On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

• 成果类型: Article
• 署名作者: Collin-Dufresne, Pierre; Goldstein, Robert S.; Yang, Fan
• 署名单位: Columbia University; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2012.01779.x
• 发表日期: 2012
• 页码: 1983-2014
• 关键词: EMPIRICAL-ANALYSIS; Credit risk; structural models; term structure; default risk; volatility; bonds; jump; liquidity; disasters

摘要

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well priced out-of-sample before the crisis. During the crisis, however, our model can capture senior tranche prices only if we allow for the possibility of a catastrophic jump. Thus, senior tranches are nonredundant assets that provide a unique window into the pricing of catastrophic risk.