Modelling the Risk of CDO dynamics

CDO 动态风险建模

• 批准号: 136973041
• 负责人: Professor Dr. Wolfgang Karl Härdle
• 金额: --
• 依托单位: Mathematisches Institut
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2009
• 资助国家: 德国
• 起止时间: 2008-12-31 至 2013-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/136973041?language=en
• 关键词: Modelling; Risk; CDO; dynamics

The market standard model for pricing the CDO tranches is the one factor Gaussian Copula Model. The model however cannot reproduce the market prices and one observes the well known implied correlation smile, see Figure 1. Many papers have been written on models explaining the empirical smile effect. More complex models explain this fact for fixed point in time but so far fail in correctly describing the time varying dependence structure. Given our joint experience with adaptively estimated time varying parameters and the expertise on modeling and pricing CDOs we can successfully transfer these technologies to time varying CDO risk analysis.Our aim is to study the dynamic behavior of the market implied correlation surface or equivalently the pricing surface in different valuation models in its time varying context. We will use for this aim modem statistical techniques (adaptive semi parametric estimation) and advanced pricing models and will create efficient algorithms for pricing and predicting CDO risks.The project is designed as a joint project between Berlin and Gießen since the expertise in mathematical modeling of derivative valuation and risk measurements in credit lies within the Mathematical Finance Group at the Universität Gießen and the statistical expertise for financial time series and time varying (high dimensional) dependency models is with C.A.S.E. - Centre for Applied Statistics and Economics and Institute of Statistics and Econometrics at Humboldt-Universität zu Berlin. A combination of these two centers of expertise is indispensable for the success of the proposed research project. C.A.S.E. is also a comerstone in the Humboldt University research strategy in creating a Humboldt Campus Mitte (HCM), a so called integrative research institute (IRI).

CDO份额定价的市场标准模型是单因素高斯Copula模型。然而，该模型不能再现市场价格，人们观察到众所周知的隐含相关性微笑，见图1。许多论文已经写了解释实证微笑效应的模型。更复杂的模型解释了固定时间点的这一事实，但到目前为止，未能正确描述随时间变化的相关性结构。由于我们在自适应估计时变参数方面的经验以及在CDO建模和定价方面的专业知识，我们可以成功地将这些技术转移到时变CDO风险分析中，我们的目标是研究市场隐含相关面或等价定价面在不同估值模型中的动态行为。我们将为此目的使用现代统计技术（自适应半参数估计）该项目是柏林和Gießen之间的一个联合项目，因为衍生品估值和信贷风险测量的数学建模专业知识属于Universität Gießen的数学金融小组，而统计专业知识则用于金融时间序列和时变（高维）依赖模型是与C.A.S.E. - 柏林洪堡大学应用统计和经济学中心及统计和计量经济学研究所。这两个专业知识中心的结合对于拟议研究项目的成功是不可或缺的。C.A.S. E也是洪堡大学创建洪堡校园米特（HCM），即所谓的综合研究所（IRI）的研究战略的基石。