信用风险和资产证券化衍生品定价方法介绍_第二部分-信用和资产证券化衍生品定价

第二部分信用和资产证券化衍生品定价12第一部分:信用风险理论介绍（2014年7日上午9:00am-11:30am）第1章　信用风险介绍和信用评级第2章　Merton信用风险模型,KMV等模型应用介绍第3章　信用风险价值量调整(CVA)介绍第4章　单因子结构模型和信用风险价值量(CreditVaR)介绍第二部分:信用和资产证券化衍生品定价(2014年7日下午2:30pm-5:00pm)第1章:信用互换衍生品（CDS）定价介绍第2章:资产证券化衍生品介绍第3章:资产证券化衍生品定价中南财大讲学大纲信用风险和资产证券化衍生品定价方法介绍袁先智（同济大学风险管理研究所）3第二部分:信用和资产证券化衍生品定价(2014年7日下午2:30pm-5:00pm)第1章:信用互换衍生品（CDS）定价介绍第2章:资产证券化衍生品介绍第3章:资产证券化衍生品定价中南财大讲学大纲信用风险和资产证券化衍生品定价方法介绍袁先智（同济大学风险管理研究所）4第二部分:信用和资产证券化衍生品定价(2014年7日下午2:30pm-5:00pm)第1章:信用互换衍生品（CDS）定价介绍第2章:资产证券化衍生品介绍第3章:资产证券化衍生品定价中南财大讲学大纲信用风险和资产证券化衍生品定价方法介绍袁先智（同济大学风险管理研究所）金融工程案例分析课程，GeorgeYuan，2013-145CreditDefaultSwapsBuyeroftheinstrumentacquiresprotectionfromtheselleragainstadefaultbyaparticularcompanyorcountry(thereferenceentity)Example:Buyerpaysapremiumof90bpsperyearfor$100millionof5-yearprotectionagainstcompanyXPremiumisknownasthecreditdefaultspread.ItispaidforlifeofcontractoruntildefaultIfthereisadefault,thebuyerhastherighttosellbondswithafacevalueof$100millionissuedbycompanyXfor$100million(Severalbondsaretypicallydeliverable)5金融工程案例分析课程，GeorgeYuan，2013-14CDSStructure(Figure24.1,page549)6DefaultProtectionBuyer,ADefaultProtectionSeller,B90bpsperyearPayoffifthereisadefaultbyreferenceentity=100(1-R)Recoveryrate,R,istheratioofthevalueofthebondissuedbyreferenceentityimmediatelyafterdefaulttothefacevalueofthebond金融工程案例分析课程，GeorgeYuan，2013-14OtherDetailsPaymentsareusuallymadequarterlyinarrearsIntheeventofdefaultthereisafinalaccrualpaymentbythebuyerSettlementcanbespecifiedasdeliveryofthebondsor(moreusually)incashAnauctionprocessusuallydeterminesthepayoffSupposepaymentsaremadequarterlyintheexamplejustconsidered.Whatarethecashflowsifthereisadefaultafter3yearsand1monthandrecoveryrateis40%?7金融工程案例分析课程，GeorgeYuan，2013-14AttractionsoftheCDSMarketAllowscreditriskstobetradedinthesamewayasmarketrisksCanbeusedtotransfercreditriskstoathirdpartyCanbeusedtodiversifycreditrisks8金融工程案例分析课程，GeorgeYuan，2013-14UsingaCDStoHedgeaBondPositionPortfolioconsistingofa5-yearparyieldcorporatebondthatprovidesayieldof6%andalongpositionina5-yearCDScosting100basispointsperyearis(approximately)alongpositioninarisklessinstrumentpaying5%peryearThisshowsthatbondyieldspreads(measuredrelativetoLIBOR)shouldbeclosetoCDSspreads9金融工程案例分析课程，GeorgeYuan，2013-14ValuationExample(page551-554)Conditionalonnoearlierdefaultareferenceentityhasa(risk-neutral)probabilityofdefaultof2%ineachofthenext5years.Assumepaymentsaremadeannuallyinarrears,thatdefaultsalwayshappenhalfwaythroughayear,andthattheexpectedrecoveryrateis40%SupposethatthebreakevenCDSrateissperdollarofnotionalprincipal10金融工程案例分析课程，GeorgeYuan，2013-14UnconditionalDefaultandSurvivalProbabilities(Table24.1)11Time(years)DefaultProbabilitySurvivalProbability10.02000.980020.01960.960430.01920.941240.01880.922450.01840.9039金融工程案例分析课程，GeorgeYuan，2013-14CalculationofPVofPayments(Table24.2Principal=$1)12Time(yrs)SurvivalProbExpectedPaymentDiscountFactorPVofExpPmt10.98000.9800s0.95120.9322s20.96040.9604s0.90480.8690s30.94120.9412s0.86070.8101s40.92240.9224s0.81870.7552s50.90390.9039s0.77880.7040sTotal4.0704s金融工程案例分析课程，GeorgeYuan，2013-1413PresentValueofExpectedPayoff(Table24.3;Principal=$1)13Time(yrs)DefaultProbab.Rec.RateExpectedPayoffDiscountFactorPVofExp.Payoff0.50.02000.40.01200.97530.01171.50.01960.40.01180.92770.01092.50.01920.40.01150.88250.01023.50.01880.40.01130.83950.00954.50.01840.40.01110.79850.0088Total0.0511金融工程案例分析课程，GeorgeYuan，2013-14PVofAccrualPaymentMadeinEventofaDefault.(Table24.4;Principal=$1)14TimeDefaultProbExpectedAccrPmtDiscFactorPVofPmt0.50.02000.0100s0.97530.0097s1.50.01960.0098s0.92770.0091s2.50.01920.0096s0.88250.0085s3.50.01880.0094s0.83950.0079s4.50.01840.0092s0.79850.0074sTotal0.0426s金融工程案例分析课程，GeorgeYuan，2013-14PuttingitalltogetherPVofexpectedpaymentsis4.0704s+0.0426s=4.1130sThebreakevenCDSspreadisgivenby4.1130s=0.0511ors=0.0124(124bps)ThevalueofaswapnegotiatedsometimeagowithaCDSspreadof150bpswouldbe4.1130×0.0150−0.0511=0.0106perdollaroftheprincipal.15金融工程案例分析课程，GeorgeYuan，2013-14ImplyingDefaultProbabilitiesfromCDSspreadsSupposethatthemidmarketspreadfora5yearnewlyissuedCDSis100bpsperyearWecanreverseengineerourcalculationstoconcludethattheconditionaldefaultprobabilityis1.61%peryear.IfprobabilitiesareimpliedfromCDSspreadsandthenusedtovalueanotherCDStheresultisnotsensitivetotherecoveryrateprovidingthesamerecoveryrateisusedthroughout16金融工程案例分析课程，GeorgeYuan，2013-14BinaryCDS(page554)ThepayoffintheeventofdefaultisafixedcashamountInourexamplethePVoftheexpectedpayoffforabinaryswapis0.0852andthebreakevenbinaryCDSspreadis207bps17金融工程案例分析课程，GeorgeYuan，2013-14CreditIndicesCDXNAIGisaportfolioof125investmentgradecompaniesinNorthAmericaiTraxxEuropeisaportfolioof125EuropeaninvestmentgradenamesTheportfoliosareupdatedonMarch20andSept20eachyearTheindexcanbethoughtofasthecostpernameofbuyingprotectionagainstall125names18金融工程案例分析课程，GeorgeYuan，2013-1419TheUseofFixedCouponsIncreasinglyCDSsandCDSindicestradelikebondstofacilitatetradingAcouponisspecifiedIfspreadisgreaterthancoupon,thebuyerofprotectionpaysNotionalPrincipal×Duration×(S