Collateralized Bond Obligation Pricing: An Integration of Intrinsic Valuation and Factor Copula Approach

目前討論投資組合損失的文獻中，主要著重在違約相關性(default correlation)與尾端相關(Tail dependence)。但是很少考慮到風險結構隨時間的變動以及內生化的回收率(recovery rate)。因此，本研究將試圖利用內部評價法，建立一個多期的投資組合信用風險之評價方法。我們主要先建構一個投資組合損失模型，並利用因子關聯結構法，將此模型與隨機狀態模型做一聯結，達到投資組合損失模型考慮動態風險結構的目的。本論文最後並透過建構一個CBO，來說明我們所介紹之方法，如何應用在CBO訂價上。Most of the existing studies on portfolio loss focus on default correlation and tail dependence. Few of them consider the dynamics of risk structure and the endogenous recovery rate. We introduce a new approach to the evaluation of multi-period portfolio credit risk using a firm’s internal valuation information. The underlying idea of our framework is to construct a portfolio loss model with dynamic risk structure which is linked to a stochastic state model through a factor copula approach. And we demonstrate the examples of the model application in CBO tranches pricing.I. INTRODUCTION 1 II. MODEL 2 A. SINGLE-FIRM TIME-DEPENDENT VALUE DISTRIBUTION 3 B. FACTOR COPULA 9 C. PORTFOLIO MULTI-PERIOD LOSS DISTRIBUTION 11 III. EXAMPLES OF MODEL APPLICATION 13 A. DATA 13 B. FACTOR ANALYSIS AND PARAMETERS ESTIMATION OF STOCHASTIC STATE MODEL 15 C. ESTIMATION OF FIRM’S WEIGHTED AVERAGE COST OF CAPITAL 16 D. ESTIMATION OF CONSTANT GROWTH RATE OF A FIRM 16 E. CREDIT RATING ANALYSIS OF FIRMS UNDERLYING PORTFOLIO 17 F. ESTIMATION OF PORTFOLIO LOSS DISTRIBUTION 19 G. APPLICATIONS IN PRICING CBO TRANCHES 23 IV. CONCLUSIONS 27 REFERENCES 28 APPENDIX I. FACTOR ANALYSIS FOR FIRMS’ FREE CASH FLOW 30 APPENDIX II. THE RESULTS OF ESTIMATION OF CONSTANT GROWTH RATES 33 APPENDIX III. THE RELEVANT PROPERTIES OF PORTFOLIO LOSS FITTING DISTRIBUTIONS 3