Valuation and Analysis of Inflation-Protected Collateralized Debt Obligations
碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === As for Collateralized Debt Obligations (CDO), sponsors can early get their funds to invest. Also, they can diverge default risk. But for the investors who buy the tranches of CDO, they have to bear the default risk of an asset pool and inflation risk especia...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/959snn |
| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 96 === As for Collateralized Debt Obligations (CDO), sponsors can early get their funds to invest. Also, they can diverge default risk. But for the investors who buy the tranches of CDO, they have to bear the default risk of an asset pool and inflation risk especially in high oil price periods. In order to protect the investor’s real profits, this article expands the Meneguzzo and Vechiato (2002) model to present a general-form model. This model can not only keep the properties of an ordinary CDO but also protect investors from inflation risk. The empirical results show that the credit spread of the CDO with inflation-protected effect is high than an ordinary CDO. Also, the credit spread of each tranche increases as growth rate and volatility of CPI and CDS spreads of the securities in asset pool are high.
|
|---|