| Summary: | 博士 === 國立政治大學 === 金融研究所 === 103 === By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit-structured products. Using MBS CDOs as an example, we examine how model-embedded variables, such as default correlation, reference-portfolio granularity, and cross-pool correlation, affect the risk profiles of MBS CDO tranches. Our numerical results echo the findings of Azzalini and Capitanio(2003) in that correlation structure obtained under the Gaussian factor copula model may be inadequate in capturing the fact-tailed characteristic of the reference-pool loss distribution, thus can result in over/under-estimation of CDO tranche spreads.
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