投資条件に合わせた債務担保証券設計方式 A Method for Designing CDO Conformed to Investment Parameters

この論文にアクセスする

この論文をさがす

著者

抄録

We propose a method for designing CDO (Collateralized Debt Obligation) that meets investor needs about attributes of CDO. It is demonstrated that adjusting attributes (that are credit capability and issue amount) of CDO to investors' preferences causes a capital loss risk that the agent takes. We formulate a CDO optimization problem by defining an objective function using the above risk and by setting constraints that arise from investor needs and a risk premium that is paid for the agent. Our prototype experiment, in which fictitious underlying obligations and investor needs are given, verifies that CDOs can be designed without opportunity loss and dead stock loss, and that the capital loss is not more than thousandth part of the amount of annual payment under guarantee for small and midium-sized enterprises by a general credit guarantee institution.

収録刊行物

  • 電気学会論文誌. C, 電子・情報・システム部門誌 = The transactions of the Institute of Electrical Engineers of Japan. C, A publication of Electronics, Information and System Society  

    電気学会論文誌. C, 電子・情報・システム部門誌 = The transactions of the Institute of Electrical Engineers of Japan. C, A publication of Electronics, Information and System Society 126(8), 1026-1032, 2006-08-01 

    The Institute of Electrical Engineers of Japan

参考文献:  18件

参考文献を見るにはログインが必要です。ユーザIDをお持ちでない方は新規登録してください。

被引用文献:  2件

被引用文献を見るにはログインが必要です。ユーザIDをお持ちでない方は新規登録してください。

各種コード

  • NII論文ID(NAID)
    10018181954
  • NII書誌ID(NCID)
    AN10065950
  • 本文言語コード
    JPN
  • 資料種別
    ART
  • ISSN
    03854221
  • NDL 記事登録ID
    8054469
  • NDL 雑誌分類
    ZN31(科学技術--電気工学・電気機械工業)
  • NDL 請求記号
    Z16-795
  • データ提供元
    CJP書誌  CJP引用  NDL  J-STAGE 
ページトップへ