Research on credit derivatives

信用衍生品研究

• 批准号: 5042-2009
• 负责人: Walker, Michael
• 金额: $ 0.95万
• 依托单位: University of Toronto
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2009
• 资助国家: 加拿大
• 起止时间: 2009-01-01 至 2010-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=420003
• 关键词: Research; credit; derivatives

For much of the past year, the 'credit crunch' has been front-page news. Large financial institutions such as Bear Sterns, Lehman Brothers, Fannie Mae, Freddy Mac, AIG, and others, have either failed or been essentialled taken over and bailed out by the US government. Central banks globally, worried about the stability of the global financial system and the potential impact on the global economy, have been forced to inject large amounts of liquidity into financial markets. The financial instruments at the heart of this crisis are complex credit derivatives such as collateralized debt obligations (or CDO's) and their relatives. It is widely agreed that the current industry approaches to valuing and hedging of CDO's have performed poorly during the credit crunch. I propose to develop better and more reliable methods for valuing and hedging CDO's, and thus, to improve our understanding of these complex financial instruments. This proposal builds on my recent progress in this area.

在过去一年的大部分时间里，“信贷紧缩”一直是头条新闻。贝尔斯登(Bear Sterns)、雷曼兄弟(Lehman Brothers)、房利美(Fannie Mae)、房地美(Freddy Mac)、美国国际集团(AIG)等大型金融机构要么破产，要么被美国政府接管和纾困。全球央行担心全球金融体系的稳定及其对全球经济的潜在影响，被迫向金融市场注入大量流动性。这场危机的核心金融工具是复杂的信用衍生品，如债务抵押债券(CDO)及其相关产品。人们普遍认为，当前行业对CDO进行估值和对冲的方法在信贷危机期间表现不佳。我建议开发更好、更可靠的方法来对CDO进行估值和对冲，从而提高我们对这些复杂金融工具的理解。这项提议建立在我最近在这一领域取得的进展的基础上。