论文标题
抵押债务义务的仿制定价和对冲
Affine Pricing and Hedging of Collateralized Debt Obligations
论文作者
论文摘要
这项研究涉及单方面抵押债务义务（STCDOS）的定价和对冲。我们指定了仿生的两因素模型，其中纳入了灾难性风险组成部分。除了通过分析性处理外，该模型还具有捕获超级渠道动力学的功能，这要归功于灾难性的成分。我们使用准最大最大可能性（QML）方法与Kalman Filter结合使用了六个批次和四个不同的成熟度，这些因素模型基于ITRAXX欧洲数据，并具有四个不同的成熟度。我们在基础掉期索引上使用动态重新平衡的投资组合来得出基于模型的方差最小化策略。我们分析了ITRAXX欧洲数据上方差最小化对冲的实际性能。为了进一步评估对冲绩效，我们进行了模拟分析，其中通过重要性抽样方法生成正常和极端损失方案。样本中的对冲和仿真分析都表明，在产生较小风险的对冲投资组合方面，方差最小化策略对夹层群最有效，并且无法提供有关股票股票的适当对冲绩效。
This study deals with the pricing and hedging of single-tranche collateralized debt obligations (STCDOs). We specify an affine two-factor model in which a catastrophic risk component is incorporated. Apart from being analytically tractable, this model has the feature that it captures the dynamics of super-senior tranches, thanks to the catastrophic component. We estimate the factor model based on the iTraxx Europe data with six tranches and four different maturities, using a quasi-maximum likelihood (QML) approach in conjunction with the Kalman filter. We derive the model-based variance-minimizing strategy for the hedging of STCDOs with a dynamically rebalanced portfolio on the underlying swap index. We analyze the actual performance of the variance-minimizing hedge on the iTraxx Europe data. In order to assess the hedging performance further, we run a simulation analysis where normal and extreme loss scenarios are generated via the method of importance sampling. Both in-sample hedging and simulation analysis suggest that the variance-minimizing strategy is most effective for mezzanine tranches in terms of yielding less riskier hedging portfolios and it fails to provide adequate hedge performance regarding equity tranches.
