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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李存修(Tsun-Siou Li) | |
| dc.contributor.author | Hsin-Ying Lin | en |
| dc.contributor.author | 林欣瑩 | zh_TW |
| dc.date.accessioned | 2021-06-08T04:29:31Z | - |
| dc.date.copyright | 2010-01-21 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-01-19 | |
| dc.identifier.citation | 1.Arora, N., J. Bohn, and F. Zhu, 2005, Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models, Journal of Investment Management, Vol. 3, No. 4, 43-67
2.Black, F., 1976, Studies of stock price volatility changes, Proceedings of the American Statistical Association, pp. 177–181 Business and Economics Statistics Section 3.Boyle, P. P., 1977, Options: A Monte Carlo Approach, Journal of Financial Economics, Vol.4, No.3, 323-338 4.Brigo, D., and F. Mercurio, 2001, Interest Rate Models – Theory and Practice, Springer Finance, 56-60 5.Crosbie, P., and J. Bohn, 2003, Modeling Default Risk – Modeling Methodology, Moody’s KMV Company White Paper 6.Duffie, D., and K. Singleton, 1999, Modeling term structures of defaultable bonds. Review of Financial Studies, 12, 687-720 7.Glosten, L., R., R. Jagannathan, and D. E. Runkle, 1993, On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks, Journal of Finance, Vol.48, No.5, 1779-1801 8.Hull, J.C., and A. White, 1990, Valuing derivative securities using the explicit finite difference method, Journal of Financial and Quantitative Analysis, Vol. 25, 87-99 9.Hull, J.C., and A. White, 1995, The impact of default risk on the prices of options and other derivative securities, Journal of Banking and Finance, Vol. 19, 299-322 10.Hull, J.C., and A. White, 2000, Valuing Credit Default Swap I: No Counterparty Default Risk”, Journal of Derivatives, vol. 8(1), pp.29-40 11.Jarrow, R., and S. Turnbull, 1995, Pricing derivatives on financial securities subject to credit risk. Journal of Finance, 50, 53-86 12.Jarrow, R., D. Lando, and S. Turnbull (1997), A Markov model for the term structure of credit risk spreads. The Review of Financial Studies, Vol. 10, No. 2, 481-523 13.Jarrow, R., and P. Protter, 2004, Structural versus Reduced Form Models: A New Information Based Perspective, Journal of Investment Management, Vol. 2, No. 2, 1-10 14.Johnson, H., and R. Stulz, 1987, The pricing of options with default risk, Journal of Finance, Vol. 42, 267-280 15.Kealhofer, S., 2003a, Quantifying Credit Risk I: Default Prediction, Financial Analysts Journal, Vol. 59, No.1, 33-44 16.Kealhofer, S., 2003b, Quantifying Credit Risk II: Debt Valuation, Financial Analysts Journal, Vol. 59, No.3, 78-92 17.Klein, P., 1996, Pricing Black-Scholes options with correlated credit risk, Journal of Banking and Finance, Vol. 50, 1211-1229 18.Klein, P., and M. Inglis, 2001, Pricing vulnerable European options when the options payoff can increase the risk of financial distress, Journal of Banking and Finance, Vol. 25, 993-1012 19.Klein, P., and J. Yang, 2007, Pricing vulnerable American options, working paper, Simon Fraser University 20.Merton, R. C., 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, Vol. 29, No. 2, 449-470 21.Schwert, G. W., 1989a, Business Cycles, Financial Crises and Stock Volatility, Carnegie-Rochester Conference Series on Public Policy, 31, 83-126 22.Schwert, G. W., 1989b, Why does Stock Market Volatility Change over Time, Journal of Finance, 44, 1115-1154 23.Vasicek, O. A., 1984, Credit Valuation, KMV Corporation, March | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22821 | - |
| dc.description.abstract | 鑒於日益惡化之信用市場狀況，在無交易對手風險假設下進行之結構型金融商品評價，其理論價格將與市場實際價格產生歧異，致使評價的結果缺乏參考性與可信度。本文將以股權連動債為例，分別採用CIR模型與GJR-GARCH模型配適無風險利率和標的股價變異數之未來路徑，並根據商品報酬函數繁複多元之特色選用數值模擬法進行評價。此外，亦另建一外生性信用風險貼水評價模型，衍伸結構型信用風險模型（KMV）之核心概念，以美式二元賣權的形式量化發行人信用風險貼水，估算考量發行人信用風險下連動債之真實價值。 | zh_TW |
| dc.description.abstract | It is inappropriate to ignore counterparty risk when pricing structured products especially after the financial tsunami occurred in 2008. Motivated by these circumstances, we developed an exogenous model embedded the concept of Moody’s KMV model for evaluating the issuer’s credit risk premium under the framework of American binary put option, which is applicable to any kind of financial derivatives, and we select equity-linked structured notes for illustrator. The CIR model and GJR-GARCH model are employed in forecasting risk-free rate and variance paths for evaluating a proper fair price by using numerical methods. Fair price under issuer’s credit risk can then be estimated by deducting the premium from the default-free price. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T04:29:31Z (GMT). No. of bitstreams: 1 ntu-99-R96723022-1.pdf: 1204657 bytes, checksum: 65454df8396235c18e83e1e2e5a02dad (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 口試委員會審定書 ....................................... i
誌謝 ................................................... ii 摘要 ................................................... iii Abstract ............................................... iv Figure Contents ........................................ vi Table Contents ............................................... vii I Introduction ......................................... 1 II Literature Review ................................... 8 III Model Setting ...................................... 15 1. Equity-linked notes under default-free condition .... 15 2. Premium for the issuer’s default risk .............. 23 IV Numerical Method .................................... 30 1. Crude Monte-Carlo method ............................ 30 2. Monte-Carlo method with Variance Reduction Technique 32 3. Quasi Monte-Carlo methods ........................... 33 V Numerical Example .................................... 36 1. Terms and conditions ................................ 36 2. Parameters Estimation ............................... 38 3. Simulation Result ................................... 41 VI Comparative Static Analysis ......................... 45 1. Product base ........................................ 45 2. Issuer base ......................................... 56 VII Conclusion ......................................... 63 Reference .............................................. 65 Appendix I ............................................. 67 | |
| dc.language.iso | en | |
| dc.subject | 信用風險 | zh_TW |
| dc.subject | GJR-GARCH模型 | zh_TW |
| dc.subject | CIR模型 | zh_TW |
| dc.subject | 連動債 | zh_TW |
| dc.subject | 違約 | zh_TW |
| dc.subject | Default | en |
| dc.subject | GJR-GARCH model | en |
| dc.subject | CIR model | en |
| dc.subject | Structured Notes | en |
| dc.subject | Credit Risk | en |
| dc.title | 考量發行人信用風險下結構型金融商品評價－以股價連動債為例 | zh_TW |
| dc.title | Structured Note Evaluation under Issuer's Credit Risk Concerned | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 王耀輝(Yaw-Huei Wang) | |
| dc.contributor.oralexamcommittee | 廖咸興,石百達 | |
| dc.subject.keyword | 違約,信用風險,連動債,CIR模型,GJR-GARCH模型, | zh_TW |
| dc.subject.keyword | Default,Credit Risk,Structured Notes,CIR model,GJR-GARCH model, | en |
| dc.relation.page | 68 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2010-01-19 | |
| 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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| ntu-99-1.pdf 未授權公開取用 | 1.18 MB | Adobe PDF |
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