評價信用衍生商品之動態模型建構

Abstract

本論文主要應用動態模型來評價標準化的信用衍生性商品投資組合︰CDX.NA.IG指數以及iTraxx指數中的各個CDO分券報價。本文引用Hull and White（2008）提出的動態模型，並利用Merton的jump-diffusion模型與選擇權市場價格決定因為發生跳躍而影響公司生存機率的跳躍頻率。最後，我們發現我們的單變數模型結果比Hull and White的更穩定，且能夠減少參數數目，使模型在配適CDO報價時能夠更有效率。

This thesis applies dynamic methods to price the standardized portfolio credit derivatives, collateralized debt obligation (CDO) that bases on CDX.NA.IG and iTraxx index. We modify the dynamic model from Hull and White (2008) by estimating the jump intensity of the companies’ survival rates with Merton’s jump-diffusion model and the stock option price. Finally, we find that the experimental results of our one factor model is more stable than Hull and White’s, and it can provide a good fit to CDO quotes more efficiently because our model uses less parameters.