本文關(guān)鍵詞： CDO 評級選購 K-S檢驗 判別分析　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2007年起的金融危機仍在對我們的生活產(chǎn)生巨大的影響。危機初步顯現(xiàn)為次級住房抵押貸款的直接違約損失,但卻被債務(wù)抵押債券(Collateralized Debt Obligations, CDO)放大,許多潛在問題至今仍未爆發(fā)出來。CDO類屬于結(jié)構(gòu)性金融產(chǎn)品,相較于一般的債券更依賴于獨立第三方評級機構(gòu)對其的評級。而由于在評級問題上,發(fā)行人與投資者存在著很強的信息不對稱,故導(dǎo)致了評級模型套利(或稱評級選購)的出現(xiàn)。本文的思路來源于Fender and Kiff(2005),基于實證數(shù)據(jù)和統(tǒng)計方法,對基于信息不對稱的評級模型套利是否存在進行了統(tǒng)計檢驗。在單變量檢驗中使用了單因素ANOVA和K-S檢驗,在此結(jié)果基礎(chǔ)上作判別分析,得出多變量檢驗結(jié)果。結(jié)論是,基于信息不對稱的評級模型套利的確存在,并且CDO的發(fā)行幣種和期限對其差異的影響十分顯著。
[Abstract]:The financial crisis that began in 2007 is still having a huge impact on our lives. The crisis has initially emerged as a direct default loss on subprime mortgages. But they are magnified by collateralized Debt obligations (CDOs). Many potential problems have yet to erupt. The CDO category is a structured financial product, relying more on independent third-party rating agencies than on bonds in general. There is a strong information asymmetry between issuers and investors. This leads to the emergence of rating model arbitrage (or rating selection). The idea of this paper comes from Fender and Kiffon 2005, based on empirical data and statistical methods. This paper makes a statistical test on whether arbitrage exists in the rating model based on information asymmetry. The univariate ANOVA and K-S tests are used in the univariate test, and the discriminant analysis is made on the basis of the results. The results of multivariate test show that arbitrage based on asymmetric information rating model does exist and that the currency and maturity of CDO issue have a significant effect on the difference.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.9;F224

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相關(guān)期刊論文 前1條

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本文編號：1484018