定制CDO份额和其他组合信用衍生品的隐含多因子模型
Implied Multi-Factor Model for Bespoke CDO Tranches and other Portfolio Credit Derivatives
摘要：
本文介绍了一种新的半参数方法的定价和风险管理的定制CDO份额，特别注意定制，需要映射到一个以上的参考组合。在我们的框架中，唯一的用户输入是指数投资组合的多因子模型（以下称为“先验”模型），如CDX.NA.IG或iTraxx Europe，它们被选为给定定制CDO定价的基准证券。先前模型的参数是固定的，并且不调整以匹配基准指数份额的价格。相反，我们的校准过程相当于使用最小交叉熵方法对先前测量进行适当的重新加权。由于后者的问题减少到凸优化在一个低维空间，我们的模型是计算效率。这两个静态（一个时期）和动态版本的模型。后者可用于定价和风险管理更奇特的工具参考定制的投资组合，如前瞻性启动份额或份额期权，并用于计算定制份额的信用估值调整（CVA）。
英文摘要：
This paper introduces a new semi-parametric approach to the pricing and risk management of bespoke CDO tranches, with a particular attention to bespokes that need to be mapped onto more than one reference portfolio. The only user input in our framework is a multi-factor model (a "prior" model hereafter) for index portfolios, such as CDX.NA.IG or iTraxx Europe, that are chosen as benchmark securities for the pricing of a given bespoke CDO. Parameters of the prior model are fixed, and not tuned to match prices of benchmark index tranches. Instead, our calibration procedure amounts to a proper reweightening of the prior measure using the Minimum Cross Entropy method. As the latter problem reduces to convex optimization in a low dimensional space, our model is computationally efficient. Both the static (one-period) and dynamic versions of the model are presented. The latter can be used for pricing and risk management of more exotic instruments referencing bespoke portfolios, such as forward-starting tranches or tranche options, and for calculation of credit valuation adjustment (CVA) for bespoke tranches.
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