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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31624
Title: | 債權抵押受益憑證信用風險評估-整合內部價值法及傅立葉轉換法 Collateralized Bond Obligation Credit Risk Evaluation: An Integration of Intrinsic Valuation and Fourier Transform Method |
Authors: | Ming-Chung Tao 陶明宗 |
Advisor: | 廖咸興(Hsien-Hsing Liao) |
Keyword: | 債權抵押受益憑證信用風險評估,內部價值法,傅立葉轉換法, Collateralized Bond Obligation Credit Risk Evaluation,Intrinsic Valuation,Fourier Transform, |
Publication Year : | 2006 |
Degree: | 碩士 |
Abstract: | 本文結合系統因子模型、多期自由現金流量模型及傅立葉轉換法,以建立一個處理資產組合信用風險的模型。
利用系統因子模型,可以將資產組合中,公司間自由現金流量聯結到共同的經濟狀態變數上,使得相關性的問題得以很容易的處理;利用隨機自由現金流量模型,可以模擬未來各期的公司價值,再和違約點比較,即可獲得違約機率;在給定某一經濟狀態下,各公司的違約機率為獨立的,所以可以利用傅立葉轉換法得到資產組合的違約和損失機率分配之估計。 實際應用上,利用所架構的模型,可以計算出未來不同時點的違約分配與損失分配之估計;再利用所得到的損失分配,可以對債權抵押受益憑證(CBO)的資產群組進行切割以獲得不同信用等級的證券即其評價。 The purpose of this research is to develop a portfolio credit risk evaluation model that not only provides estimations of portfolio default and loss distributions but also is simpler and flexible in implementing than other models. We adopt a cash-flow based structure form credit model and employ a Fourier Transform method with a factor model to handle the default correlation issues. By using this portfolio credit risk evaluation model, we can obtain the portfolio loss distributions in future periods and use it to design different credit rating trenches for a Collateralized Bond Obligation (CBO). |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31624 |
Fulltext Rights: | 有償授權 |
Appears in Collections: | 財務金融學系 |
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