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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 廖咸興副教授(Hsien-Hsing Liao) | |
dc.contributor.author | Jing-Li Shen | en |
dc.contributor.author | 沈晉立 | zh_TW |
dc.date.accessioned | 2021-06-08T05:12:12Z | - |
dc.date.copyright | 2006-07-28 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-07-19 | |
dc.identifier.citation | 1. Alexander, C.O., “On the Covariance Matrices Used in Value at Risk Model”, The Journal of Derivatives, spring 1997, pp. 50-62
2. Berder, Tanya Styblo, ”VaR:Seductive but Dangerous”, Financial Analysts 3. Cox, C., J. E. Ingersoll and S. A. Ross, “A Theory of the Term Structure of Interest Rate”, Econometrica, 1985, Vol. 53, pp. 385-407 4. Davis, M. and V. Lo, “Infectious defaults”, Quantitative Finance 1, 2001, pp. 382-387 5. Duffie, D., Jun Pan, and Kenneth Singleton, Transform Analysis and Asset Pring for Affine Jump-Diffusions, Econometrica, Vol. 68, NO.6, pp. 1343-1376 6. Hendricks, D., “Evaluation of Value-at-Risk Models Using Historical Data”, Economic Policy Review, April 1996. 7. Hopper, G. P., “Value at Risk: A New Methodology for Measuring Portfolio Risk”, Business Review, July/August, 1996. 8. Jarrow, R. and F. Yu, “Counterparty risk and the pricing of defaultable securities”, The Journal of Finance 56, 2001, pp. 1765- 1799 9. Jorion, Philippr, Value at Risk, Second Edition, The McGraw-Hill Companies, Inc 10. J.P. Morgan, 1996, RiskMetrics Technical Document, 4th edtion 11. Laurent, J.P. and J. Gregory, “Baske Default Swaps, CDO’s and Factor Copulas”, working paper, 2003 12. Li D.X., “The Valuation of Basket Credit Derivatives”, CreditMetrics Monitor, April, 1999, pp. 34-50 13. Li D.X., “On Default Correlation: a Copula Approach”, Journal of Fixed Income, 9, March, 2000, pp. 34-50 14. Liao and Chen, “A multi-period Corporate Credit Model---An Intrinsic Valuation Approach”, working paper, 2004 15. Mieo, Wei-Cheng, “Quadratic Variation Estimators for Diffusion Models in Finance”, University of Southern California, Department of Mathematics, 2003 16. Schonbucher, J. and D. Schubert, “Copula-dependent default risk in intensity models”, working paper, 2001, Department of Statistics, Bonn University 17. Zhou, C., “An analysis of default correlations and multiple defaults”, The Review of Financial Studies, 2001, Vol. 14(2), pp. 555-576 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23896 | - |
dc.description.abstract | 在過去幾年中,擔保債權憑證這類型的信用資產投資組合是所有資產擔保證券中成長最快速的。因此,提高了風險管理對於信用資產投資組合的需求。然而,在大部分的信用資產投資組合中,其所包含的資產異質性相當高。由於上述的原因,造成信用資產投資組合在風險衡量方面愈益複雜。在本篇論文中,我們結合內部價值法以及因子關聯結構所計算出的預期回收率,將有助於我們對於風險性債券投資組合這類型信用資產投資組合進行信用風險調整,以便於計算風險性債券投資組合每天的風險值。 | zh_TW |
dc.description.abstract | Credit portfolio assets such as CDO (collateralized debt obligation) have the highest growth among all asset backed securities. This increases the demand for risk management of credit portfolio assets. Since most credit portfolios comprise heterogeneous credit assets, it makes the risk evaluation more complicated. This study combines an intrinsic valuation approach with factor copula to estimate endogenously expected recovery rate that are useful in estimating credit adjusted VaR of credit portfolios such as risky bond portfolios. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:12:12Z (GMT). No. of bitstreams: 1 ntu-95-R93723057-1.pdf: 381076 bytes, checksum: de5dc6d46d5f344afef960f8a1c9bb81 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | I. INTRODUCTION 1
II. METHODOLOGY 2 1. STOCHASTIC CASH FLOW MODEL 3 2. FACTOR GAUSSIAN COPULA 5 3. THE ADJUSTMENT OF RISKY CASH FLOW 6 A. Certainty Equivalent Cash Flow Method 7 B. Joint Probability Density Function of Portfolio 8 4. RISKMETRICSTM 11 A. Introduction to Delta-Normal Method and Delta-Gamma-Normal Method 12 B. Volatility Estimation and Forecasting 15 C. Mapping Cash Flow onto RiskMetrics Vertices 17 D. VaR Calculation 19 5. CIR MODEL 20 III. PARAMETERS ESTIMATION 22 1. ORNSTEIN-UHLENBECK PROCESS 22 2. C.I.R MODEL 23 IV. EMPIRICAL ANALYSIS 24 1. THE DATA 24 2. RESULT OF FACTOR ANALYSIS 26 3. PARAMETERS ESTIMATION OF THE STOCHASTIC MODEL OF INVISIBLE FACTOR AND C.I.R INTEREST RATE MODEL 27 4. EXPECTED RECOVERY RATE 28 5. EMPIRICAL RESULTS 29 A. Using Yield Term-Structure Simulated by C.I.R Model 30 B. Using Market Data of Yield Term-Structure 32 V. CONCLUSIONS 35 REFERENCE 36 | |
dc.language.iso | en | |
dc.title | 風險性債券投資組合之多期風險值預測-聯結內部價值法以及因子關聯結構 | zh_TW |
dc.title | Multi-Period VaR for Risky Bond Portfolio - A Combination of Intrinsic Value and Factor Copula Approach | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 林煜宗教授(Yu-Tsung Lin) | |
dc.contributor.oralexamcommittee | 李阿乙教授(E-Yi Li),張焯然副教授(Jow-Ran Chang) | |
dc.subject.keyword | 信用風險,債券投資組合,風險值, | zh_TW |
dc.subject.keyword | credit risk,bond portfolio,VaR, | en |
dc.relation.page | 37 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2006-07-21 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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