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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
dc.contributor.author | Tse-Ju Wu | en |
dc.contributor.author | 吳則儒 | zh_TW |
dc.date.accessioned | 2021-06-08T04:45:32Z | - |
dc.date.copyright | 2009-08-20 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-07-31 | |
dc.identifier.citation | 參考文獻
中文部分 呂燕楨,抵押債權受益憑證—市場與結構,中央大學財務金融研究所碩士論文,91年6月 廖四郎、李福慶,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,94年6月。 盧琬靖,擔保債權憑證之評價—探討批次證券之槓桿效果,台灣大學財務金融研究所碩士論文,96年7月。 英文部分 Abel Elizalde, Jón G. Jónsson, Alberto Gallo, Atish Kakodkar, Santhosh Bandreddi (2007), “Pricing Cancellable LCDS,” Merrill Lynch Credit Derivative Strategy, 14 February 2007. Bank for International Settlement (2008), “Private Equity and Leveraged finance market,” CGFS papers, 30. Duffie, D., and K. Singleton. (1999), “Modeling Term Structures of Defaultable Bonds,” The Review of Financial Studies, 12, pp. 687-720. Hull, J. and White, A. (2000), “Valuing Credit Default Swaps I: No Counterparty Default Risk,” Journal of Derivatives, 1 (2000), p.29-40. Hull, J. & White, A., “Valuing Credit Default Swaps II: Modeling Default Correlations,” Journal of Derivatives, 3 (2001), p.12-22. Jarrow, R. A. and Protter, Philip (2004), “Structural versus Reduced-Form Models: A new information-based perspective,” Journal of Investment Management, 2, 1-10. Li, D. X. (1998), “Constructing a credit curve,” Risk, November 1998, 40-44. Li, D. X. (2000), “On Default Correlation: A Copula Function Approach,” Journal of Fixed Income, 9, 43-54. Kristen Haunss (2007), “Collateralized Debt Obligation Supplement: LCDO Market Taking Shape,” Institutional Investor News, 2007 Spring, 4. Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470. Morgan and Zheng (2007), “From CDS to LCDS: Accounting for Cancellation,” The Lehman Brothers Quantitative Credit Research, 29 October 2007. O’Kane, Dominic and Turnbull, Stuart (2003), “Valuation of Credit Default Swaps,” The Lehman Brothers Quantitative Credit Research, April 2003. The Lehman Brothers (2003), “Guide to Exotic Credit Derivatives.” | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23170 | - |
dc.description.abstract | 自從八零年代,到處都可以看到私募基金的蹤跡,尤其以他們最常用的融資收購最為廣為人知。九零年代開始,信用衍生性商品的開發以及研究逐漸成熟,以信用違約交換為根基的合成型商品也開始在這段吸引到投資人的目光。到了西元兩千年開始,大規模的金融創新,使得整個結構型信用商品市場進化到最能為大家所接受的規格。
信用移轉的工具,從最早的聯合貸款,到今日藉由證券化再將資產中的信用風險拿出來交易,發現資產價值,其中因為私募基金發展的迅速,抵押聯合貸款信用指數的重要性也隨之浮出檯面。本文將針對整個信用市場以及私募基金的發展有完整的研究,並且將信用違約交換指數加入貸款的特性後,根據有限的資料來研究其投資策略以及如何定價。 | zh_TW |
dc.description.abstract | Leveraged buyout has been well-known since the booming M&A deals in 1980’s. On the other hand, since 1990’s development of financial innovation, we have also witnessed the booming credit derivative market, and the products in this market could be in any possible forms since they are engineered to meet different demands. Recently in the early 21st century, the so-called financial derivative markets including equity derivative, currency derivative, interest rate derivative and the most popular and innovative credit derivative have evolved to a certain standardized platform and what’s more, the standardized concept with the large scale of financial innovation. Products in these markets have their own individual functions with a consistency.
Syndicated secured loans or the leveraged loans have all been an important target underlying assets or reference entities with the booming of private equity funds. They have to measure the funding cost by trading the corresponding credit derivative and even by modeling some random factors into its price. In this thesis study, my purpose is to understand how leveraged loans are related to the synthetic credit derivatives and how they work. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T04:45:32Z (GMT). No. of bitstreams: 1 ntu-98-R95724072-1.pdf: 1609408 bytes, checksum: 190d3de6b2689b64e7f48d41fc43493a (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 目 錄
誌 謝 ii 摘 要 iii Abstract iv 目 錄 v 圖目錄 vi 表目錄 vii 第一章 前言 1 第一節、 研究動機 1 第二節、 研究目的 2 第三節、 研究架構 3 第二章 聯貸市場介紹 6 第一節、 總覽 6 第二節、 信用衍生性商品 10 第三章 文獻回顧 29 第一節、 結構模型Structural Model 29 第二節、 縮減式模型 Reduced-Form Model 31 第四章 聯合抵押貸款 33 第五章 抵押貸款合成型信用指數 37 第六章 結論與建議 61 參考文獻 63 | |
dc.language.iso | zh-TW | |
dc.title | 預先還款事件對於抵押貸款合成型信用指數的影響 | zh_TW |
dc.title | The impact of prepayment on LCDX Index | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 邱宏仁(Hong-Jen Chiu) | |
dc.contributor.oralexamcommittee | 蔡偉澎,龔尚智 | |
dc.subject.keyword | 貸款,信用衍生性商品,違約機率,縮減式模型, | zh_TW |
dc.subject.keyword | LCDS,LBO,M&A,prepayment risk,counterparty, | en |
dc.relation.page | 64 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2009-07-31 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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