違約傳染效應對擔保債權憑證之評價與風險衡量

Pricing and Risk Management of the Collateralized Debt Obligations with Default Contagion

本文探討違約傳染效應對即期與遠期生效擔保債權憑證的理論價格與風險衡量所造成之影響。以Gregory and Laurent（2005）因子模型描述公司資產價值，並在違約事件條件獨立與傳染效應假設下，以Hull and White（2004）提出之機率勺斗法則建構債權群組之損失分配，進而求算即期與遠期生效擔保債權憑證各分券之信用價差與期望損失（率）。研究結果發現考慮傳染效果因子後，即期或遠期生效擔保債權憑證各分券之信用價差及期望損失（率）皆提高，且隨著傳染效果因子愈強影響效果愈顯著。另外，投資人對未來市場的預期情況亦將影響傳染效應的影響程度，本研究結果顯示跨期相關因子愈低，隱含投資人對未來市場較樂觀，則傳染效應則愈顯著。

In this paper we investigate the valuation and risk measurement of spot- and forward-starting collateralized debt obligations (CDOs) under the default contagion effect. To obtain the credit spread and the expected loss (rate), the firm value is described by the factor model proposed by Gregory and Laurent (2005), and the reference pool loss distribution is constructed by the probability bucketing method of Hull and White (2004). No matter what the spot- and forward-starting CDOs, the tranche credit spread and the expected loss (rate) are consistently increasing when the contagion effect is considered. And the stronger the contagion effect is, the higher the tranche credit spread and the expected loss (rate) are. Moreover, the contagion effect degree is affected by the future market expectation of investors. The contagion effect is more remarkable with lower intertemporal correlation factor implied the investors' optimistic future market anticipation.