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摘要翻译：
本文描述了一种统一的、无套利的定制CDO定价方法。该方法是对(Li2009)模型的多因素扩展，克服了目前标准的基相关映射定价方法中已知的缺陷。该方法为每个流动性信用指标分配一个独特的市场因素，并对这些市场因素之间的相关性进行显式建模。一种低维半解析蒙特卡罗方法在计算订制批量的PVs和风险方面是非常有效的。数值算例表明，所得到的定制分段价格一般符合当前标准的基相关与TLP映射方法。文中还以数值算例讨论了模型差和quanto平差等实际问题。
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英文标题：
《Consistent Valuation of Bespoke CDO Tranches》
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作者：
Yadong Li
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最新提交年份：
2010
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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
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英文摘要：
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known flaws in the current standard pricing method of base correlation mapping. This method assigns a distinct market factor to each liquid credit index and models the correlation between these market factors explicitly. A low-dimensional semi-analytical Monte Carlo is shown to be very efficient in computing the PVs and risks of bespoke tranches. Numerical examples show that resulting bespoke tranche prices are generally in line with the current standard method of base correlation with TLP mapping. Practical issues such as model deltas and quanto adjustment are also discussed as numerical examples.
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PDF链接：
https://arxiv.org/pdf/1004.1758
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