請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8643完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 沈中華 | |
| dc.contributor.author | Hang-Fu Cheng | en |
| dc.contributor.author | 鄭行甫 | zh_TW |
| dc.date.accessioned | 2021-05-20T19:59:13Z | - |
| dc.date.available | 2010-06-30 | |
| dc.date.available | 2021-05-20T19:59:13Z | - |
| dc.date.copyright | 2010-06-30 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-06-23 | |
| dc.identifier.citation | Beers D., and M. Cavanaugh (2008), “Sovereign Credit Ratings: A Primer.” S&P Ratings Direct.
Becker B. and T. Milbourn (2009), “Reputation and Competition: Evidence from the Credit Rating Industry.” Harvard Business School Working Papers, 09-051 David W. (2002), “Analyzing and managing country risks”, Ivey Business Journal, Jan/Feb 2002, Vol.66, Iss.3; pg. 36-42 Duffie D. and K. Singleton (1999) “Modeling Term Structures of Defaultable Bonds.” The Review of Financial Studies, 12, pp. 687-720. Ericsson J., K. Jacobs, and R. Oviedo (2005) “The Determinants of Credit Swap Premia.” Forthcoming at Journal of Financial and Quantitative Analysis. Remolona M., M. Scatinga, and E. Wu (2008), “A RATINGS-BASED APPROACH TO MEASURING SOVEREIGN RISK”. Frankel J. and A. Rose (1996), “Currency Crashes in Emerging Markets: An Empirical Treatment”, Journal of International Economics, 41, 351-366 Goldfain I. and R. Valdes (1998), “Are currency crises predictable?”, European Economic Review, 42, 873-885 Orhan M. and M. Solakoglu (2008), “The Credit Derivatives Handbook”, G.N. Gregoriou Ali P. (2008), “The Role of Macro and Country-Specific Factors on the Use of Credit Derivatives: Sovereign Credit Default Swap Market”, McGraw-Hill, 77-90 Gapen M., D. Gray, C. Lim, and Y. Xiao (2005), “Measuring and analyzing sovereign risk with contingent claims”, IMF Working Paper, No. 155, August Edison J. (2003), “Do indicators of financial crises work? An evaluation of an early warning system”, International Journal of Finance and Economics Longstaff F., S. Mithal, and E. Neis (2005), “Corporate yield spreads: default risk or liquidity? New evidence from the credit default swap market.” Journal of Finance 60, 2213-2253. Longstaff, F., H. Pedersen, and K. Singleton (2007) “How Sovereign is Sovereign Credit Risk?” Working Paper, National Bureau of Economic Research. Mellios C. and E. Paget-Blanc (2006), “Which Factors Determine Sovereign Credit Ratings?” European Journal of Finance 12, 361-377. Oshiro N. and Y. Saruwatari (2005), “Quantification of sovereign risk: using the information in equity market prices”, Emerging Markets Review 6: 346–362. Pan J. and K. Singleton (2005) “Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads” Working Paper, Massachusetts Institute of Technology and Stanford University. Nelson M. (1999), Charting the global recovery, 2009, World Bank, Credit Events definitions, ISDA 52 Packer B. (2003), “Sovereign Credit Default Swaps.” BIS Quarterly Review, December Shen C. (2009), “Determinants of sovereign credit default swap: evidence from emerging countries”, Working Paper, National Taiwan University. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/8643 | - |
| dc.description.abstract | 在金融海嘯與希臘信貸危機中，我們不斷發現公債信用違約交換與總體經濟數據領先國家主權評等變化之現象。因此，本研究藉由檢視前期公債信用違約交換與前期總體經濟數據與本期國家主權評等之關係，希望能提高預測國家風險之能力。在實證中，我們發現前期公債信用違約交換價格越高、前期GDP成長率越低、前期CPI越高、及前期私人消費占GDP之比重越高，則本期之國家主權評等越可能遭遇降等。本研究在實證過程中，將前期CDS依其前期國家主權評等所屬組別進一步進行組內相對處理後所得之前期相對CDS，進行預測本期國家主權評等之實證結果皆不顯著，我們認為主要反應了目前CDS市場中，有被設定為信用違約交換目標的公債國家相較於有獲得國家主權評等的國家，仍然屬於少數，因此其所蘊含市場對於國家風險的資訊量不足。 | zh_TW |
| dc.description.abstract | We’ve learned that sovereign CDS and economic data move in advance of sovereign credit ratings. Therefore, we check the relation between sovereign CDS one period ahead, economic data one period ahead, and current sovereign credit ratings to improve the ability of forecasting sovereign risk. According to our empirical result, the higher the previous sovereign CDS, the higher possibility to be downgrade; the lower the previous GDP growth rate, the higher possibility to be downgrade; the higher the previous CPI, the higher possibility to be downgrade; and the higher the private consumption over GDP, the higher possibility to be downgrade. Also, we find out that the relative CDS adjustment for inter-class is currently useless. We expect further research with the completion of CDS market. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-20T19:59:13Z (GMT). No. of bitstreams: 1 ntu-99-R97723041-1.pdf: 869326 bytes, checksum: e524d1110169f9896dad8e139411843d (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 目錄
誌謝 i 中文摘要 ii Abstract iii 目錄 iv 圖目錄 v 表目錄 vi 第一章 緒論 1 1.1 研究動機與目的 1 1.2 研究架構 3 第二章 文獻回顧 4 2.1 國家主權評等的相關研究 4 2.2 公債信用違約交換的相關研究 5 2.3 國家風險的相關研究 7 第三章 研究方法與模型建立 10 3.1 資料來源與研究對象 10 3.2 研究設計與流程 15 3.3 變數說明 18 第四章 實證分析與結果 23 4.1 基本統計量 23 4.2 觀察樣本之主權評等升降統計 25 4.3 以總體指標與公債信用違約交換預測主權信用評等 28 4.3 加入WGI 42 第五章 結論與建議 48 5.1 結論 48 5.2 研究限制與建議 49 參考文獻 50 | |
| dc.language.iso | zh-TW | |
| dc.title | 國家主權評等與主權信用違約交換 | zh_TW |
| dc.title | Forecasting Sovereign Credit Ratings by Sovereign Credit Default Swap | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 吳孟紋,黃宜侯,王建安 | |
| dc.subject.keyword | 預警模型,國家主權評等,總體經濟因子,公債信用違約交換, | zh_TW |
| dc.subject.keyword | Warning System,Ratings,Macroeconomic Factors,Sovereign Credit Default Swap, | en |
| dc.relation.page | 51 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2010-06-23 | |
| 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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