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???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
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dc.contributor.advisor | 廖咸興(Hsien-Hsing Liao) | |
dc.contributor.author | Ming-Chung Tao | en |
dc.contributor.author | 陶明宗 | zh_TW |
dc.date.accessioned | 2021-06-13T03:16:05Z | - |
dc.date.available | 2008-08-01 | |
dc.date.copyright | 2006-08-01 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-07-30 | |
dc.identifier.citation | Alain D. and Marco Szego, 2003, “The Fourier Transform Method – Overview”, International Structured Finance Special Report, Moodys.
Alain D. and Marco Szego, 2003, “The Fourier Transform – Technique Document”, International Structured Finance Working Paper, Moodys. Altman, Edward I. and Brooks Brady, 2002, “Explaining Aggregate Recovery Rates on Corporate Bond Defaults”, NYU Salomon Center. Carey, Mark and Michael Gordy, 2003, “Systematic Risk in Recoveries on Defaulted Debt”, mimeo, Federal Reserve Board, Washington. Frye, John, 2000a, “Collateral Damage”, Risk, April, 91-94. Frye, John, 2000b, “Collateral Damage Detected”, Federal Reserve Bank of Chicago, Working Paper, Emerging Issues Series, October, 1-14. Jarrow, Robert A., 2001, “Default Parameter Estimation Using Market Prices”, Financial Analysts Journal, Vol. 57, No. 5, pp. 75-92. Liao H. H. and Chen T, K., 2004, “a Multi-period Corporate Credit Model---an Intrinsic Valuation”, Working Paper. Merton, R., 1974, On the pricing of cooperate debt: The risk structure of interest rate. Journal of Finance, 28, 449-470. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/31624 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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). | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T03:16:05Z (GMT). No. of bitstreams: 1 ntu-95-R92723082-1.pdf: 373647 bytes, checksum: 8d1486085b38c5e8c5a0479102ad4622 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | 口試委員會審定書………………….…………………………… i
誌謝 ………………………………………………………………. ii 中文摘要…….…………………………………………………… iii 英文摘要…… ..……………………………………………………. iv 目錄…… ..…………………………………………………………. v 圖目…… ..…………………………………………………………. vi 表目…… ..…………………………………………………………. vii 第一章 序論………………………………………………… 1 第二章 研究方法…………………………………………… 3 2.1 多期隨機自由現金流量模型…………………………… 3 2.2 系統因子模型…………………………………………… 7 2.3 傅立葉轉法 ………………………………………… 10 2.4 資料處理與模擬………………………………………… 14 第三章 實證與應用………………………………………… 17 3.1 虛擬資產組合…………………………………………… 17 3.2 應用……………………………………………………… 19 3.2.1 資料來源 ………………………………………… 19 3.2.2 資料處理……………………………………………… 20 3.2.3 計算信用風險參數…………..……………………… 21 3.2.4 CBO群組切割 ………………………………………… 26 第四章 結論………………………………………………… 32 參考文獻……………………………………………………… 33 附錄…………………………………………………………… 34 | |
dc.language.iso | zh-TW | |
dc.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 | zh_TW |
dc.title | Collateralized Bond Obligation Credit Risk Evaluation: An Integration of Intrinsic Valuation and Fourier Transform Method | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 葉小蓁(Hsiaw-Chan Yeh) | |
dc.contributor.oralexamcommittee | 李阿乙,張焯然 | |
dc.subject.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, | zh_TW |
dc.subject.keyword | Collateralized Bond Obligation Credit Risk Evaluation,Intrinsic Valuation,Fourier Transform, | en |
dc.relation.page | 36 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2006-07-31 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
Appears in Collections: | 財務金融學系 |
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