduce to a traditional CDO model when the proportion of the inflation effects of the tranches in the model equals to zero. Thus our model can be regarded as a general one of the traditional CDO models. In empirical studies, using Monte Carlo simulation and Probability Bucketing method, it is found that the fair spread of the inflation-indexed model is higher than that of the traditional CDO model with no inflation effect. Also, the relationship between the fair spread and inflation volatility is positive.