請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38748
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 郭震坤 | |
dc.contributor.author | Chien-Hung Lin | en |
dc.contributor.author | 林建宏 | zh_TW |
dc.date.accessioned | 2021-06-13T16:44:33Z | - |
dc.date.available | 2005-07-04 | |
dc.date.copyright | 2005-07-04 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-06-29 | |
dc.identifier.citation | Bluhm Christian, 2003, CDO Modeling: Techniques, Examples and Applications, Working paper, Hypo Vereinsbank.
Cherubini, U., Luciano, E., and Vecchiato, W., 2004, Copula Methods in Finance, John Wiley and Sons, Ltd. Lee Chih-wei, Kuo Chengi-Kun, and Urratia Jorge Luis, 2004, A Poisson Model with Common Shocks for CDO Valuation, The Journal of Fixed Income, December, V14, pp.72-81. Duffie , Darrell, and Nicolae Garleanu, 2001, Risk and Valuation of Collateralized Debt Obligations, Financial Analysis Journal, 57(1) , pp.41-59. Duffie, D. and K. Singleton, 1999, Econometric Modeling of Term Structure of Defaultable Bonds”, Review of Financial Studies, Vol. 12, No. 4, pp.687-720. Embreches, Paul, Alexander J. McNeil, and Daniel Straumann, 2001, Correlation and Dependence in Risk Management, Risk Management: Value at Risk and Beyond. Cambridge: Cambridge University Press. Frey, R. and McNeil, A.J., 2001, Copulas and credit models, Working paper Frees, E.W., and Valdez, E., 1998, Understanding Relationships Using Copulas, North American Actuarial Journal, Vol.2, No.1, pp. 1-25. Galiani, S., 2003, Copula Functions and their Application in Pricing and Risk Managing Multiname Credit Derivative Products, Working paper Giesecke, K., 2003, A Simple Exponential Model for Dependent Defaults, The Journal of Fixed Income, December, pp. 74-83. Hull, J., 2003, Options, Futures, and Other Derivatives, 4th Edition, Prentice Hall. Jarrow, R. and S. Turnbull, 1995, “Pricing Options on Financial Securities Subject to Default Risk,” Journal of Finance, Vol. 50, No. 1, pp. 53-86. Jarrow, R.A., and Yu, F., 2001, Counterparty Risk and the Pricing of Defaultable Securities, Journal of Finance, 56, 1765-1800. Kealhofer, S., 1998, Uses and Abuses of Bond Default Rates, Working paper Lando, D., 1998, On Cox processes and credit risky securities, Review of Derivatives Research, 2, pp. 99-120 Li, D., 2000, “On Default Correlation: A Copula Function Approach,” Journal of Fixed Income, pp. 43-54. Marrison, C., 2002, The Fundamentals of Risk Measurement Mashal, R., and Zeevi, A., 2002, Beyond correlation: Extreme co-movements between financial assets, Columbia Business School, Working paper. Merton, R., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, Vol. 29, 1974, pp. 449-470. Nagpal, K., and Bahar, R., 2001, Measuring default correlation, Risk, March, 129-132 Nelsen, R.B., 1999, An introduction to copulas, Letures Notes in Statistics, New York: Spring-Verlag. Skora, R., 1998, Rational Modeling of Credit Risk and Credit derivatives, Credit Derivatives Risk Publications Sklar, A., 1973, Random Variables, Joint Distribution Functions and copulas, Kybernetika, 9, pp. 449-460. Zhou, C., “An Analysis of Default Correlations and Multiple Defaults,” Review of Financial Studies, Vol. 14, No. 2, 2001, pp.555-576. 儲蓉,CDO論述¾證券化的新主流,證券櫃檯月刊75(2002) | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/38748 | - |
dc.description.abstract | 對於擔保債權憑證的評價方法,目前最廣為接受的是Copula模式。一般認為Copula模式可對倒帳相關性有較適當的描述,且若與蒙地卡羅模擬法搭配,可以有效完成擔保債權憑證的評價。但Copula函數可有數種型式,到目前為止,尚無文獻試圖找出何種Copula函數是最適用的,本篇論文即是希望發展出一套方法來選擇最適的Copula函數。
本篇研究比較四種Copula函數(Gaussian, t, Clayton, Exponential copula),且以三個衡量構面來比較各Copula的差異:Simulation速度、Calibration便利性、及Tail Dependence構面。以往文獻只就Copula Function的Tail Dependence性質進行比較,並未對不同CDO之資產群組作深入分析。因此,本篇研究提出一套方法來將Tail Dependence應用至CDO商品上,使得此CDO最適Copula Function的尋找更為完善。 | zh_TW |
dc.description.abstract | For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively. However, several forms of copula functions have been proposed. And attempts to compare these functions based on different dimensions such as the speed of simulation, the ease of calibration, and tail dependence structure have been conducted.
In this paper, we propose a way to extend the tail dependence as to take into account the asset structure of different CDOs. With the extension, the search of the most appropriate copula function will be more complete. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T16:44:33Z (GMT). No. of bitstreams: 1 ntu-94-R92724085-1.pdf: 461868 bytes, checksum: d6cb0761c74cee8aaaeafe6125d78954 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | Section 1: Introduction 1
Section 2: Literature review 5 Section 3: Copula Function 9 Section 4: Comparison 20 4.1 Simulation 20 4.2 Calibration 26 4.3 Tail Dependence 29 4.4 Extension 37 Section5: CDO Valuation and Conclusion 42 Reference 46 | |
dc.language.iso | en | |
dc.title | 擔保債權憑證評價:各種copula模式之比較 | zh_TW |
dc.title | The Copula Approach to CDO valuation: A comparison study | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李顯峰,李志偉 | |
dc.subject.keyword | 擔保債權憑證,倒帳相關性, | zh_TW |
dc.subject.keyword | Copula,CDO,tail dependence, | en |
dc.relation.page | 48 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2005-06-30 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-94-1.pdf 目前未授權公開取用 | 451.04 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。