自動交互信用傳染模型下，與物價指數連動之擔保債權憑證的評價
Valuation of Inflation-linked Collateralized Debt Obligations under Auto-interactive Credit Contagion Model

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Title:	自動交互信用傳染模型下，與物價指數連動之擔保債權憑證的評價 Valuation of Inflation-linked Collateralized Debt Obligations under Auto-interactive Credit Contagion Model
Authors:	陳芬英
Contributors:	世新大學財金系
Keywords:	物價指數連動的CDO;自動交互信用傳染模型;縮減式模型;蒙地卡羅法;Inflation-linked CDO;Auto-interactive Credit Contagion Model;Reduced Form Model;Monte Carlo Simulation
Date:	2010
Issue Date:	2013-07-26 03:38:30 (UTC+0)
Publisher:	世新大學財金系
Abstract:	本文首次提出在自動交互信用傳染模型(Auto-interactive Credit Contagion Model)下，與物價指數連動之擔保債權憑證(Inflation-linked Collateralized Debt Obligations)的評價模型。本模型具有兩個重要之特色。第一，除了具備傳統CDO的特色之外，在物價不斷攀升之際，亦能保障分券投資人的實質收益。而且，當模型中分券之通膨效果為零時，則本模型隨即變成傳統的CDO 模型，所以本模型可視為傳統CDO 的一般化(general form)模型。第二，自動交互信用傳染模型改善了David and Lo (2001)傳染模型中信用傳染只發生一次，以及在R?sch and Winterfeldt (2007)傳染模型中傳染公司只會傳染其他公司，但不被其他公司傳染的缺點。換言之，自動交互信用傳染模型允許CDO 資產池(asset pool)中的資產具有傳染的能力但也會不斷被傳染，即使公司被傳染倒閉了，他仍可再傳染給其他公司直到資產池中的資產全部倒閉，或是當各類資產的違約總數不變時，信用傳染效果便會自動結束。 This article first presents a pricing model of inflation-linked CDO under an auto-interactive credit contagion model. There are two vital properties in the model. First, the model considers the relations of credit risk, inflation risk and traditional CDOs, and can preserve the CDO buyers’ real benefits in an inflation economy. In particular, when the inflation effect equals zero, the model can reduced to an ordinary CDO model. That is the model is a general form of ordinary CDOs. Second, the author develops an auto-interactive credit contagion model. This contagion model improves the weaknesses of the David and Lo (2001) model in which the number of contagion is only one in an asset pool, and the R?sch and Winterfeldt (2007) model where the infecting firms can spread default risk to infected firms, but the inverse not. This means, every asset in an asset pool can continuously deliver default risk each other until all asset defaults occur or the number of defaults doesn’t vary in next contagions.
Relation:	2010中部學術財金研討會論文發表
Appears in Collections:	[Department of Finance] Proceedings

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