| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 94 === In this paper, to examine different correlation structures between high and low quality names in a CDO, we separate the portfolio into two groups with different hazard rates. First, under one-factor model, the results show that correlations are higher among low quality names than those among high quality names when controlling the average correlation level. Second, under random factor loadings model, we can calibrate the correlation structures from market spreads. We use four assumptions of correlation structures and conduct a sensitivity analysis. It shows that among low quality names, correlations are higher when extreme economy states occur.
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