An Empirical Analysis of the Pricing of Collateralized Debt Obligations
利用CDO价格数据，研究市场对企业违约聚集的预期，发现CDX指数分券定价中65%源于公司特定违约风险，27%源于行业聚集风险，8%源于系统性风险。
ABSTRACT We use the information in collateralized debt obligations (CDO) prices to study market expectations about how corporate defaults cluster. A three‐factor portfolio credit model explains virtually all of the time‐series and cross‐sectional variation in an extensive data set of CDX index tranche prices. Tranches are priced as if losses of 0.4%, 6%, and 35% of the portfolio occur with expected frequencies of 1.2, 41.5, and 763 years, respectively. On average, 65% of the CDX spread is due to firm‐specific default risk, 27% to clustered industry or sector default risk, and 8% to catastrophic or systemic default risk.