A Method for Designing CDO Conformed to Investment Parameters

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  • 投資条件に合わせた債務担保証券設計方式
  • トウシ ジョウケン ニ アワセタ サイム タンポ ショウケン セッケイ ホウシキ

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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.

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