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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
dc.contributor.author | Tse-Wen Juan | en |
dc.contributor.author | 阮澤文 | zh_TW |
dc.date.accessioned | 2021-06-08T04:24:08Z | - |
dc.date.copyright | 2010-06-30 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-06-23 | |
dc.identifier.citation | 英文部分
Black, F. and M. Scholes (1973), “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 81-98. Black, F. and J. C. Cox (1976), “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, 351-367. Chen, Z. and P. Glasserman (2008), “Fast Pricing of Basket Default Swaps,” Operations Research, 56(2), 286-303. Chiang, M. H., M. L. Yueh and M. H. Hsieh (2007), “An Efficient Algorithm for Basket Default Swap Valuation,” Journal of Derivatives, 15(2), 8-19 Duffie, D. and K. Singleton (1999), “Modeling Term Structures of Defaultable Bonds,” Review of Financial Studies, 12, 687-720. Hull, J. and A. White (2004), “Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation,” Journal of Derivatives, 12(2), 8-48. Jarrow, R. A. and S. M. Turnbull (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, 50(1), 53-86. Jarrow, R., D. Lando, and S. Turnbull (1997), “A Markov Model for The Term Structure of Credit Spread,” Review of Financial Studies, 10, 481-523. Joshi, M. S. and D. Kainth (2004), “Rapid and Accurate Development of Prices and Greeks for Nth to Default Credit Swaps in the Li Model,” Quantitative Finance, 4, 266-275. Li, D. X. (2000), “On Default Correlation: a Copula Function Approach,” Journal of Fixed Income, 9, 43-54. Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470. Vasicek, Oldrich (1987), “Probability of Loss on Loan Portfolio,” KMV Corporation. Vasicek, Oldrich (1991), “Limiting Loan Loss Distribution,” KMV Corporation. Vasicek, Oldrich (2002), “Loan Portfolio Value,” Risk, 15, December, 160-162. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22671 | - |
dc.description.abstract | 2006年至2009年,全球金融市場陸續經歷次級房貸與金融海嘯,台灣亦不例外。但由於台灣缺乏信用交易市場,我們無法直接由市場中觀察信用價差了解台灣信用風險之變化。因此本文透過蒙地卡羅模擬,以非金融機構企業構成擔保債權憑證之債權群組,模擬台灣市場的信用風險,並加入Importance sampling抽樣方式,降低違約機率低估之可能性。由信用價差的模擬結果發現台灣市場的違約風險在07年次貸時僅微幅上升,08年金融海嘯使得信用價差驟升,09年回跌但仍較06、07年為高。此外,在加入Importance sampling抽樣後,各批次證券模擬之信用價差皆有提升,但幅度卻因批次證券順位不同而有所差異。最後,本文發現不同債權群組之Index信用價差僅能反映各群組平均的違約風險,無法比較群組間特定批次證券之違約風險,亦即Index信用價差較低之群組無法保證該群組所有批次證券的信用價差皆會較低。 | zh_TW |
dc.description.abstract | Global financial markets, including Taiwan, have experienced Subprime and Financial Tsunami since 2006. However, we can’t infer the default risk in Taiwan from market spread in that there is no CDS trading market in Taiwan. In order to discover the credit spread of Taiwan, this thesis uses Monte Carlo simulation to price the CDO whose reference portfolio consists of nonfinancial firm in Taiwan. Moreover, we add importance sampling technique in simulation process to avoid underestimating default probablity. From the pricing result, we discover that the default risk in Taiwan increased only slightly in 2007, but jumped to historical high in 2008 and recovered in 2009. In addition, the spread of each CDO tranche increased after applying importance sampling but the level of increment depends on the tranche order. Finally, we discover that index spread can only reflect the average default risk of reference portfolio. It’s unable to compare the default risk of a specific tranche between two CDOs. A CDO with lower index spread doesn’t mean to have lower spreads in all other tranches. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T04:24:08Z (GMT). No. of bitstreams: 1 ntu-99-R97723079-1.pdf: 4398098 bytes, checksum: 0b45635cf93e653db52a753b9db6a754 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 誌謝.................................................................................................................................i
摘要................................................................................................................................ii Abstract.........................................................................................................................iii 目錄...............................................................................................................................iv 圖目錄...........................................................................................................................vi 表目錄..........................................................................................................................vii 第一章、 緒論.............................................................................................................1 第二章、 擔保債權憑證介紹.....................................................................................4 2.1 CDO基本架構與批次證券結構..................................................................4 2.2 CDO之類型..................................................................................................6 2.3 CDO在台灣發展情形..................................................................................8 2.4 nth-to-default swap.........................................................................................8 第三章、 文獻回顧....................................................................................................11 3.1 信用風險模型..............................................................................................11 3.2 CDO評價模型.............................................................................................12 3.3 Importance sampling....................................................................................13 第四章、 研究方法....................................................................................................15 4.1 以選擇權模型衡量違約風險......................................................................15 4.2 建立群組違約時點:Copula函數.............................................................16 4.3 模擬評價:一般模擬..................................................................................18 4.4 模擬評價:Importance sampling模擬.......................................................20 4.5 將CDO拆解為nth-to-default swap之組合...............................................24 第五章、 模擬分析....................................................................................................29 5.1 以盧琬靖 (2007)、陶亞蘭 (2008) 之債權群組模擬...............................30 5.2 以2009年信評機構有評等之上市非金融機構企業為債權群組模擬....33 5.3 以MSCI摩台指成分股中非金融機構企業共96家為債權群組模擬....39 第六章、 結論............................................................................................................49 參考文獻......................................................................................................................51 | |
dc.language.iso | zh-TW | |
dc.title | 以台灣非金融類股為標的資產之擔保債權憑證評價 | zh_TW |
dc.title | On the Pricing of Collateralized Debt Obligation: Reference Portfolio Consists of Nonfinancial firms in Taiwan | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 岳夢蘭,鍾懿芳 | |
dc.subject.keyword | 擔保債權憑證,信用違約交換,蒙地卡羅模擬,Importance sampling,金融海嘯, | zh_TW |
dc.subject.keyword | CDO,nth-to-default swap,Monte Carlo simulation,Importance sampling,Financial Tsunami, | en |
dc.relation.page | 85 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2010-06-24 | |
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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