The Correlation Impact of Underlying on Prices of Synthetic Collateralized Debt Obligations and Basket Default Swaps

• Main Authors: Kai-Chen Shih, 施凱程
• Other Authors: Meng-Lan Yueh
• Format: Others
• Language: en_US
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/58956621148870041959

碩士 === 國立中央大學 === 財務金融研究所 === 93 === We analyzed the pricing of the Synthetic Collateralized Debt Obligations (synthetic CDOs) and Basket Default Swaps (BDSs) with different correction by using Statistical techniques in this paper. Copula function is a good way in present survival analysis method because it can divide multivariate distribution into two parts. One is marginal distribution, and the other is dependent structure. Therefore, copula is popularly used in many academic researches now. To specify the survival times of the underlying securities by using Normal Copula, and using the analyzing result to price the synthetic CDOs and BDSs. The credit derivatives products (such as synthetic CDOs and BDSs) with different correlation will affect pricing large. The correlation impact of underlying on prices of synthetic CDOs and BDSs is the purpose of this thesis. The risk caused by different correlation, that is correlation risk, we should pay more attention on it when we price the credit derivatives. Therefore, our results could be a reference for investors and manager of investing credit derivatives, no matter in pricing or risk management.