在Factor Copula模式下擔保債權憑證(CDO)之評價

Po-Chang Wu; 吳柏樟

請用此 Handle URI 來引用此文件： http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29491

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.advisor	李賢源
dc.contributor.author	Po-Chang Wu	en
dc.contributor.author	吳柏樟	zh_TW
dc.date.accessioned	2021-06-13T01:08:28Z	-
dc.date.available	2017-07-23
dc.date.copyright	2007-07-27
dc.date.issued	2007
dc.date.submitted	2007-07-23
dc.identifier.citation	中文部分 1、林鴻坤，『利用Merton模型衡量擔保債權憑證（CDO）違約風險』，2004年，台灣大學財務金融研究所碩士論文。 2、廖四郎、李福慶，『擔保債權憑證之評價—Copula分析法』。 3、張耀洲，『擔保債權憑證之評價—BET、Copula與Factor Copula方法之比較與分析』，2005年，政治大學金融研究所碩士論文。 4、呂建霖，『信用衍生性商品—CDO之評價與分析』，2005年，政治大學金融研究所碩士論文。英文部分 1、 Alessandro Juri, Mario V. Wüthrich, (2002) ”Copula Convergence Theorems for Tail Events.” Insurance: Mathematics and Economics 30(2002), 405-420 2、 Andrei Greenberg, Dominic O’Kane, Lutz Schloegl, (2004) “LH+:A Fast Analytical Model for CDO Hedging and Risk Management.” Lehman Brothers, Quantitative Credit Reserch Quarterly, 19-31 3、 Anna Kalemanova, Bernd Schemid, and Ralf Werner, (2007)“The Normal Inverse Gaussian Distribution for Synthetic CDO Pricing.” The Journal of Derivatives, (Spring), 80-93. 4、 Annelis Lüscher, (2005) “Symthetic CDO Pricing Using the Double Normal Inverse Gaussian Copula With Stochastic Factor Loadings.” 5、 Collateralized Debt Obligation Pricing Method Introduction, working paper, S&P. 6、 David X. Li, (2000)“On Default Correlation: A Copula Finction Approach.”Journal of Fixed Income 9(4), March, 43-54. 7、 David X. Li, (1998)“Constructing a Credit Curve.”Journal of Risk, 40-44. 8、 Davide Meneguzzo and Walter Vecchiato, (2004) “Copula Sensitivity In Collateralized Debt Obligations And Basket Default Swaps.” Journal of Futures Markets, Vol. 24, No. 1, 37-70. 9、 Debbie J. Dupuis and Bruce L. Jones, “Multivariate Extreme Value Theory and Its Usefulness In Understanding Risk.”North American Actuarial Journal. 10、 John Hull and Alan White, (2006)“Valuing Credit Derivatives Using an Implieed Copula Approach.”The Journal of Derivatives, Winter, 8-28. 11、 John Hull and Alan White, (2004)“Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation.” The Journal of Derivatives, Winter, 8-23. 12、 Jörn Rank (Editor), (2007) Copulas −From Theory to Application in Finance. Risk Books. London. 13、 Key Giesecke, (2004)“ Credit Risk Modeling And Valuation: An Introduction.”, Credit Risk: Models and Management, Vol. 2, D. Shimko (Editor), Riskbooks, London. 14、 Martijn van der Voort, (2007) “Factor Copulas: External Defaults.” The Journal of Derivatives, Spring, 94-102. 15、 Michael Pykhtin, Ashish Dev, (2002) “Credit Risk In Asset Securitisations: An Analytical Model.” Journal of Risk, May, s17-s20. 16、 Rüdiger Frey, Alexander McNeil, Mark Nyfeler, (2001) “Copulas and Credit Models.” Journal of Risk, October, 111-114. 17、 Roger B. Nelsen, (2006) An Introduction to Copulas. Second Edition, Springer. 18、 Umberto Cherubini, Elisa Luciano, Walter Vacchiato, (2004) Copula Methods in Finance. Wiley. 19、 Vasicek O, (1984)“Credit Valuation.”, KMV Corporation. 20、 Vasicek O, (1987)“Probability of Loss on Loan Portfolio.”, KMV Corporation. 21、 Vasicek O, (1991)“Limiting Loan Loss Probability Distribution.”, KMV Corporation. 22、 Vasicek O, (2002)“The Distribution of Loan Portfolio.”, Journal of Risk. 23、 Vladislav Peretyatkin, (2006)“HPM+: A Fast Analytical Model to Price Synthetic CDOs.”, working paper. 24、 X. Burtschell, J. Gregory, J-P. Laurent, (2005)“Beyond the Gaussian Copula: Stochastic and Local Correlation”, working paper.
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/29491	-
dc.description.abstract	擔保債權憑證（Collateralized Debt Obligation：CDO）為近年來發展迅速的資產擔保證券（Asset Backed Security）之一。其架構主要有一固定收益債權之債券或貸款組合，經由特殊目的公司（Special Purpose Vehicle, SPV）將此債權或貸款群組加以重組證券化包裝後，再依不同信用品質來區分各種等級之分券（Tranche）銷售給投資人，債權產生的現金流量就依照證券發行所設定之條件付息給一般投資人。在CDO整個架構上，信用風險為整個商品架構上影響最大的部分，因此首先需建構單一資產之違約模式，與債權群組之違約相關性，進而計算證券化之後所應該給予投資人之分券溢酬。其中，本文主要探討資產群組的聯合違約相關性與建構聯合違約機率分配，在文獻上以copula方法最廣為大眾接受，而copula方法在模型上的選擇，會影響評價之準確性與操作上的效率，且由文獻指出選擇方式上並無一固定之準則。本文利用factor copula來建構資產群組織聯合違約機率分配，再予以評價，並比較factor copula在模式的調整上是否有顯著差異，進而尋求較佳的評價方式。	zh_TW
dc.description.abstract	In recently years, credit derivatives become more and more popular. Collateralized Debt Obligation is one of the credit derivatives and the trading volumes are growing fast. CDO is backed by a pool of portfolio and then tranched. When pricing CDO, it is an important thing that gets the correlation amount the portfolio that consists lots kind of assets. Copula method is one of the most efficient way to solve this problem. In this paper, we provide factor copula to price the premium of CDO. By comparing many types of factor copula, we want to find out which types of factor copula are useful and efficient.	en
dc.description.provenance	Made available in DSpace on 2021-06-13T01:08:28Z (GMT). No. of bitstreams: 1 ntu-96-R94723060-1.pdf: 688413 bytes, checksum: 20671dd648e9b1b985a7a604aad5bf64 (MD5) Previous issue date: 2007	en
dc.description.tableofcontents	第一章緒論 1 第一節、擔保債權憑證（CDO）簡介 1 第二章文獻回顧 8 第一節、信用風險模型 8 第三章評價模式 11 第一節、模式介紹 11 第二節、其他Factor Copula模式介紹 16 第四章 Copula函數 20 第一節、Copula介紹 20 第二節、相關性 26 第五章實證說明 28 第一節、方法說明 28 第二節、CDO評價方式 29 第三節、實證方法說明 33 第六章結論 42 參考文獻 43
dc.language.iso	zh-TW
dc.subject	評價方法	zh_TW
dc.subject	擔保債權憑證	zh_TW
dc.subject	factor copula	en
dc.subject	cdo	en
dc.title	在Factor Copula模式下擔保債權憑證(CDO)之評價	zh_TW
dc.title	Pricing CDO with Factor Copula Method	en
dc.type	Thesis
dc.date.schoolyear	95-2
dc.description.degree	碩士
dc.contributor.oralexamcommittee	蔡偉澎,黃裕烈
dc.subject.keyword	擔保債權憑證,評價方法,	zh_TW
dc.subject.keyword	factor copula,cdo,	en
dc.relation.page	45
dc.rights.note	有償授權
dc.date.accepted	2007-07-23
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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