Pricing Portfolio Credit Derivatives Using a Simplified Dynamic Model
碩士 === 國立交通大學 === 財務金融研究所 === 97 === This thesis applies dynamic methods to price the standardized portfolio credit derivatives, collateralized debt obligation (CDO) that bases on CDX.NA.IG and iTraxx index. We modify the dynamic model from Hull and White (2008) by estimating the jump intensity of t...
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| Format: | Others |
| Language: | zh-TW |
| Online Access: | http://ndltd.ncl.edu.tw/handle/89071517009127273904 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 97 === This thesis applies dynamic methods to price the standardized portfolio credit derivatives, collateralized debt obligation (CDO) that bases on CDX.NA.IG and iTraxx index. We modify the dynamic model from Hull and White (2008) by estimating the jump intensity of the companies’ survival rates with Merton’s jump-diffusion model and the stock option price. Finally, we find that the experimental results of our one factor model is more stable than Hull and White’s, and it can provide a good fit to CDO quotes more efficiently because our model uses less parameters.
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