信贷模型和危机，或者：我如何学会停止担忧和 喜欢CDO

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
从引入高斯copula模型和相关的隐含相关性，到引入无套利的动态损失模型，我们在信用衍生品和债务抵押债券方面走了一条漫长的道路，这些模型能够同时校准所有期限的所有部分。此外，我们还说明了隐式copula方法，该方法可以一致地解释具有不同附着点和分离点的CDO，但不能解释不同期限的CDO。这一讨论得到了历史上市场例子的充分支持。我们对使用高斯系词和隐含相关性提出的危险和批评都是我们在2006年等人发表的，表明定量界在危机之前就意识到了模型的局限性。我们还解释了为什么高斯copula模型在其基本相关公式中仍然使用，尽管在一些可能的扩展下，如随机恢复。总的来说，我们得出结论，在衍生品市场这一领域的建模工作尚未完成，部分原因是缺乏一个具有操作吸引力的单一名称一致动态损失模型，部分原因是在这一研究领域的投资减少。
---
英文标题：
《Credit models and the crisis, or: how I learned to stop worrying and
  love the CDOs》
---
作者：
Damiano Brigo, Andrea Pallavicini, Roberto Torresetti
---
最新提交年份：
2010
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--

---
英文摘要：
  We follow a long path for Credit Derivatives and Collateralized Debt Obligations (CDOs) in particular, from the introduction of the Gaussian copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. En passant, we also illustrate the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities. The discussion is abundantly supported by market examples through history. The dangers and critics we present to the use of the Gaussian copula and of implied correlation had all been published by us, among others, in 2006, showing that the quantitative community was aware of the model limitations before the crisis. We also explain why the Gaussian copula model is still used in its base correlation formulation, although under some possible extensions such as random recovery. Overall we conclude that the modeling effort in this area of the derivatives market is unfinished, partly for the lack of an operationally attractive single-name consistent dynamic loss model, and partly because of the diminished investment in this research area.
---
PDF链接：
https://arxiv.org/pdf/0912.5427

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：信贷模型 CDO Quantitative introduction Applications maturities 方法 领域 different Credit