论文标题
结构化气候融资：CDO在不均匀资产库上的估值
Structured climate financing: valuation of CDOs on inhomogeneous asset pools
论文作者
论文摘要
最近，许多结构化资金成为了公私合作伙伴关系，目的是促进新兴市场可再生能源的投资。这些资金试图通过批准资产池和发行高信用质量的高级票据来吸引机构投资者。可再生能源（RE）项目的融资是通过两个渠道实现的：小型重新项目是通过当地银行间接融资的，这些银行从基金的资产中获取贷款，而大型RE项目则直接从基金中资助。在自下而上的高斯副群框架中，我们检查了高级批次的多元化特性和重新曝光。为此，我们介绍了LH ++模型，该模型将无限粒状贷款组合与有限数量的大贷款结合在一起。我们使用预期的批号（扮演贷款的默认概率），贷款价格和贷款贷款敏感性的角色相似，我们分析了高级批准的风险概况。我们展示了在资产池中间接和直接投资的组合如何影响高级批次对投资的敏感性，以及如何平衡所需的敏感性与目标信用质量和目标批量规模。
Recently, a number of structured funds have emerged as public-private partnerships with the intent of promoting investment in renewable energy in emerging markets. These funds seek to attract institutional investors by tranching the asset pool and issuing senior notes with a high credit quality. Financing of renewable energy (RE) projects is achieved via two channels: small RE projects are financed indirectly through local banks that draw loans from the fund's assets, whereas large RE projects are directly financed from the fund. In a bottom-up Gaussian copula framework, we examine the diversification properties and RE exposure of the senior tranche. To this end, we introduce the LH++ model, which combines a homogeneous infinitely granular loan portfolio with a finite number of large loans. Using expected tranche percentage notional (which takes a similar role as the default probability of a loan), tranche prices and tranche sensitivities in RE loans, we analyse the risk profile of the senior tranche. We show how the mix of indirect and direct RE investments in the asset pool affects the sensitivity of the senior tranche to RE investments and how to balance a desired sensitivity with a target credit quality and target tranche size.
