CAJ | 학술논문

借鉴抵押债务契约的定价方法，应用时变t-Copula对抵押外汇契约（CFXO）进行了定价研究。首先，给出了CFXO的理论定价模型；然后，应用时变t-Copula对基于美元、日元、欧元和英镑两两之间汇率的CFXO进行了数值定价计算，其中，t-Copula的相关系数是时变的，可以用来刻画标的汇率之间随时间变化的相关性。CFXO是一款新型外汇衍生产品，可以使投资者获得关于一揽子外汇资产的暴露评级，并同时从相应所选择的部分到期，收益率以及评级中获益。该产品为投资者投资组合的多样化提供了一个十分有效的工具。
차감저압채무계약적정개방법，응용시변t-Copula대저압외회계약（CFXO）진행료정개연구。수선，급출료CFXO적이론정개모형；연후，응용시변t-Copula대기우미원、일원、구원화영방량량지간회솔적CFXO진행료수치정개계산，기중，t-Copula적상관계수시시변적，가이용래각화표적회솔지간수시간변화적상관성。CFXO시일관신형외회연생산품，가이사투자자획득관우일람자외회자산적폭로평급，병동시종상응소선택적부분도기，수익솔이급평급중획익。해산품위투자자투자조합적다양화제공료일개십분유효적공구。
In this paper we apply time-varying t-copulas to price a CFXO borrowing the pricing method for CDOs （eollateralized debt obligations）. We first give the theoretical pricing model for a CFXO, and then we apply time-varying t-copula to calculate the price for a CFXO written on the exchange rates between U.S. dollar, Japanese yen, Great British Pound and Euro. With the correlation coefficient time-varying, t-copula can be used to describe the time varying correlation between exchange rates. CFXO （Collateralized Foreign Exchange Obligation） is a new kind of foreign exchange derivatives, allowing risk protection buyers to hedge the foreign exchange risk for a basket of currency assets, and at the same time allowing protection sellers to benefit from chosen tranche. CFXO provides a new effective portfolio diversification tool for investors.