CDO对美国次贷危机影响分析
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上海财经大学学报 2008 年 第 10 卷第 03 期, 页码：66 - 72
摘要
参考文献
摘要
本文试图从按揭抵押贷款为基础的CDO入手,分析CDO市场在整个次贷危机中的影响。CDO(Collaterailzed Debt Obligation)是指创始银行透过特殊目的公司(SPV)将缺乏流动性且具违约可能的债权组合风险予以分散,并重新包装成各种等级(Tranche),再发行给一般投资人。文章通过分析,得出以次级按揭贷款为基础的CDO极大地扩大了危机影响面;并通过合成CDO定价模型,测量了影响CDO投资者损失扩大的关键因素,包括借款人个体违约概率变化、住房价格变化、信用评级机构错误评级等对投资CDO市场的影响。
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[2]JIAN HU.Assessing the Credit Risk of CDOs Backed by Structured Finance Securities:Rating Analysts’Challenges and Solutions[D].Working paper,2007.
[3]Michael S.Understanding the Risk of Synthetic CDOs[D].working paper,2004.
[4]Abel Elizalde,CEMFI,UPNA.Understanding and pricing CDOs[D].Working paper,2005.
[5]John Hull,Alan White.Valuation of a CDOand an nth to Default CDS Without Monte Carlo Si mulation[J].Journal of Derivatives,2004.
[6]X.Burtschell,J.Gregory,Laurent.Acomparative analysis of CDO pricing models[D].Working paper,2005.
[7]中国银河证券股份有限公司研究中心.CDO与次贷危机[R].2007,08.
引用本文
史健忠. CDO对美国次贷危机影响分析[J]. 上海财经大学学报, 2008, 10(3): 66–72.
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