固定比例投資組合保險策略在合成型擔保債權憑證權益分券之適用性; CPPI on CDO Equity Tranches

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Title:	固定比例投資組合保險策略在合成型擔保債權憑證權益分券之適用性;CPPI on CDO Equity Tranches
Authors:	黃月君;Yue-Jiun Huang
Contributors:	財務金融研究所
Keywords:	權益分券;合成型擔保債權憑證;固定比例投資組合保險策略;因子相關性結構模型;信用違約交換指數;CPPI;CDS index;Latent Factor Model;Synthetic CDO Equity Tranches
Date:	2007-07-06
Issue Date:	2009-09-22 14:42:00 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究探討在因子相關性結構模型下，固定比例投資組合保險策略在合成型擔保債權憑證權益分券上的應用結果。以過去兩年十個月的iTraxx Europe 5Y指數和iTraxx Hivol 5Y指數的歷史資料做為擔保債權憑證的連結指數，並針對不同目標乘數及觀察期間對策略適用性的影響作比較分析。實證結果顯示，對於連結iTraxx Europe 5Y指數的權益分券的應用結果而言，在適當的乘數設定之下，績效結果大致上是很好的；但連結iTraxx Hivol 5Y指數的權益分券的應用結果而言，因為權益分券本金是最早拿來償還違約損失的特性，再加上固定比例投資組合保險策略中的乘數效果會將iTraxx Hivol 5Y指數高波動度的特性放大，使得策略不但在指數反彈回升時無法鎖住原先獲利，更侵蝕到本金保護水準，而導致策略失敗。 This paper examines whether the Constant Proportion Portfolio Insurance (CPPI) could achieve good performance on Synthetic Collateralized Debt Obligation (CDO) Equity Tranches. The standard two indexes, iTraxx Europe 5Y and iTraxx Hivol 5Y, are used as the underlying indexes of CDO Equity Tranches, which are considered Equity Tranches as the risky assets in the CPPI strategy. Moreover, I use monthly and quarterly data to investigate the impact of different target multipliers on the performance of the CPPI strategy. The result of this paper shows that if the target multipliers are suitable and the underlying index of portfolios is iTraxx Europe 5Y, the performances are good. On the contrary, if the underlying index is iTraxx Hivol 5Y, the CPPI strategy performs really badly and fails to satisfy the investment target. This is not only due to the property of Equity Tranche but the magnify effects of multipliers on the high volatilities of iTraxx Hivol 5Y index.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

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