基于时变t-Copula的抵押外汇契约定价研究

摘要

In this paper we apply time-varying t-copulas to price a CFXO borrowing the pricing method for CDOs (collateralized debt obligations). We first give the theoretical pricing model for a CFXO, and then we apply time-varying t-copula to calculate the price for a CFXO written on the exchange rates between U. S. dollar, Japanese yen, Great British Pound and Euro. With the correlation coefficient time-varying, t-copula can be used to describe the time varying correlation between exchange rates. CFXO (Collateralized Foreign Exchange Obligation) is a new kind of foreign exchange derivatives, allowing risk protection buyers to hedge the foreign exchange risk for a basket of currency assets, and at the same time allowing protection sellers to benefit from chosen tranche. CFXO provides a new effective portfolio diversification tool for investors.%借鉴抵押债务契约的定价方法,应用时变t-Copula对抵押外汇契约(CFXO)进行了定价研究.首先,给出了CFXO的理论定价模型；然后,应用时变t-Copula对基于美元、日元、欧元和英镑两两之间汇率的CFXO进行了数值定价计算,其中,t-Copula的相关系数是时变的,可以用来刻画标的汇率之间随时间变化的相关性.CFXO是一款新型外汇衍生产品,可以使投资者获得关于一揽子外汇资产的暴露评级,并同时从相应所选择的部分到期,收益率以及评级中获益.该产品为投资者投资组合的多样化提供了一个十分有效的工具.