现金抵押贷款债券的定价与风险测量

摘要

作为资产证券化的一个重要组成部分，现金贷款抵押债券(CLO)在金融交易市场占据了很大的比重。而目前为止的对于该类产品的定价与风险测量，业界与理论界仍在探索之中。将现行的CLO产品定价方法进行了改良，对其输入参数进行了合理的修正，力求找出一种更加合适的定价方法，并在此基础上，对此类产品的市场风险敏感度进行测量。%As a main part of asset securitization, collateralized loan obligation (CLO) played an impor-tant role in financial trading market. However, the industry and theorists still explored the pricing and risk measurement for this kind of products so far. This paper improved the current pricing method of CLO and corrected the related input parameters. The author wanted to find a more appropriate pricing method and gave a measurement to the sensitivity of market risk of this kind of products.