Risk and Valuation of Collateralized Debt Obligations
Risk and Valuation of Collateralized Debt Obligations
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DOI：
10.2469/faj.v57.n1.2418
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发表时间：
2001-01
影响因子：
2.8
通讯作者：
D. Duffie;Nicolae Gârleanu
中科院分区：
文献类型：
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作者：
D. Duffie;Nicolae Gârleanu
在讨论债务抵押债券的风险分析和市场估值时，我们说明了相关性和优先级对估值的影响，并讨论了“多样性得分”（评级机构用于CDO风险分析的CDO抵押品池的风险度量）在相关违约强度的简单跳跃扩散设置中的情况。债务抵押债券（CDO）是一种资产支持证券，其基础抵押品通常是（公司或主权）债券或银行贷款的投资组合。CDO现金流结构将来自不同债务工具抵押品池的利息收入和本金偿还分配给优先级CDO证券（份额）。一个标准的优先级排序方案是简单的次级排序：高级CDO票据在夹层票据和较低的次级票据支付之前支付，任何剩余现金流都支付给股权。CDO构成了一个日益庞大和重要的固定收益证券类别。我们的分析可以提供有用的方法来评估和诊断风险的措施。我们专注于现金流CDO，即抵押品组合不受CDO经理活跃交易影响的CDO。这一特征的含义是，CDO部分的利息和本金支付的不确定性主要取决于抵押证券违约的数量和时间。我们不分析市值型CDO，即CDO份额主要根据抵押品池的按市值计价回报率（marked-to-market return）获得付款的CDO，而抵押品池的按市值计价回报率在很大程度上取决于CDO经理的交易表现。在我们对现金流CDO的风险和市场估值的分析中，我们说明了市场估值的相关性和优先级、“多样性得分”（评级机构用于CDO风险分析的CDO抵押品池的风险度量）以及相关违约强度的简单跳跃扩散设置中CDO的风险的影响。主要问题是相关抵押品证券的违约风险的联合分布对CDO份额的风险和估值的影响。我们还讨论了替代计算方法的有效性和多样性分数的作用。我们发现，违约时间的相关性有一个显着的影响，个别份额的市场价值。优先级的优先级，它是有效的“短期看涨期权”的基础抵押品池的表现，导致其市场价值随着风险中性的违约时间相关性下降。类似于看涨期权的权益部分的价值随着相关性的增加而增加。选择权对中间部分没有明显的影响。在过度抵押充足的情况下，（向较低份额）“书面”期权占主导地位，但在过度抵押水平足够低的情况下，情况正好相反。利差，至少是夹层和高级份额的利差，对信贷质量信息的“块状”并不特别敏感，因为用跳跃风险（各种类型的）取代扩散的贡献，同时保持均值回归的程度和信贷利差的期限结构不变，在决定利差方面发挥的作用相对较小。关于替代的计算方法，我们表明，如果（风险中性）多样性分数可以准确地评估，这是计算简单的框架，我们提出的，这些分数可以用来获得良好的近似市场估值合理良好的抵押份额。
In this discussion of risk analysis and market valuation of collateralized debt obligations, we illustrate the effects of correlation and prioritization on valuation and discuss the “diversity score” (a measure of the risk of the CDO collateral pool that has been used for CDO risk analysis by rating agencies) in a simple jump diffusion setting for correlated default intensities. A collateralized debt obligation (CDO) is an asset-backed security whose underlying collateral is typically a portfolio of (corporate or sovereign) bonds or bank loans. A CDO cash flow structure allocates interest income and principal repayments from a collateral pool of different debt instruments to prioritized CDO securities (tranches). A standard prioritization scheme is simple subordination: Senior CDO notes are paid before mezzanine and lower subordinated notes are paid, and any residual cash flow is paid to an equity piece. CDOs form an increasingly large and important class of fixed-income securities. Our analysis may provide useful approaches to valuation and diagnostic measures of risk. We concentrate on cash flow CDOs-those for which the collateral portfolio is not subjected to active trading by the CDO manager. The implication of this characteristic is that the uncertainty regarding interest and principal payments to the CDO tranches is determined mainly by the number and timing of defaults of the collateral securities. We do not analyze market-value CDOs, those in which the CDO tranches receive payments based essentially on the marked-to-market returns of the collateral pool as determined largely by the trading performance of the CDO manager. In our analysis of the risk and market valuation of cash flow CDOs, we illustrate the effects of correlation and prioritization for the market valuation, “diversity score” (a measure of the risk of the CDO collateral pool that has been used for CDO risk analysis by rating agencies), and risk of CDOs in a simple jump diffusion setting for correlated default intensities. The main issue is the impact of the joint distribution of default risk of the underlying collateral securities on the risk and valuation of the CDO tranches. We also address the efficacy of alternative computational methods and the role of diversity scores. We show that default-time correlation has a significant impact on the market values of individual tranches. The priority of the senior tranche, by which it is effectively “short a call option” on the performance of the underlying collateral pool, causes its market value to decrease with the risk-neutral default-time correlation. The value of the equity piece, which resembles a call option, increases with correlation. Optionality has no clear effect on intermediate tranches. With sufficient overcollateralization, the option “written” (to the lower tranches) dominates, but it is the other way around for sufficiently low levels of overcollateralization. Spreads, at least for mezzanine and senior tranches, are not especially sensitive to the “lumpiness” of the arrival of information about credit quality, in that replacing the contribution of diffusion with jump risks (of various types), while holding constant the degree of mean reversion and the term structure of credit spreads, plays a relatively small role in determining the spreads. Regarding alternative computational methods, we show that if (risk-neutral) diversity scores can be evaluated accurately, which is computationally simple in the framework we propose, these scores can be used to obtain good approximate market valuations for reasonably well-collateralized tranches.