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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22626完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 劉淑鶯(Shu-Ing Liu) | |
| dc.contributor.author | I-Shin Wu | en |
| dc.contributor.author | 吳宜欣 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:22:44Z | - |
| dc.date.copyright | 2010-07-05 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-07-01 | |
| dc.identifier.citation | Reference:
English: Hull, J. and A. White (2003), “The Valuation of Credit Default Swap Options’’, Journal of Derivatives, 10, pp.40-50. Hull, J. and A. White (2004), “Valuation of a CDO and nth to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, 12, pp.8-23. Hull, J. and A. White (2006), “Valuing Credit Derivatives Using an Implied Copula Approach, ” Journal of Derivatives,14, pp.14-28. Hull, J. (2006), “Options, Futures and Other Derivatives ”, 6th ed., Prentice-Hall, Englewood Cliffs. Hull, J. and A. White (2008), “Dynamical Models of Portfolio Credit Risk: A Simplified Approach ”, Journal of Derivatives, 15, pp.9-28. Lin, K. C. (2008), “Pricing Portfolio Credit Derivatives Using a Simplified Dynamical Model ”, National Taiwan University, Master Dissertation. Laurent, J. P. and J. Gregory (2003), “Basket Default Swaps, CDO and Factor Copulas ”, Working paper, IFSA Actuarial School, University of Lyon. Li, D. X. (2000), “On Default Correlation: A Copula Approach ”, Journal of Fixed Income, 4, pp.43-54. Li, D. X. (2002), “Valuing Synthetic CDO Tranches Using Copula Function Approach ”, The Risk Metrics Group Working paper. Lyun, Y. D. (2002), “ Financial Engineering and Computation: Principles, Mathematics, and Algorithms ”, Cambridge University Press, Cambridge. Chinese: 劉淑鶯與蔡尚格(2009), “擔保債權憑證之評價－多因子模型和 KMV 模型之探 討”,中國經濟評論 ,第九卷第六期, 1-11頁。 廖四郎與李福慶(2005),“擔保債權憑證之評價-Copula 分析法”,台灣金融財務季刊,第六輯第二期,53-84頁。 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22626 | - |
| dc.description.abstract | 本文藉由重設Hull和White (2008) 所提出來的動態模型，探討在不同危險率結構的假設下，模擬資料和市場資料的誤差，得到較佳的危險率結構為隨著時間先上升再下降，並非傳統的常數函數，這與從慕迪累積違約機率表所得到的的結果相互呼應。另一方面，由於跳耀是動態模型的重要特徵，我們也比較了動態模型中有無跳躍的模擬資料，發現當動態模型中缺少跳躍時，會低估較高損失的機率。最後探討在不同危險率結構的假設下，其公司違約家數機率分布圖的性質。並且利用卡方分配來逼近公司違約家數機率分布圖。 | zh_TW |
| dc.description.abstract | This thesis revises the model proposed by Hull and White (2008). We discuss the errors between the simulation data and the market data under the different assumptions of the hazard rate. We find as time goes by, the structure of the hazard rate rises firstly and declines finally is better than the constant traditionally. The result is consistent with the outcome we obtain form the Moody’s cumulative default probability. On the other hand, the jump is the important characteristic of the dynamical model, so we compare the simulation data between the dynamical model with jump and the dynamical model without jump. We find the dynamical model without jump has the low-estimated probability which absorb higher loss. Finally, we discuss the properties of the probability distribution of the number of the defaults, and use the chi-square distribution to approximate it. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:22:44Z (GMT). No. of bitstreams: 1 ntu-99-R95221003-1.pdf: 518285 bytes, checksum: 96a949bc45d04614b7fe32a8c9d635d8 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 目錄
口試委員會審定書 中文摘要…………………………………………………………………i 英文摘要…………………………………………………………………ii 1. Introduction...........................................1 1.1 Motivation..........................................2 1.2 Structures of this thesis...........................4 2. Literature review......................................7 2.1 Credit derivatives..................................7 2.2 Static model........................................8 2.3 Dynamical model.....................................11 3. Research method........................................14 3.1 An introduction to the model........................14 3.2 The probability distribution of the number of the defaults............................................18 3.3 Propose the model...................................18 4. Real data analysis.....................................26 4.1 Estimate parameters.................................26 4.2 The comparison of the models........................29 5. Conclusion and suggestions.............................41 Reference.................................................43 Appendix..................................................45 | |
| dc.language.iso | en | |
| dc.title | 動態系統下違約機率模型之探討 | zh_TW |
| dc.title | The discussion about the default probability under the dynamical model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李詩政,彭柏堅 | |
| dc.subject.keyword | 高斯接合模型,動態模型,危險率,違約損失分配,卡方分配, | zh_TW |
| dc.subject.keyword | Gaussian-copula model,dynamical model,hazard rate,loss, | en |
| dc.relation.page | 47 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-07-01 | |
| dc.contributor.author-college | 理學院 | zh_TW |
| dc.contributor.author-dept | 數學研究所 | zh_TW |
| 顯示於系所單位： | 數學系 | |
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