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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 | Wei-Hao Fu | en |
dc.contributor.author | 傅韋豪 | zh_TW |
dc.date.accessioned | 2021-06-08T04:24:26Z | - |
dc.date.copyright | 2010-06-30 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-06-21 | |
dc.identifier.citation | 中文部分
[1] 王俊凱,2009,「隨機回復率架構下之擔保債權憑證評價模型比較」,國立台灣大學財務金融研究所碩士論文 [2] 林崇曜,2008,「以基礎期望損失評價非標準批次證券」,國立台灣大學財務金融研究所碩士論文 [3] 陶亞蘭,2008,「擔保債權憑證隱含違約相關性之研究-以台灣為例」,國立台灣大學財務金融研究所碩士論文 [4] 銘傳大學財務金融學系暨研究所,2009,「信用結構型金融商品風險管理與結算制度集中化管理之可行性分析-從美國次貸風暴事件剖析」,中華民國證券同業公會委託研究 英文部分 [1] Ahluwalia, R. & L. McGinty, 2004, “A Model for Base Correlation Calculation”, JPMorgan, Credit Derivatives Strategy. [2] Black, Fisher & John C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance 31. [3] Boss Barrett & John Ewan, 2006, “BBA Credit Derivatives Report 2006”, British Banker Association. [4] Brlan A. Eales, “The Case for Exchange-Based Credit Futures Contracts”, London Metropolitan University. [5] Chunsheng Zhou, 2001, “The Term Structure of Credit Spreads with Jump Risk”, Journal of Banking & Finance. [6] Duffie, Darrell & Kenneth Singleton, 1999, “Modeling Term Structures of Defaultable Bonds”, Review of Financial Studies 12. [7] Ed Parcell & James Wood, 2007, “Wiping the Smile Off Your Base (Correlation Curve)”, Derivative Fitch. [8] Geske, Robert, 1977, “The Valuation of Corporate Liabilities as Compound Options”, Journal of Financial and Quantitative Analysis 12. [9] Hull, J. & A. White, 2004, “Valuation of A CDO and N-th to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, 12. [10] Jarrow, R., D. Lando & S. Turnbull, 1997, “A Markov Model for the Term Structure of Credit Risk Spreads”, Review of Finance Studies. [11] Li, David, 2000, “On Default Correlation: A Copula Function Approach”, The Journal of Fixed Income 9. [12] Navneet Arora, Jeffrey R. Bohn, Fanlin Zhu, 2005, “Reduced Form VS. Structural Models of Credit Risk: A Case Study of Three Models”, Moody’s KMV. [13] O’Kane, Dominic & Livesey, Matthew, 2004, “Base Correlation Explained”, Lehman Brothers. [14] Vasicek, Oldrich, 2002, “Loan Portfolio Value”, KMV Corporation. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22680 | - |
dc.description.abstract | 在擔保債權憑證中,利用基礎期望損失和片段式二次函數插值法可以為非標準化的批次證券評價出合理的信用利差。但是,根據林崇曜(2008)的發現,利用合理的信用利差所倒推出的基礎相關係數在權益證券中具有微笑的現象,產生雙重解的窘境。
本篇論文針對以上的缺點進行改善,試圖在權益證券中架構出一條單調遞增的基礎相關係數曲線,避免產生雙重解的窘境,方便實務上進行非標準化批次證券的定價。 未來可以針對不同型態的違約損失分配,例如:t分配、雙重t分配、伽馬分配…等,或是其他不同Copula的函數去比較不同模型的合理信用利差,找出最適合市場的信用風險模型和信用利差。 | zh_TW |
dc.description.abstract | While pricing Collateral Debt Obligations, using base expected loss and piecewise quadratic interpolation can find the fair spreads for bespoke tranches without arbitrage. But, according to the master thesis of Mr. Lin Chung-Yao in 2008, the base correlation implied from the fair spreads calculated by base expected loss and piecewise quadratic interpolation would be smiling in the equity tranche.
In order to improve the above-mentioned drawback, constructing a non-decreasing base correlation curve in the equity tranche would be the solution. My master thesis wants to construct a non-decreasing base correlation curve in the equity tranche by adding some constraints to the piecewise quadratic interpolation to avoid the smiling effect of the base correlation. In the future, comparing different spreads calculated from the different Copula models or different loss distributions would be an extensive research to find the fittest credit model to the market conditions. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T04:24:26Z (GMT). No. of bitstreams: 1 ntu-99-R97723075-1.pdf: 427878 bytes, checksum: 989a54e00bc2def51b21d26a2c616d24 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 第一章 前言 ………………………………………………………… 1
第二章 信用衍生性金融商品的概述 ……………………………… 3 第一節 報酬複製型商品 ……………………………………… 5 第二節 信用違約交換 ………………………………………… 6 第三節 擔保債權憑證 ………………………………………… 8 第四節 信用違約交換指數 ……………………………………10 第三章 文獻回顧…………………………………………………… 12 第一節 信用風險的評價模型 ……………………………… 12 第二節 擔保債權憑證的評價模型…………………………… 13 第四章 模型介紹 ……………………………………………………15 第一節 One Factor Gaussian Copula Model (OFGCM) ……15 第二節 擔保債權憑證的評價 ……………………………… 16 第三節 基礎相關係數 ……………………………………… 20 第四節 基礎期望損失 ……………………………………… 22 第五節 片段式二次函數插值法 …………………………… 24 第六節 基礎相關係數的計算法 …………………………… 28 第五章 實證分析 ………………………………………………… 32 第六章 結論與建議 ……………………………………………… 39 參考文獻 …………………………………………………………… 40 | |
dc.language.iso | zh-TW | |
dc.title | 信用違約交換指數之權益證券的基礎相關係數計算 | zh_TW |
dc.title | Computing Base Correlation of CDX Equity Tranche | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 岳夢蘭(Meng-Lan Yueh),鍾懿芳(Yi-Fang Zhong) | |
dc.subject.keyword | 擔保債權憑證,基礎期望損失,基礎相關係數, | zh_TW |
dc.subject.keyword | Collateral Debt Obligation,Base Expected Loss,Base Correlation, | en |
dc.relation.page | 41 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2010-06-22 | |
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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