An empirical analysis of the pricing of collateralized debt obligations

被引：123

作者：

Longstaff, Francis A. ^{[1
,2
]}

Rajan, Arvind

机构：

[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90024 USA

[2] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 02期

关键词：

D O I：

10.1111/j.1540-6261.2008.01330.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use the information in collateralized debt obligations (CDO) prices to study market expectations about how corporate defaults cluster. A three-factor portfolio credit model explains virtually all of the time-series and cross-sectional variation in an extensive data set of CDX index tranche prices. Tranches are priced as if losses of 0.4%, 6%, and 35% of the portfolio occur with expected frequencies of 1.2, 41.5, and 763 years, respectively. On average, 65% of the CDX spread is due to firm-specific default risk, 27% to clustered industry or sector default risk, and 8% to catastrophic or systemic default risk.

引用

页码：529 / 563

页数：35

共 37 条

[1] Investigating the role of systematic and firm-specific factors in default risk: Lessons from empirically evaluating credit risk models
Bakshi, Gurdip
Madan, Dilip
Zhang, Frank Xiaoling
[J]. JOURNAL OF BUSINESS, 2006, 79 (04) : 1955 - 1987
[2] The determinants of credit spread changes
Collin-Dufresne, P
Goldstein, RS
Martin, JS
[J]. JOURNAL OF FINANCE, 2001, 56 (06) : 2177 - 2207
[3] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES
COX, JC
INGERSOLL, JE
ROSS, SA
[J]. ECONOMETRICA, 1985, 53 (02) : 385 - 407
[4] Darrell D, 2003, PRINC SER FINANC, P1
[5] Das S.R., 2006, J FIXED INCOME, V16, P7, DOI DOI 10.3905/JFI.2006.656006
[6] Common failings: How corporate defaults are correlated
Das, Sanjiv R.
Duffie, Darrell
Kapadia, Nikunj
Saita, Leandro
[J]. JOURNAL OF FINANCE, 2007, 62 (01) : 93 - 117
[7] The pooling and tranching of securities: A model of informed intermediation
DeMarzo, PM
[J]. REVIEW OF FINANCIAL STUDIES, 2005, 18 (01) : 1 - 35
[8] DIAMOND D, 1984, REV ECON STUD, V60, P383
[9] Risk and valuation of collateralized debt obligations
Duffie, D
Gârleanu, N
[J]. FINANCIAL ANALYSTS JOURNAL, 2001, 57 (01) : 41 - 59
[10] Multi-period corporate default prediction with stochastic covariates
Duffie, Darrell
Saita, Leandro
Wang, Ke
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2007, 83 (03) : 635 - 665

← 1 2 3 4 →