Advances in the pricing of collateralized debt obligations:
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| Format: | Thesis Book |
| Language: | English |
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2009
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| Online Access: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Physical Description: | XII, 155 S. graph. Darst. |
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| 245 | 1 | 0 | |a Advances in the pricing of collateralized debt obligations |c submitted by Bernd Michael Brommundt |
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| adam_text | Titel: Advances in the pricing of collateralized debt obligations
Autor: Brommundt, Bernd Michael
Jahr: 2009
Contents
1 Introduction
1.1 Preliminary Considerations and Motivation........... 3
1.2 Structure.............................. 5
1.2.1 Credit Market Risk..................... 5
1.2.2 Hedging Collateralized Debt Obligations......... 6
1.2.3 Hedging CDOs from the Bottom Up........... 7
1.2.4 A Stochastic Process for Correlation........... 7
2 Credit Market Risk 9
2.1 Introduction............................. 9
2.2 Data for the Study......................... 14
2.2.1 CDS and Equity Data................... 14
2.2.2 Converting CDS Spreads into Returns.......... 17
2.3 Empirical Results.......................... 20
2.3.1 The Relationship between Debt and Equity Value ... 21
2.3.2 The Role of Volatility................... 26
2.3.3 Macroeconomic Factors and the CDX.......... 27
2.3.4 Systematic Credit Risk By Rating Class......... 30
2.4 Conclusion ............................. 35
2.5 Appendix.............................. 37
2.5.1 Standard Errors for Non-Overlapping Regressions ... 37
vm
Hedging Collateralized Debt Obligations 39
3.1 Introduction............................. 39
3.2 CDO Valuation and Hedge Ratios ................ 43
3.2.1 The Portfolio Loss and pricing Model.......... 43
3.2.2 Default Probabilities.................... 45
3.2.3 CDO Pricing........................ 46
3.2.4 Compound Correlations and Base Correlations..... 47
3.2.5 Sensitivities and Hedge Ratios .............. 47
3.3 CDS Index and CDO Tranche Spreads.............. 52
3.3.1 Data of the Study..................... 52
3.4 Empirical Results.......................... 59
3.4.1 Performance of the Delta Hedge ............. 60
3.4.2 Largest Hedge Errors and Serial Dependence...... 61
3.5 Further Investigations....................... 71
3.5.1 Decomposing the Change in Value............ 71
3.5.2 Adjusting Hedge Ratios.................. 74
3.6 Conclusion ............................. 77
Hedging CDOs from the Bottom Up 79
4.1 Introduction............................. 79
4.2 CDO Hedge Ratios......................... 82
4.2.1 Hedge Ratios........................ 83
4.2.2 CDO Tranche Rho - Correlation Hedging........ 84
4.3 Hedging CDOs........................... 86
4.3.1 Data............................. 86
4.3.2 Hedging in CDS ...................... 86
4.3.3 Hedging in CDO Tranches................. 88
4.3.4 Hedging Correlation.................... 90
4.4 Conclusion............................. 98
5 A Stochastic Process for Correlation and the Application to CDOs 99
5.1 Introduction............................. ^
5.2 Correlation.............................104
5.2.1 Implied Correlations....................104
5.2.2 Impact of Changes in Correlations............105
5.3 A Stochastic Process for Correlation...............110
5.3.1 Stochastically Correlated Brownian Motion.......110
5.3.2 Properties of the Correlation. Process...........Ill
5.3.3 Moments of the Jacobi Distribution...........113
5.3.4 Moments of the Integrated Process............115
5.3.5 Integrating with Respect to Stochastic Correlation ... 116
5.4 Pricing CDOs with Stochastic Correlations...........120
5.4.1 Factor Models .......................120
5.4.2 The Stochastic Correlation Factor Model ........121
5.4.3 CDO Pricing........................122
5.5 Stochastic Correlation and CDO Tranches............124
5.5.1 Numerical Examples....................124
5.5.2 Correlation of Correlation and Loss Given Default . . . 128
5.5.3 Empirical Results and Further Research.........133
5.6 Conclusion.............................135
5.7 Appendix..............................136
5.7.1 Hypergeometric Differential Equations and Functions . 136
5.7.2 Generators of Diffusion Processes.............138
5.7.3 Eigenfunctions of the Jacobi Diffusion..........139
5.7.4 Transition Density of the Jacobi Diffusion........141
6 Conclusion 143
List of Tables
2.1 CDS Returns on Equity and Asset Pricing Factors....... 23
2.2 CDS Returns on Equity by Rating................ 24
2.3 CDS returns on Equity, Volatility, and CDX...........32
2.4 CDS Returns on Systematic Factors............... 33
2.5 CDS Returns on CDX and CDX HY by Rating Class...... 34
3.1 Correlations of CDO Tranche Spread Changes..........55
3.2 Hedge Errors Tranche 1...................... 62
3.3 Hedge Errors Tranche 2 ...................... 63
3.4 Hedge Errors Tranche 3...................... 64
3.5 Hedge Errors Tranche 4...................... 65
3.6 Hedge Errors Tranche 5...................... 66
3.7 Hedge Errors, Delta and Gamma................. 72
3.8 Hedge Errors, Delta and Rho................... 73
3.9 Spread and Correlation Regression................ 76
5.1 Correlation between Implied Correlations............106
5.2 Effect of Shifting Correlation...................109
5.3 Sensitivities in the Stochastic Correlation Model........129
5.4 Effect of Stochastic Correlation on September 15, 2006.....130
5.5 Effect of Stochastic Correlation on September 14, 2007.....131
5.6 Calibration of the Stochastic Correlation Extension.......133
List of Figures
3.1 Implied Compound Correlation.................. 50
3.2 Implied Base Correlation...................... 51
3.3 iTraxx Spreads........................... 54
3.4 Mean Absolute Hedge Error, Compound Correlations ..... 67
3.5 Mean Absolute Hedge Error, Base Correlation.......... 68
4.1 CDO Tranche Sensitivities..................... 85
4.2 Hedges in CDS Contracts, Compound Correlations....... 92
4.3 Hedges in CDO Contracts, Base Correlations.......... 93
4.4 Hedges in CDO Tranches, Compound Correlations....... 94
4.5 Hedges in CDO Tranches, Base Correlations........... 95
4.6 Hedges against Correlation Changes, Compound Correlations . 96
4.7 Hedges against Correlation Changes, Base Correlations..... 97
5.1 Correlation of Implied Correlation................ 107
5.2 Jacobi Diffusion, Density and Sample Paths........... 114
Xll
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| spelling | Brommundt, Bernd Michael Verfasser aut Advances in the pricing of collateralized debt obligations submitted by Bernd Michael Brommundt 2009 XII, 155 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2009 Dissertation Nr. 3610 Geschichte 2001-2008 gnd rswk-swf Credit Default Swap stw Kopula (Mathematik) stw Kreditversicherung stw Theorie stw Wertpapieranalyse stw Collateralized debt obligation (DE-588)7548936-3 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content USA (DE-588)4078704-7 g Collateralized debt obligation (DE-588)7548936-3 s Kreditrisiko (DE-588)4114309-7 s Geschichte 2001-2008 z DE-604 Preisbildung (DE-588)4047103-2 s DE-188 DE-601 pdf/application http://www.gbv.de/dms/zbw/610285289.pdf kostenfrei Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018686052&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brommundt, Bernd Michael Advances in the pricing of collateralized debt obligations Credit Default Swap stw Kopula (Mathematik) stw Kreditversicherung stw Theorie stw Wertpapieranalyse stw Collateralized debt obligation (DE-588)7548936-3 gnd Preisbildung (DE-588)4047103-2 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)7548936-3 (DE-588)4047103-2 (DE-588)4114309-7 (DE-588)4078704-7 (DE-588)4113937-9 |
| title | Advances in the pricing of collateralized debt obligations |
| title_auth | Advances in the pricing of collateralized debt obligations |
| title_exact_search | Advances in the pricing of collateralized debt obligations |
| title_full | Advances in the pricing of collateralized debt obligations submitted by Bernd Michael Brommundt |
| title_fullStr | Advances in the pricing of collateralized debt obligations submitted by Bernd Michael Brommundt |
| title_full_unstemmed | Advances in the pricing of collateralized debt obligations submitted by Bernd Michael Brommundt |
| title_short | Advances in the pricing of collateralized debt obligations |
| title_sort | advances in the pricing of collateralized debt obligations |
| topic | Credit Default Swap stw Kopula (Mathematik) stw Kreditversicherung stw Theorie stw Wertpapieranalyse stw Collateralized debt obligation (DE-588)7548936-3 gnd Preisbildung (DE-588)4047103-2 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Credit Default Swap Kopula (Mathematik) Kreditversicherung Theorie Wertpapieranalyse Collateralized debt obligation Preisbildung Kreditrisiko USA Hochschulschrift |
| url | http://www.gbv.de/dms/zbw/610285289.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018686052&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT brommundtberndmichael advancesinthepricingofcollateralizeddebtobligations |
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