信用衍生性商品在市場上交易漸趨熱絡，創新速度更是一日千里，市場上琳琅滿目的信用衍生性商品，投資人要如何審慎客觀評估風險後再檢視自身能承擔的風險後投資，諸如此類的議題在近幾年備受關注。尤其在2007金融海嘯之後，所有信用衍生性產品也無一倖免，信用評等公司對信用衍生性產品的評價，也備受挑戰，因此，辨識風險以及驅避風險在後金融海嘯時期，已是一刻不容緩之待解決問題。固定比例債務債券(Constant Proportion Debt Obligations; CPDO)亦是金融海嘯前一年所發明的創新信用衍生性商品，由於其高收益特性以及強調極低投資風險，吸引了許多投資人爭相購買，但金融海嘯時期，也是付之一炬。為了使投資人更了解此商品的風險，本研究運用在跳躍擴散模型假設下，存在封閉解的雙出場障礙式選擇權複製此商品的風險因子，並且為了描述此商品具有動態調整槓桿的時間相依(Time Dependent)性質，加入了蒙地卡羅模擬法，捕捉任意時點上，投資人面臨的風險，將風險因子拆解選擇權後，也更能讓投資人能以投資選擇權的知識運用到此商品來操作。最後，為了使投資人趨避諸如金融海嘯時期的風險，本研究也用選擇權的Delta 避險策略，替商品虛擬一現貨市場，並模擬出其避險之績效。

The increasing trading volumes and innovative structures of credit derivatives have attracted great academic attention in the quantification and analysis of their complex risk characteristics. The pricing and hedging issues of complex credit structuers after the 2009 financial crisis are especially vital, and they present great challegens to both the academic community and industry practitioners. Constant Proportion Debt Obligations (CPDOs) are one of the new credit-innovations that claim to provide risk-adverse investors with fixed-income cash flows and minimal risk-bearing, yet the cash-outs events of such products during the crisis unfolded risk characteristics that had been unseen to investors. This research focuses on the pricing risk quantification, and dynamic hedging issues of CPDOs under a Levy jump diffusion setting. Based on decomposing the product's risk structure, we derive explicit closed-form solutions in the form of time-dependent double digital knock-out barrier options. This enables us to explore, in terms of the associated hedging greeks, the embeded risk characteristics of CPDOs and propose feasible delta-netral strategies that are feasible to hedge such products. Numerical simulations are subsequently performed to provide benchmark measures for the proposed hedging strategies.

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Morgan Stanley and MIT Computer Science

Collin-Dufresne, P., Goldstein, R. and Martin, J., 2001, “The Determinants of Credit Spread Changes”, Journal of Finance, Vol. 56, No. 6, 2177-2207.

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