债务抵押债券的定价和套期保值:一种自上而下的方法

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-12-04 DOI:10.2139/ssrn.1472942

D. Filipović, Thorsten Schmidt

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引用次数: 0

摘要

本文研究了债务抵押债券的定价与套期保值问题。cdo是信用池上的复杂衍生品，我们选择在Filipovic等人(2009)提出的自顶向下模型中进行分析。我们对隐含远期利率进行了反思，并将其与Lipton和Shelton(2009)以及Schonbucher(2005)的自上而下框架联系起来。此外，我们还推导出了对全指数单级对冲的方差最小化对冲策略。给出了一般情况下的对冲策略。我们还显式地计算了一个简约的单因子仿射模型。

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Pricing and Hedging of CDOs: A Top Down Approach

This paper considers the pricing and hedging of collateralized debt obligations (CDOs). CDOs are complex derivatives on a pool of credits which we choose to analyse in the top down model proposed in Filipovic et al. (2009). We reflect on the implied forward rates and bring them in connection with the top-down framework in Lipton and Shelton (2009) and Schonbucher (2005). Moreover, we derive variance-minimizing hedging strategies for hedgeing single tranches with the full index. The hedging strategies are given for the general case. We compute them also explicitly for a parsimonious one-factor affine model.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets