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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Ya-Lan Tao | en |
| dc.contributor.author | 陶亞蘭 | zh_TW |
| dc.date.accessioned | 2021-06-14T16:52:47Z | - |
| dc.date.available | 2008-08-05 | |
| dc.date.copyright | 2008-08-05 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-07-29 | |
| dc.identifier.citation | 中文部分
[1] 儲蓉，信用衍生性金融商品，財團法人台灣金融研訓院出版，2008年3月 [2] 黃裕烈，擔保債權憑證之評價：Copula 函數的應用，經濟論文，2006年3月 [3] 盧琬靖，擔保債權憑證之評價─探討批次證券之槓桿效果，台灣大學財務金融所碩士論文，2007年7月 英文部分 [1] Elizalde, Abel (2006), ”Credit Risk Models I: Default Correlation in Intensity Models”, CEMFI Working Paper No.0605. [2] Elizalde, Abel (2006), ”Credit Risk Models II: Structural Models”, CEMFI Working Paper No.0605. [3] Black, Fisher & Myron Scholes (1973), “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy 81, 81-98. [4] Black, Fisher & John C. Cox (1976), “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance 31, 351-367. [5] Collin-Dufresne, Pierre & Robert S., Goldstein (2001) “Do Credit Spreads Reflect Stationary Leverage Ratios”, Journal of Finance 56, 1929-1957. [6] Duffie, Darrell & Kenneth Singleton (1999), “Modeling Term Structures of Defaultable Bonds”, Review of Financial Studies 12, 687-720. [7] Laurent, Jean-Paul & Gregory, Jon (2003), “Basket Default Swaps, CDO’s and Factor Copulas”, Working Paper. [8] Li, David (1998), “Constructing a Credit Curve”, Credit Risk Special Report,40-44. [9] Li, David (2000), “On Default Correlation: A Copula Function Approach”, The Journal of Fixed Income, 43-54. [10] Longstaff, Francis.A & Eduardo.S, Schwartz (1995), “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt”, Journal of Finance 51, 987-1019. [11] Jarrow, Robert A. & Stuart M. Turnbull (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance 50(1), 53-86. [12] Jarrow, Robert A., David Lando & Sturat M. Turnbull (1997), “A Markov Model of the Term Structure of Credit Risk Spreads”, Review of Financial Studies 10(2), 481-523. [13] Geske, Robert (1977), “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis 12, 541-552. [14] Giesecke, Kay (2004), “Credit Risk Modeling and Valuation: An Introduction” , Working Paper.. [15] Giesecke, Kay & Weber, Stefan (2003) , “Cyclical Correlations, Credit Contagion and Portfolio Loss”, Journal of Banking and Finance. [16] McGinty, Lee & Beinstein, Eric & Ahluwalia, Rishad & Watts, Martin (2004), “Credit Correlation：A Guide”, JPMorgan. [17] McGinty, Lee & Beinstein, Eric & Ahluwalia, Rishad & Watts, Martin (2004), “Introducing Base Correlation”, JPMorgan. [18] McGinty, Lee & Ahluwalia, Rishad (2004), “A Model for Base Correlation Calculation”, JPMorgan. [19] Merton, Robert C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance 29, 449-470. [20] O’Kane, Dominic & Livesey, Matthew (2004), “Base Correlation Explained”, Lehman Brothers. [21] Vasicek, Oldrich (1987), “ Probability of Loss on Loan Portfolio” KMV Corporation. [22] Vasicek, Oldrich (1991), “ Limiting Loan Loss Distribution” KMV Corporation. [23] Vasicek, Oldrich (2002), “ Loan Portfolio Value”, Risk, 15, December, 160-162. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/40600 | - |
| dc.description.abstract | 在擔保債權憑證中，投資群組違約相關性的歷史資料並無法代表未來的違約相關性，因此進化成以市場交易的信用交換違約指數以及批次證券報價求算隱含違約相關性。求取的方法分別有Compound Correlation以及Base Correlation。Base Correlation會改善Compound Correlation 的correlation smile以及多重解的現象，並且可以評價客製化批次證券，目前市場上最常用的方法是JPMorgan的Base Correlation。
而若是要評價的投資群組與指數成分債權不符，則可以使用黃裕烈 (2006) 的方式模擬出信用違約交換指數以及批次證券指數公平溢酬。但是套用台灣資料以及Base Correlation時卻發現其違約機率被低估。未來研究方向將致力於改善違約累積機率的分配。 | zh_TW |
| dc.description.abstract | Historical default correlation of reference portfolio lacks predictability for CDO pricing, so default correlation needs to be implied from CDS index and Tranche Index traded by market investors. There are two ways , one is 「Compound Correlation」 and the other one is 「Base Correlation」。Base Correlation can improve the phenomenon of correlation smile and multiple solutions for Compound Correlation。It also can price bespoke tranche。The most popular approach is JPMorgan’s Base Correlation。
If the reference portfolio is inconsistent with the index reference portfolio，the solution is to use黃裕烈(2006) model to simulate market fair spreads of index and every tranches。But when using Taiwanese data and Base Correlation，the default probability is underestimated。Future researches will be focused on fitting the cumulated default probability for Taiwanese market。 | en |
| dc.description.provenance | Made available in DSpace on 2021-06-14T16:52:47Z (GMT). No. of bitstreams: 1 ntu-97-R95723065-1.pdf: 3264352 bytes, checksum: e26ae3afbdc8be57bb793413a595dce3 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | 第一章 前言……………………………………………………………1
第二章 擔保債權憑證(CDO)概述…………………………………… 3 2.1. CDO架構………………………………………………………… 3 2.2. 次級房貸風暴( Subprime Mortgage Crisis ) …………… 7 2.3. CDX以及iTraxx報價…………………………………………… 9 3.1. 信用風險模型………………………………………………… 11 3.2. 擔保債權憑證( CDO )評價模型…………………………… 15 第四章 模型介紹…………………………………………………… 17 4.1. Vasicek Asymptotic Single Factor Model……………… 18 4.2. Lehman Brothers求取隱含違約相關性方法……………… 20 4.2.1. Compound Correlation ………………………………… 23 4.2.2. Base Correlation ……………………………………… 25 4.2.3. 套利情況…………………………………………………… 27 4.3. JPMorgan求取隱含違約相關性方法………………………… 28 4.3.1. Compound Correlation…………………………………… 29 4.3.2. Base Correlation………………………………………… 33 4.3.3. 客製化批次證券( Bespoke Tranche )……………………39 4.4. 黃裕烈模型…………………………………………………… 40 第五章 實證分析…………………………………………………… 43 第六章 結論………………………………………………………… 51 參考文獻……………………………………………………………… 52 | |
| dc.language.iso | zh-TW | |
| dc.subject | 擔保債權憑證 | zh_TW |
| dc.subject | Compound Correlation | zh_TW |
| dc.subject | 批次證券 | zh_TW |
| dc.subject | Base Correlation | zh_TW |
| dc.subject | CDO | en |
| dc.subject | Base Correlation | en |
| dc.subject | Tranches | en |
| dc.subject | Compound Correlation | en |
| dc.title | 擔保債權憑證隱含違約相關性之研究─以台灣為例 | zh_TW |
| dc.title | Implied Correlation of CDO─Taiwan Study | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 謝承熹(Chengh-Si Hsieh),林信宏(Shin-Hung Lin) | |
| dc.subject.keyword | 擔保債權憑證,批次證券,Base Correlation,Compound Correlation, | zh_TW |
| dc.subject.keyword | CDO,Tranches,Base Correlation,Compound Correlation, | en |
| dc.relation.page | 53 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2008-07-31 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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