| CDO定价影响要素的蒙特卡洛模拟研究 |
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| 引用本文： | 刘平.CDO定价影响要素的蒙特卡洛模拟研究[J].重庆大学学报(社会科学版),2014,20(3):55-60. |
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| 作者姓名： | 刘平 |
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| 作者单位： | 四川银监局，四川 成都610042 |
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| 摘 要： | CDO是目前国内外非常关注的也是定价很复杂的一类信用衍生产品,其定价的关键就是违约概率和违约相关性的估计。文章在Merton扩展模型的基础上,采用蒙特卡洛方法,并结合copula函数来生成具有相关性的违约时间分布,然后计算出各个违约时点,进而求出标的资产组合的违约损失。在此基础上分别计算收益面和损失面的期望值,最终对各种要素对CDO定价的影响进行分析与比较。
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| 关 键 词： | 债务抵押债券 蒙特卡洛模拟 Merton扩展模型 copula函数 |
| 收稿时间： | 2013/1/18 0:00:00 |
The Influence of Factors on CDO Pricing Based on Mote Carlo Simulation |
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| LIU Pin.The Influence of Factors on CDO Pricing Based on Mote Carlo Simulation[J].Journal of Chongqing University(Social Sciences Edition),2014,20(3):55-60. |
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| Authors: | LIU Pin |
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| Institution: | The Banking Regulatory Bureau of Sichuan, Chengdu 610042, P. R. China |
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| Abstract: | CDO is a kind of complex pricing credit derivatives. The key of pricing is the default probability and the default correlation. Based on Monte Carlo method, the paper uses Merton extension model and combines with Copula function to generate default time distribution. And then it calculates the underlying asset portfolios default loss. Based on the premiums and losses of asset portfolios, the paper prices the multiple levels of CDO and analyzes different influence on CDO pricing. |
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| Keywords: | CDO Monte Carlo simulation Merton expansion model Copula function |
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