英文摘要 |
The purpose of paper is to develop a model to price collateralized debt obligations by using available market data. We use a KMV model to link the asset market price and default risk. In addition, we construct a copula function to describe the dependent structure of a collateral portfolio. Under the risk neutral measure, we can obtain the fair premium of different tranches of collateralized debt obligations. The simulation results show that the credit rating, dependent structure and recovery rate of collateral portfolio are important factors affecting the fair premium of different tranches. The ranking and loss of tranches are also important factors for the fair premium. This paper thus provides a useful pricing method for collateralized debt obligations, given the lack of a complete default database in Taiwan. |