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研究通过CDO市场报价反求、校验期望损失的方法.在CDO风险中性定价的基础上建立介绍了通过市场报价反求期望损失的两个模型.比较了两种模型的优缺点.然后讨论了定价公式中不同的参数对保费的影响,并给出了模型的两个应用:求标的资产的违约分布以及计算非标准层的定价.
This paper studies how to reverse the expected price of the CDO market by checking the expected loss.On the basis of the CDO risk neutral pricing, we introduce two models that reverse the expected loss through the market quotation, and compare the advantages and disadvantages of the two models. The impact of different parameters in the pricing formula on premiums is given, and two applications of the model are given: the default distribution of the underlying asset and the pricing of the non-standard layer.