抵押債權憑證 (Collateralized Debt Obligation, CDO) 為近幾年來常見的信用衍生性商品 (credit derivatives),創始機構 (orginator) 發行 CDO 可將其資產負債表 (balance sheet) 中流動性 (liquidity) 較差或風險性較大的資產,利用資產證券化 (asset securitization) 的方式移轉出去,藉此提高資產的流動性與資產負債管理能力,但其投資的門檻相對一般金融商品高。一旦發生違約時,常會使得投資人承受極大損失,因此 CDO 風險衡量為一個重要議題。本文參考 Standard & Poor's 信用評等公司在 2005 年以分券違約機率 (tranche default probability) 作為 CDO 風險衡量指標,並參考 Hull and White (2004) 單因子 Double t copula 模型描述 CDO 資產組合的資產違約時間相關,此模型較 Vasicek (2002) 單因子 Gaussian copula 模型更符合一般市場狀況。本文類似 Huschens et al. (2010) 在單因子 Gaussian copula 模型下,以敏感度分析衡量 CDO 分券之風險的作法。探討在不同參數之下,分券違約機率的敏感度分析,並且說明 CDO 風險衡量指標及其敏感度的意義與重要性。

Collateralized Debt Obligation (CDO) is one of the most seen credit derivatives.By issuing CDO,the orginators could securitize the assets which have lower liquidity or higher risks and transfer them in order to elevate the liquidity and managing ability of asset and liability.However,the limit of investing is respectively higher than the normal financial instruments.And once the contract is violated, the investors would suffer from tremendous loss.As a result,risk assessment becomes quite an important issue.This thesis take reference of the tranche default probability issued by Standard & Poor's in 2005 as the indicator for risk assessment of CDO.Furthermore,the author refers to Hull and White's one-factor Double t copula applied in 2004 to describe the relationship between asset allocation and the time of violation.This model is more appropriate than Vasicek's Gaussian copula model in 2002.This thesis adopts the way Huschens et al. carried out in 2010 by using sensitivity analysis to analyze tranche under the model of Gaussian copula.Also, the author analyzes the tranche default probability under the sensitivity analysis to explain the meaning and significance of indicators for risk assessment of CDO and its sensitivity.

1.前言......1
2.文獻回顧......2
3.研究方法......3
3.1 資產違約時間模型......3
3.2 CDO 資產組合損失比率分配......5
4.CDO 風險衡量指標及其敏感度......9
4.1 分券違約機率......9
4.2 分券違約機率對風險衡量時間點之敏感度......10
4.3 分券違約機率對 CDS 加權平均信用價差之敏感度......10
4.4 分券違約機率對資產相關之敏感度......11
5.財務風險管理應用......11
5.1 風險衡量指標與風險衡量時間點之關係......11
5.2 風險衡量指標與 CDS 加權平均信用價差之關係......13
5.3 風險衡量指標與資產相關之關係......15
6.結論......18
參考文獻......19

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