信貸衍生品建模和計算(編輯修改稿)
2025-06-17 06:00 本頁面
【文章內(nèi)容簡介】 fixed ine assets ? Credit Risk Transfer through: Cash “True Sale” Synthetic using “Credit Default Swaps” Assets may prise: ? Investment Grade Bonds / Loans ? HY Bonds ? Leveraged Loans ? Emerging Market Debt ? ABS / MBS Assets Liabilities Transfer ? Credit Risk Transfer for: Balance Sheet Management Credit Arbitrage Mezzanine Class B/C/D Subordinated The above is indicative capital structure only AAA AA to BBB Not Rated Ratings CDO : Collateralized “Debt” Obligations, more enpassing term than other terms such as CBO (“Bonds”) and CLOs (“Loans”) 2021/6/15 衍生債務(wù)抵押債券的特點 ? Efficient Portfolio Diversification Tool ? Gain Access to Assets, Otherwise Difficult to Access ? Choose Tranche depending upon Risk Appetite ? Customized “Portfolio” meets Investors’ Requirements ? Higher Spread than similarly Rated Assets ? Investors receive higher spread premium relative to single name investments for a similar level of risk 2021/6/15 摘要 ? 引言 ? 信貸產(chǎn)品 ? 法規(guī)和文檔 (Legal and Documentation) ? 行業(yè)規(guī)范 （ Regulatory environment) ? 復(fù)雜信貸產(chǎn)品 ? 定價，計算技術(shù)和對沖 (Hedge) ? 風(fēng)險管理 2021/6/15 CDS公平溢價 ? 違約概率 (p) ? 恢復(fù)率 (recovery rate) ? CDS 現(xiàn)金流 Fixed leg Floating leg S S S S iiniiiniiidfprdfppiniiiiiniiSNrdfppNSdfp????????? ??????????????????? ??111 )1()(111)1()()1(2021/6/15 Semianalytic Model for STCDO ? n obligors ? Random vector of default time: α1,…, αn ? Joint Distribution and Survival functions: F(t1,…t n)=Q(α1≤t1,…, αn ≤tn) S(t1,…t n)=Q(α1
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