擔保債權憑證之違約風險機率探討

Abstract

資產證券化(Asset Securitization)開始於1970年代，企業單位或金融機構將其能夠產生現金流量的資產予以群組，然後發行成證券，出售給市場上有興趣的投資者。抵押債權證券化是指以創始機構的債權為基礎，經過重新包裝而發行，分割成小單位受益憑證，用以募集資金的金融商品，而依照標的物資產的不同又可區分為以債券為主的抵押債券受益憑證CBO(Collateralized Bond Obligation)以及以貸款為主的抵押貸款受益憑證CLO(Collateralized Loan Obligation)。抵押債權憑證(Collateralized Debt Obligation)的資產池包含了不同產業、不同信用等級的債權資產，因此要準確衡量其風險性，我們必須捕捉這些資產的真實特徵，包括個別資產的違約機率、回復率以及資產間的違約相關性。過去市場上也有很多方法用以評估擔保債權憑證，如：穆迪二項擴張模型(Moody’s Binomial Expansion Technique)、感染模型、Copula法等，本文主要針對二項擴張模型與感染模型的不足，進一步利用Cossette and Marceau[2000]所提出的Poisson model with common shocks，將資產違約相關性與時間因子加入模型中，最後分析資產在不同的信用等級下其違約機率分配與時間因子所帶來的影響。

Asset Securitization was formed at 1970. The enterprises and financial institutions group assets which can bring cash flow, and then issue securities to investors in the market. Collateralized Debt Obligation is a credit risk product backed by a pool of debt obligation. They create securities or classes of securities from a portfolio of debt instruments. When the underlying assets are bonds, the CDO is referred to as a collateralized bond obligation, CBO. When the underlying assets are loans, the CDO is referred to as a collateralized loan obligation, CLO. The assets in CDO come from different industries and credit levels. As a result, we have to capture real characteristics of assets to measure risk accurately. That includes individual default rate, recovery rate and default correlations between assets. There are many methods to evaluate Collateralized Debt Obligation in the market, for example, Moody’s Binomial Expansion Technique, Infectious model, Copula method, etc. The article focuses mainly on the lack of Binomial Expansion Technique and Infectious Model and makes use of Poisson model with common shocks by Cossette and Marceau[2000].We bring assets correlations and time factors to the model. Finally, we analyze the default probabilities of assets under different credit level and time factors