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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 沈中華(Chung-Hua Shen) | |
dc.contributor.author | Te-Hsun Cheng | en |
dc.contributor.author | 鄭德勳 | zh_TW |
dc.date.accessioned | 2021-06-08T06:56:56Z | - |
dc.date.copyright | 2009-07-27 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-07-21 | |
dc.identifier.citation | 參考文獻:
英文部分: Acharya V., S. Das and R. Sundaram(2000), “Pricing Credit Derivatives with Rating Transitions.” Working Paper, London Business School. Black F. and J. Cox(1976),“Valuing Corporate Securities: Some Effect of Bond Indenture Provisions.” Journal of Finance, 31, pp.351-367 Charaf Ech-Chatbi(2008), “CDS and CDO Pricing with Stochastic Recovery.” Working Paper Series. Crouhy M., D. Galai and R. Mark(2000), “A comparative analysis of current credit risk models.” Journal of Banking & Finance, Vol. 24, No. 1, pp. 59-117. Duffie D.(1999), “Credit Swap Valuation.” Financial Analysts Journal, 55(1), pp. 73-85. Duffie D. and K. J. Singelton(1999), “Modeling Term Structures of Defaultable Bonds.” The Review of Financial Studies, 12,pp.687-720 Fayyad, W. H.(2008),“Credit Risk Modeling Challenges.” Working Paper, Oracle Corporation. Howard S., U. Shunichiro and W. Zhen(2007), “Valuation of Loan CDS and CDX.” Working Paper, Stanford University. Longstaff F. A., S. Mithal and E. Neis(2003), “The Credit-Default Swap Market - Is Credit Protection Priced Correctly?” Working Paper, UCLA. Jarrow R. and S. Turnbull(1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, 50, p53-86 Jarrow R., D. Lando and S. Turnbull (1997), “A Markov Model for the Term Structure of Credit Risk Spread.” review of Financial Studies, 10, 481-523. Johnson H., and R. M. Stulz(1987), “The Pricing of Option with Default Risk.” The Journal of Finance, June 1987, pp.267-280 Manja V. and W. Michael(2009), “Does banks’ size distort market prices? Evidence for too-big-to-fail in the CDS market.” Bundesbank Discussion Paper, Series 2, No. 06/2009 Merton R.C.(1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance, 29, pp. 449-470. Peter J. C. and R. B. Jeffrey(2003),“Modeling Default Risk.” Moody’s KMV Company. Skora R. K.(1998), “Rational Modeling of Credit Risk and Credit Derivatives”, Credit Derivatives – Applications for Risk Management, Investment and Portfolio Optimization , Risk Books, London. Sreedhar T. B. and S. Tyler(2004), “ Forecasting Default with the KMV-Merton Model.” Working Paper, Boston. Vasicek O.A.(1997), “An Equilibrium Characterization of the Term Structure.” Journal of Financial Economics, pp.177-188. 中文部分: 王柏祥(1999)「信用交換契約的評價與應用」,台灣大學財務金融研究所碩士論文。 李倩芸(2006)「信用違約交換契約訂價理論之探討」,台灣大學國企業研究所碩士論文 林玉婷(2004)「違約風險下資本市場報酬之影響」,台灣大學國際企業學研究所碩士論文 施宜君(2000)「信用風險之評價與應用」,政治大學金融研究所論碩士論文。 蔡豐澤(2000)「信用衍生性商品之評價:違約與回復率模型之應用」,台灣大學財金研究所碩士論文 廖植文(2002)「信用價差期間結構與違約風險之評價」,台灣大學財金研究所碩士論文 傅以沅(2004)「信用違約交換價差之影響因素:通用汽車與福特汽車之事件研究」,政治大學金融研究所碩士論文 書籍與手稿: 財團法人台灣金融研訓院編輯委員會(2006)「風險管理理論與方法」,台灣金融研訓院出版 黃 偉(2002)「信用風險模型評估專題介紹」,台北:華南金控,(10),6-9。 游啟璋(2004)「信用衍生性金融商品」,台北:手稿 廖四郎(2003)「信用衍生性商品簡介」,台北:手稿 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25911 | - |
dc.description.abstract | 首先對於信用衍生性商品做出完整概括性的介紹,並比較相關產品的特色與差異,進而探討市場上常見用來評價信用違約交換的模型,加以比較優缺點以及實用性與精準度,即使無法精準的預估,但希望找出一種相對有效的評價方法。
分別比較了信用轉移矩陣、縮減式模型以及KMV模型,而信用轉移矩陣只 能區分AAA到C幾個大區間下的差異,但卻無法再細分各家公司的風險值並求 出應該有的權利金價格;縮減式模型則因為實務上無法找出各公司的殖利率曲線 ,即使是道瓊成分股也因各年期公司債的缺乏或是流動性因素使得殖利率曲線誤差過大,更別說是其他小型的企業了;因此我們最後選取了KMV模型,此模型 考慮了個別公司的權益市值、負債以及股價波動度…,包含了市場的交易因素,也考慮了波動造成的違約機率,雖然沒有將信用評等加入到評價模型中,但我們依舊推薦的理由是:信評公司在做評等改變時也大多依賴財務報表或是市場上的交易資訊,而KMV模型中都有涵蓋,即使沒有信用評等這個質化因子,還是可 以相當程度的反應在評價信用違約交換的價格上。 最後使用最被市場上所使用也最精準的KMV模型做為實證研究的主要模型 ,再抓取道瓊三十家成分股進行實證分析,比較出由模型中所計算出的價格與市場交易價格的價差關係,並畫圖比較相對關係,看出信用違約交換權利金在去年的金融風暴中有明顯的變化,十月前大部分公司都相當穩定,違約風險趨近於零 ,但在十月到十二月間因為市場大幅波動因素造成權利金都有不小的上揚,最後再進行多元回歸分析探討模型中主要因子對於前述價差的影響,同樣的也圖示出各參數對於信用違約交換價差的影響。 | zh_TW |
dc.description.abstract | First, we introduce the overall concept about credit derivatives and compare the relative product character and difference. Then we discuss some models which the market often use to pricing credit default swap and compare these models’ advantage/disadvantage, usefulness and accuracy. Even we couldn’t predict very precisely, we want to find a relatively useful pricing method.
We try to compare credit migration matrix, reduced-form model and KMV model, then we know that credit migration matrix can only separate credit rating from AAA to C. Reduced-form is useless because of lacking enough information like every firms’ yield curve. Even these firms like Dow Jones Components are still the same. So we choose KMV model as our empirical model for the dada, the model considerate about the market equity value, total debt, and equity volatility, including the market factors. Although it ignores the credit rating, we still recommend it. The reason is the rating agency give their rating is depending on the financial report or market information, so we can believe that the model is somehow reflect the real value in the CDS. Finally, we use the most people used and most accurate KMV model as our empirical model. We search for the Dow Jones Components and compare these CDS price and the model theoretical price. We found that the spread change a lot before and after the financial market crisis. We have done the regression by fixed effect panel data and show the pictures on the appendix. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T06:56:56Z (GMT). No. of bitstreams: 1 ntu-98-R96723045-1.pdf: 2089755 bytes, checksum: 99644e64a713c1d5d4393f01a61403c4 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 目 錄
中文摘要…………………………………………………………………………… i Abstract…...…………………………………………………………………………ii 目錄…………………………………………………………………………………iii 表次/圖次...…………………………………………………………………………iv 第一章 緒論……………………………………………………………….………1 第一節 研究動機與目的…………………………………………….………1 第二節 本文主要核心議題………………………………………….………2 第三節 文章架構………………………………………….…………………3 第二章 商品介紹……………………………………………………...…………..4 第一節 信用連結債券相關名詞…………………………………………….4 第二節 信用衍生性金融商品……………………………………………….5 第三節 交易(避險)策略………………………………………………….8 第四節 目前交易概況…………………………………………………….....9 第三章 文獻探討……..…………………………………………………………..13 第四章 研究方法討論……………………………………………………………21 第一節 信用移轉矩陣…………………………………………………………23 第二節 縮減式模型……………………………………………………………27 第三節 KMV Model by Merton……………………………………………….30 第五章 實證分析………………………………………………………………....34 第六章 研究結論與建議………………………………………………………....40 參考文獻…………………………………………………………………………....42 附錄………………………………………………………………………………....45 | |
dc.language.iso | zh-TW | |
dc.title | 以KMV模型評價CDS價差之實證研究 | zh_TW |
dc.title | Use KMV Model to Predict CDS Price Spread | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 吳孟紋,黃宜侯 | |
dc.subject.keyword | 風險管理,違約風險,信用違約交換,KMV模型,信用移轉矩陣, | zh_TW |
dc.subject.keyword | Risk management,Default Risk,Credit Default Swap,KMV Model,Credit Migration Matrix, | en |
dc.relation.page | 61 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2009-07-21 | |
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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