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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興 | |
| dc.contributor.author | Shu-Yu Lin | en |
| dc.contributor.author | 林書妤 | zh_TW |
| dc.date.accessioned | 2021-06-15T00:40:49Z | - |
| dc.date.available | 2008-08-14 | |
| dc.date.copyright | 2008-08-14 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-08-05 | |
| dc.identifier.citation | [1]Davis, M., and Lo, V., 1999, “Modelling Default Correlation in Bond Portfolios”, Working Paper, Tokyo-Mitsubitshi International.
[2]Driessen, J., 2005, “Is Default Event Risk Priced in Corporate Bonds?”, Review of Financial Studies 18, 165-195. [3]Duffee, Gregory R., 1999, “Estimating the Price of Default Risk”, Review of Financial Studies, Spring, 12, No. 1, 197-225. [4]Giesecke, K. and Weber S., 2004, “Cyclical correlation, credit contagion, and portfolio losses”, Journal of Banking and Finance 28, 3009-3036. [5]Hull, J. and A. White, 2005, 'The Perfect Copula,' Working Paper, Defaultrisk.com [6]Jarrow, R., and Yu, F., 2001, “Counterparty Risk and the Pricing of Defaultable Securities”, Journal of Finance 56, No. 5, 1765-1799. [7]Laurent, Jean-Paul and Gregory, Jon, 2003, “Basket Default Swaps, CDO’s and Factor Copulas”, Defaultrisk.com. [8] Liao, H. H. and Chen P. C., 2006, “Collateralized Bond Obligation Pricing: An Integration of Intrinsic Valuation and Factor Copula Approach” [9]Liao, H. H. and Chen T. K., 2004, “A Multi-Period Corporate Credit Model-An Intrinsic Valuation Approach”, www.defaultrisk.com [10] Liao, H. H. and Chen T. K., 2006, “A Cash Flow Based Corporate Credit Portfolio Analysis -- A Conditional Independent Default Approach” [11]Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance 2, 449-471. [12]Pesaran, M., T. Schuermann, B-J. Treutler and S. Weiner, 2005, “Macroeconomic Dynamics and Credit Risk: A Global Perspective”, SSRN Working paper [13]Robert A. Jarrow, and Stuart M. Turnbull, 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance 50, No.1, 53-85. [14]Romano, C., 2002, “Applying copula function to risk management”, http://www.gloriamundi.org/picsresources/cr04.pdf [15]Schönbucher, P. J., 2003, “Credit Derivatives Pricing Models”, Wiley Finance. [16]Sidenius, J., V. Piterbarg and L. Andersen, 2005, “A New Framework for Dynamic Credit Portfolio Loss Modeling”, Working Paper, Defaultrisk.com. [17]Zhou, C., 2001, “The Term Structure of Credit Spreads with. Jump Risk”, Journal of Banking and Finance, 25, 2015-2040. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41990 | - |
| dc.description.abstract | 本研究試圖利用Liao & Chen (2006) 所發展的內部評價法，對市場信用違約指數 (CDX) 進行評價。模型以現金流量基礎法衡量公司資產價值，並運用因子關聯結構法 (factor copula) 建立公司資產價值與景氣因子之連動性，達到投資組合損失模型考慮動態風險之目的。實證結果顯示此模型低估5年期CDX組合之信用風險。本文並提出可改善此低估情形之方法，如︰不同形式之違約邊界設定，考慮隱含現金流量波動性，或以跳躍擴散隨機過程描述現金流量。另外，在模型中考慮具預測性之總體經濟因子，可進一步捕捉稀有事件引起之信用價差跳躍。 | zh_TW |
| dc.description.abstract | We employ CDX market data to empirically examine the effectiveness of the credit portfolio model developed by Liao and Chen (2006), which combines a cash flow based model with a conditional independent default approach. Our empirical results show the credit portfolio model underestimate 5 year credit spread of a Dow Jones CDX credit portfolio. There are several ways to modify the model, including alternative default threshold settings, employing market implied cash flow volatility, or superimposing jumps on the cash flow processes. Moreover, incorporating forward looking macroeconomic factors enables the model to catch rare events induced jumps in the credit spread. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T00:40:49Z (GMT). No. of bitstreams: 1 ntu-97-R95723062-1.pdf: 1741259 bytes, checksum: 1dc9d7d676b902a916f6b022d9be41ca (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | I. Introduction 1
II. The Model 2 A. Single-Firm State-dependent Corporate Free Cash Flow Model 2 B. Corporate Portfolio Credit Model – A Factor Copula Approach 6 III. Empirical Analysis 8 A. Data 8 B. Factor Analysis and Parameter Estimation of the Stochastic State Model 12 C. Estimation of a firm’s weighted average cost of capital 13 D. Estimation of constant growth rate of a firm 15 E. Estimation of the shift term to a firm’s cash flow paths 15 F. Shift in a firm’s asset value path 16 G. Model Result of CDX Pricing 17 H. Empirical Examination 20 IV. Suggestions for Modifying The Model 21 V. Conclusion 22 REFERENCES 23 Appendix I. Factor Analysis of Firms’ Free Cash Flows 25 Appendix II. Maximum Likelihood Algorithm for Factor Generating Formula 29 Appendix III. Cash Flow Shift Term Estimates 31 | |
| dc.language.iso | en | |
| dc.subject | 信用違約指數 | zh_TW |
| dc.subject | 多期信用風險模型 | zh_TW |
| dc.subject | 現金流量 | zh_TW |
| dc.subject | 因子關聯結構 | zh_TW |
| dc.subject | 資產組合損失 | zh_TW |
| dc.subject | 風險動態 | zh_TW |
| dc.subject | Multi-Period Credit Model | en |
| dc.subject | Risk dynamics | en |
| dc.subject | Portfolio Loss | en |
| dc.subject | Factor copula | en |
| dc.subject | Cash flow | en |
| dc.subject | CDX | en |
| dc.title | 企業信用組合訂價之實證分析：現金流量基礎法 | zh_TW |
| dc.title | On The Effectiveness of The Credit Portfolio Model by Liao and Chen (2006) | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 張焯然,林丙輝,陳聖賢 | |
| dc.subject.keyword | 多期信用風險模型,現金流量,因子關聯結構,資產組合損失,風險動態,信用違約指數, | zh_TW |
| dc.subject.keyword | Multi-Period Credit Model,Cash flow,Factor copula,Portfolio Loss,Risk dynamics,CDX, | en |
| dc.relation.page | 24 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2008-08-05 | |
| 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-97-1.pdf 未授權公開取用 | 1.7 MB | Adobe PDF |
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