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金融创新产品风险的监管不到位是2007年美国次贷危机及2008年全球金融危机爆发的主要原因之一。在对MBS、CDO与CDS等创新产品风险及监管进行分析基础上创建的金融创新产品风险适应性监管机制框架包括风险的识别、风险的层级报告、风险的预警、风险的监管介入、风险的处理和金融危机与经济危机的预防六个部分。
We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk cannot be ensured sim...
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
Implied Multi-Factor Model Bespoke CDO Tranches Portfolio Credit Derivatives
2010/11/2
This paper introduces a new semi-parametric approach to the pricing and risk management of
bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto
more than one ref...