Comparison between different one-factor copula models of synthetic CDOs pricing

• Main Authors: Huang, Chi Wei, 黃繼緯
• Other Authors: 劉惠美
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/16588329481787423788

碩士 === 國立政治大學 === 統計研究所 === 101 === During the mid-1990s, credit-derivatives began to be popular and evolved into credit default swaps (CDS), collateralized debt obligation (CDO), and synthetic collateralized debt obligation (Synthetic CDO). Because of the feature of risk sharing, credit-derivatives became an important part of financial market and played the key role in the financial crisis of 2007. So how to price credit-derivatives is a very important issue. When pricing Synthetic CDO, most people use the one-factor coupla model as the structure of reward function, and suppose the distribution of model is Normal distribution, t- distribution or Normal Inverse Gaussian distribution(NIG). But the volatility smile of implied volatility always causes the pricing inaccurate. For solving the problem, I use the random factor loading model under Normal distribution and NIG distribution in this study to test whether the random factor loading model is better than one-factor coupla model in pricing, and compare the efficience of optimization parameters. In conclusion, I will induct the best model of Synthetic CDO pricing.