Risk Analysis of Collateralized Debt Obligations
Risk Analysis of Collateralized Debt Obligations
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DOI：
10.2139/ssrn.1341747
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发表时间：
2009-06
期刊：
影响因子：
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通讯作者：
K. Giesecke;Baeho Kim
中科院分区：
文献类型：
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作者：
K. Giesecke;Baeho Kim
债务抵押债券是一种证券，其收益与公司债券等可违约资产组合的现金流挂钩，在蔓延至全世界的金融危机中发挥了重要作用。问题的核心是由于错误和过于乐观的风险评估导致的资本拨备不足。本文发展了随机方法来衡量债务抵押债券和相关工具与违约资产的基础投资组合的头寸风险。它提出了一个自适应的点过程模型的投资组合违约时机，最大似然法估计点过程模型的基础上的接受/拒绝reservation计划，和模型验证的统计检验。为了说明这些工具，它们用于估计参考CDX高收益组合的抵押债务证券的多个部分的头寸产生的利润或亏损的分布以及支持这些头寸所需的风险资本。
Collateralized debt obligations, which are securities with payoffs that are tied to the cash flows in a portfolio of defaultable assets such as corporate bonds, play a significant role in the financial crisis that has spread throughout the world. Insufficient capital provisioning due to flawed and overly optimistic risk assessments is at the center of the problem. This paper develops stochastic methods to measure the risk of positions in collateralized debt obligations and related instruments tied to an underlying portfolio of defaultable assets. It proposes an adaptive point process model of portfolio default timing, a maximum likelihood method for estimating point process models that is based on an acceptance/rejection resampling scheme, and statistical tests for model validation. To illustrate these tools, they are used to estimate the distribution of the profit or loss generated by positions in multiple tranches of a collateralized debt obligation that references the CDX High Yield portfolio and the risk capital required to support these positions.