The Study of Collateralized Debt Asset Securitization-The Product Design and Pricing Combining Both Credit andCommodity Price Risk

• Main Authors: Chia-Li Lin, 林佳利
• Other Authors: Ying-Shing Lin
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/93480833543779898367

碩士 === 國立高雄第一科技大學 === 財務管理所 === 94 === Abstract In recent years, the credit risks propagate its belief on a large scale, and the international commodity market situation is optimistic continuously. Thus, with an optimistic view of the upward price trend in the future of commodity market, the securitization products combining both the commodity risk and the credit risk can attract issuers and investors even more, and it is defined as “The Collateralized Debt-Commodity Obligation (CDCO)” in this paper. This commodity not only offers the investors the benefit by diversifying reference assets but offers the issuers to escape from the price risk of commodity. This study discovers that the difference price between all tranches of CDCO and the Synthetic CDO depends on the trade-off between price risk and diversified reference risk. Further, the numerical results demonstrate that the value for equity tranche of CDCO is higher than the value of Synthetic CDO. But, the trend of the value for mezzanine tranche is not the same, and the price of senior tranche is lower than Synthetic CDO. Consequently, senior tranche of CDCO provide investors the iii benefit by diversifying reference assets, and meanwhile, investors can get the opportunity of entering both bond and commodity market under the constant return of rate.