本文首先對雙層擔保債務憑證(CDO-squared)之架構及其對於發行人及投資人的優缺點做初步的介紹，其次分析以關連結構(copula)方式之訂價過程。進而對於標的擔保債務憑證(CDO)及雙層擔保債務憑證的上下界、資產間的相關性、標的擔保債務憑證間的資產重覆個數、回收率及違約機率對標的擔保債務憑證及雙層擔保債務憑證之敏感性分析。最後再分析標的擔保債務憑證價差與雙層擔保債務憑證價差之間的關係以及如何以其價差進行套利策略。 We would introduce CDO-squared structure and analyze the advantage and disadvantage for investors and traders. Using normal copula to price CDO-squared and do sensitivity analysis of DP/AP, correlations, overlap, recovery rate, and default probability. Finally, we analyze the relationship between CDOs and CDO-squared spreads and how to use these two products to arbitrage.
