학회소식
[2012년 제 3차] Economic Catastrophe Bonds: Comment
작성자 : 관리자
조회수 : 1065
게시일 :
2012-08-29
Coval, Jurek and Stafford (2009, hereafter CJS) present a state-contingent framework for pricing CDO, in which they integrate the generalized form of Merton’s (1974) structural model with the CAPM. We demonstrate that this seemingly intuitive model violates a risk-neutral valuation relationship, and therefore results in biased state-contingent payoffs of the firm’s asset. We suggest a correct and generalized model, and revisit the pricing of CDO. We argue that this modification, though not translating into any significant difference in pricing traded CDOs, enable CJS to be a more accurate and strict, and thus powerful one.
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