基于Copula函数的CDO信用风险分析.pdf

摘要

抵押债务债券(CDO)作为发展最迅速的结构性信用衍生产品之一,已经出
现在国内证券市场中,并取得了较快的发展。在 2007 年美国次级债务危机的形
成机制中,CDO 作为信用风险重组者和传递者,扮演了重要角色。在这样的背景
下,对 CDO 的信用风险进行分析和管理,任务紧迫且意义重大。
本文沿袭简约式模型,以前人研究的 Copula 函数方法为分析框架,将违约
率、回收率和违约相关性三项因素联系起来,提出了 CDO 信用风险分析的整体思
路。为了检验该思路的合理性,本文以 07 兴元 CLO 为实证对象,给出了 CDO 信
用风险度量的实证分析。最后,针对 CDO 信用风险管理,本文建议产品设计者和
投资者充分关注抵押资产池的信用状况,并建议监管者建立完善信用评级体系,
以促进我国 CDO 市场的健康发展。

关键词:CDO,Copula 函数,违约率,信用曲线,预期信用损失
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Abstract

As one of the structural credit derivatives which have developed at an amazing
speed, Collateralized Debt Obligations (CDOs) have presented themselves and
developed at quite a high speed in Chinese security market. And also as the transferor
and distributor of credit risks, CDOs have played an important role in the forming
process of the recent subprime debt crises in the United States. Under this background,
it seems an urgent and crucial task to perform credit risk analysis and control of CDOs.
This paper tries to follow the reduced-form approach, take the copula function
from the predecessors’ research results as the entire framework of analysis, relate
hazard rate, recovery rate and default correlation to each other and perform credit risk
analysis of CDO underlying asset pool and all tranches of bonds. This paper also
makes an empirical study on 07 Xingyuan CLO to show the reasonableness of the
analysis. Finally the paper advances some suggestions regarding to credit risk
management of CDOs. It proposes that the product designers and investors emphasize
on the credit situation of the collateralized asset portfolio, and the regulators establish
and perfect a credit scoring system and information disclosure mechanism to facilitate
the healthy development of Chinese CDO market.

Keywords:CDO, Copula, Hazard Rate, Credit Curve, Default Payment Leg

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