破解迷你债中合成CDO的结构和风险之谜——以“雷曼迷你债系列三”为例

分析“雷曼兄弟”发行的“迷你债系列三”的基础证券——合成CDO的具体结构和潜在风险的结果表明，由于其结构的复杂特性，该产品的风险远高于AA的信用评级。启示我们：第一，在对一个金融产品的结构和风险都一无所知时不要轻信评级机构给予的信用评级；第二，不要轻易被“CDO”、“组合CLN”等名称所迷惑，对一个复杂产品要一步一步分解其结构，对其风险做出全面的判断；第三，不要违背金融常识，盲目相信在保本和取得稳定收益的同时还可以只承担较低的风险。     

关于CDO在中国发展的思考

抵押债务凭证(CDO)具有套利、盘活资产以及转移信用风险等优良功能,正是因为这些优良的性能所以其被很广泛的应用到我国银行、企业等各个行业当中。但是,作为一种"外来"金融产品,CDO曾因为引发美国次贷危机而备受争议。目前中国正在积极培养自己的金融创新市场,也在积极开发应用如CDO等金融创新产品。为了保持我国金融创新市场的健康发展,我们有必要对CDO的内在机制和产品风险做深入的分析研究。     

中国的CDO市场——机遇与挑战

历经多年筹备，中国首例债权资产证券化项目（国开行开元信贷资产支持证券）于2005年年底问世，这代表中国CDO市场发展正式迈出了第一步。文章主要从监管、市场以及机构技术层面分析了国内CDO市场发丧所面临的机遇与挑战。从前景看，资产管理型现金CDO是短期内最可能采取的形式，而其它CDO交易类型还面临着来自监管和市场方面的制约。     

信贷资产证券化-CDO产品信用评级方法对投资者保护影响分析

信贷资产证券化作为一种复杂的结构化融资方式,其实质是发起机构向代表投资者的信托机构转移信贷资产风险和收益的过程,整个交易过程中,对CDO产品各档次证券的评级将直接影响到投资者的购买预期和对其的保护。     

结构性金融产品风险点及控制策略：以CDO为例

结构性金融衍生产品创新过度且无适当监管，被认为是引发此次金融危机的重要因素之一，其风险控制的缺位加剧了危机的扩散效应。该文以CDO这一结构性金融产品为例，从流动性、信用评级和定价等方面分析此类产品的风险点，并提出相应的风险控制策略；指出我国金融创新不应因此次危机而停滞，关键是要在创新过程中有效监控风险。     

债务抵押凭证（CDO）的风险与信用评级研究

债务抵押凭证（CDO）是金融市场重要的风险转移工具，具有信用级别高、收益水平高的特征，其市场规模扩展迅速。但这种金融创新产品因较复杂的基础资产和分层结构，产生出异于传统公司债券的风险特征。很多投资者没有真正了解其潜在风险，且信用评级质量不佳，致使CDO投资者在次贷危机中遭受严重损失甚至破产。因此有必要深入了解CDO所具有的风险特征和CDO产品信用评级的一般方法，纠正现有评级方法的不足，分析其对次贷危机的影响。     

债权资产证券化（CDO）：金子还是废铁

债权资产证券化（CDO）作为一种技术．为具有不同收益目标和风随偏好的投资者提供了独特的盈利模式。与企业债券和其它结构化产品相比，CDO在评级稳定性和损失率方面的历史表现都较好．CDO向买入并持有型的投资者所提供的相对价值比单独的企业信用产品要高出很多。     

美国资产支持证券市场结构与次按危机解析

美国次按危机不仅给世界多家金融巨擎造成巨大损失,甚至险些在世界范围内酿成了一场全面的流动性危机。文章从信贷资产证券化发起机构、CDO发起流程、信用评级的制定及下调原理,流动性危机的成因这一逻辑顺序全面回顾了美国资产支持证券市场的运作机制以及次贷危机产生的根源,以期为深入研究次级债问题提供参考。     

担保债务凭证(CDO)的设计瑕疵分析及其补救措施

担保债务凭证(CDO)是一种曾以安全优质著称而畅销的新型金融衍生品,然而其高风险的真面目在本轮金融危机中暴露无遗。文章对CDO的设计理念和技术设置进行分析,发现该产品的设计存在瑕疵,且这些瑕疵在评级机构的纵容下被忽视,因此存在巨大风险隐患。文章最后对美国新金融改革法案中对CDO的相关补救措施进行评析并提出自己的见解。     

CDOs及其次贷危机中的公允价值计量问题

在次贷危机中，以次级抵押贷款资产池为基础而发行担保债务凭证（CDO）扮演了至关重要的角色。CDO是一种复杂的证券化产品和信用衍生产品，结构极其复杂，评级和定价建立在复杂且未必可靠的数学模型的基础上。本文首先阐述了CDO相关产品的有关特征，对如何运用公允价值计量准则采计量这些CDO相关产品进行探讨，最后讨论了对CDO公允价值计量的困难及其会计界的最新动向。     

债权抵押债券运作机理及其在我国的前景分析

自2008年美国次贷危机爆发以来,CDO成为人人谈之色变的毒物。本文在简单介绍CDO运作原理的基础上,着重分析其特性是否能够为我国金融市场的发展带来良好的变化与引导,同时通过分析我国市场现状,对开辟本土CDO市场提出了一些疑问与建议。     

Stein’s method and zero bias transformation for CDO tranche pricing

We propose an original approximation method, which is based on Stein’s method and the zero bias transformation, to calculate CDO tranches in a general factor framework. We establish first-order correction terms for the Gaussian and the Poisson approximations respectively and we estimate the approximation errors. The application to the CDO pricing consists of combining the two approximations. This work is partially supported by Fondation de risque.     

From insurance risk to credit portfolio management: a new approach to pricing CDOs

We present a new approach for pricing collateralized debt obligations (CDOs) which takes into account the issue of the market incompleteness. In particular, we develop a suitable extension of the actuarial framework proposed by Bayraktar et al. [Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities. J. Econ. Dyn. Control, 2009, 33, 676–691], Milevsky et al. [Financial valuation of mortality risk via the instantaneous Sharpe-ratio: Applications to pricing pure endowments. Working Paper, 2007. Available at: http://arxiv.org/abs/0705.1302], Young [Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio: Theorems and proofs. Technical Report, 2007. Available at: http://arxiv.org/abs/0705.1297] and Young [Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio. Insurance: Math. Econ., 2008, 42, 691–703], which is based on the so-called instantaneous Sharpe ratio. Such a procedure allows us to incorporate the attitude of investors towards risk in a direct and rational way and, in addition, is also suitable for dealing with the often illiquid CDO market. Numerical experiments are presented which reveal that the market incompleteness can have a strong effect on the pricing of CDOs, and allows us to explain the high bid-ask spreads that are frequently observed in the markets.     

Pricing a CDO on stochastically correlated underlyings

In this paper, we propose a method to price collateralized debt obligations (CDO) within Merton's structural model on underlyings with a stochastic mean-reverting covariance dependence. There are two key elements in our development, first we reduce dimensionality and complexity using principal component analysis on the assets' covariance matrix. Second, we approximate this continuous multidimensional structure using a tree method. Trinomial-tree models can be developed for both the principal components and the eigenvalues assuming the eigenvectors are constant over time and the eigenvalues are stochastic. Our method allows us to compute the joint default probabilities for k defaults of stochastically correlated underlyings and the value of CDOs in a fast manner, without having lost much accuracy. Furthermore we provide a method based on moments to estimate the parameters of the model.     

CDO pricing with nested Archimedean copulas

Companies in the same industry sector are usually more correlated than firms in different sectors, as they are similarly affected by macroeconomic effects, political decisions, and consumer trends. Despite the many stock return models taking this fact into account, there are only a few credit default models that take it into consideration. In this paper we present a default model based on nested Archimedean copulas that is able to capture hierarchical dependence structures among the obligors in a credit portfolio. Nested Archimedean copulas have a surprisingly simple and intuitive interpretation. The dependence among all companies in the same sector is described by an inner copula and the sectors are then coupled via an outer copula. Consequently, our model implies a larger default correlation for companies in the same industry sector than for companies in different sectors. A calibration to CDO tranche spreads of the European iTraxx portfolio is performed to demonstrate the fitting capability of the model. This portfolio consists of CDS on 125 companies from six different industry sectors and is therefore an excellent portfolio for a comparison of our generalized model with a traditional copula model of the same family that does not take different sectors into account.     

Copula dynamics in CDOs

Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the entities in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general situation of the credit market. We analyse the European market of standardized CDOs using tranches of the iTraxx index in the periods before and during the global financial crisis. We investigate the evolution of the correlations using different copula models: the standard Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models, one obtains a time varying vector of parameters. We analyse the dynamic pattern of these coefficients. That enables us to forecast future parameters and consequently calculate Value-at-Risk measures for iTraxx Europe tranches.     

Market share and risk taking: the role of collateral asset managers in the collapse of the arbitrage CDO market

Asset pricing theory predicts that if credit ratings do not reflect all relevant aspects of a CDO debt tranche’s risk profile (i.e., its total and systematic risk), then ratings-based tranche pricing by some naïve investors creates incentives for CDO arrangers to take excessive non-priced risk. CDO managers’ desire for repeat issuance makes them part of this risk taking strategy to exploit naïve investors. The implication is that the credit quality of CDOs run by large market share managers has a higher tendency to deteriorate in bad times. This paper finds empirical evidence for large market share manager’s conflicts of interest.     

CDOs and the financial crisis: Credit ratings and fair premia

We study risk and return characteristics of CDOs using the market standard models. We find that fair spreads on CDO tranches are much higher than fair spreads on similarly-rated corporate bonds. Our results imply that credit ratings are not sufficient for pricing, which is surprising given their central role in structured finance markets. This illustrates limitations of the rating methodologies that are solely based on real-world default probabilities or expected losses and do not capture risk premia. We also demonstrate that CDO tranches have large exposure to systematic risk and thus their ratings and prices are likely to decline substantially when credit conditions deteriorate.