請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/42954
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 | Cheng-Hsiu Ko | en |
dc.contributor.author | 柯正修 | zh_TW |
dc.date.accessioned | 2021-06-15T01:30:16Z | - |
dc.date.available | 2013-07-23 | |
dc.date.copyright | 2009-07-23 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-07-21 | |
dc.identifier.citation | 中文部份
[1] 陶亞蘭,擔保債權憑證隱含違約相關性之研究─以台灣為例,台灣大學財務金融所碩士論文,2008年7月 [2] 曾俊凱,動態投資組合信用風險模型及出生過程,台灣大學財務金融所碩士論文,2008年7月 英文部份 [1] Black, F., and J. C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance 31, 351-367. [2] Black, F., and Scholes, M., 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81, 637-654. [3] Brigo, D.; A. Pallavicini; and R. Torresetti. “Calibration of CDO Tranches with the Dynamical Generallized-Poisson Loss Model,” Risk, 20 (2007), May, 70-75. [4] Davis, M., and Lo, V., 1999, “Modelling Default Correlation in Bond Portfolios,” Working Paper, Tokyo-Mitsubitshi International [5] Dorn J., (2009), “A CDO Option Market Model for Standardized CDS Index Tranches,” Working Paper [6] Duffie, D., and Singleton, K. J., 1999b, “Simulating Correlated Defaults,” Working Paper, Graduate School of Business, Stanford University. [7] Francois, P., and Morellec, E., 2004, “Capital Structure and Asset Prices: Some Effects of Bankruptcy Procedures,” Journal of Business 77, 387-411. [8] Galai, D., Raviv, A., and Wiener, Z., 2005, “Liquidation Triggers and The Valuation of Equity and Debt”, Working Paper, School of Business Administration, The Hebrew University of Jerusalem. [9] Giesecke, K., 2004, “Correlated default with incomplete information,” Journal of Banking and Finance 28, 1521-1545 [10] Giesecke, K. (2004), “Credit Risk Modeling and Valuation: An Introduction,” Working Paper. [11] Giesecke, K., and Goldberg, L. R., 2004, “Sequential defaults and incomplete information,” Journal of Risk 7, 1-26. [12] Hull, J. and A. White, 2005, “Valuation of a CDO and nth to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives, 12(2), pp. 8-23 [13] Hull, J. and A. White, 2007, “Forwards and European Options on CDO Tranches,” Journal of Credit Risk, 3, 2 (Summer 2007) [14] Hull, J., and A. White, 2008, “Dynamical Models of Portfolio Credit Risk: A Simplified Approach,” Journal of Derivatives, 15, 4 (Summer 2008), 9-28 [15] Hull J.; M. Predescu; and A. White. “The Valuation of Correlation-dependent Credit Derivatives Using a Structured Model,” Working Paper, Unviersity of Toronto (2005). [16] Jarrow, R., and Turnbull, S., 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance 50, 53-86 [17] Jarrow, R., and Yu, F., 2001, “Counterparty Risk and the Pricing of Defaultable Securities,” Journal of Finance 56, 1765-1799. [18] Laurent, J.-P. & J. Gregory (2005), “Basket Default Swaps, CDO’s and Factor Copulas,” The Journal of Risk, 7(4), pp. 1-20. [19] Li D., 1998, “Constructing a Credit Curve,” Credit Risk Special Report [20] Li,D., 2000, “On Default Correlation: A Copula Function Approach,” Journal of Fixed Income, 9, 4, pp. 43-54. [21] Merton, R., 1974, “On the Pricing of Corporate Debt: the Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470. [22] Moraux, F., 2004, “Valuing Corporate Liabilities When the Default Threshold is not an Absorbing Barrier,” University of Rennes Working Paper. [23] Gunter Meissner (2008). The Definitive Guide to CDOs. Incisive Media. [24] Vasicek, O. A., 1987, “Probability of Loss on a Loan Portfolio,” Working Paper, KMV Corporation, San Francisco (Published in Risk Magazine, December 2002, pp. 160-162, with the title “Loan Portfoliio”). | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/42954 | - |
dc.description.abstract | 相對於傳統的靜態Copula模型,本文提供一個動態模型來配適市場的信用違約交換價差,在此模型中,違約強度受到兩個因素影響,一個是漂移項,其會隨著時間遞增;另一個則是Impulse項,在本篇論文中,我們採用兩種型態的跳躍模型,分別是指數型態及線性型態的跳躍,這個Impulse就扮演著Gaussian Copula Function中違約相關性的角色。
我們並以此配適的參數,計算Forward CDO的分券價格。我們比較了Poisson搭配指數型跳躍或是線性跳躍所得到的計算結果,並觀察自2008年金融風暴發生之後,Forward CDO分券價格的走勢,分別從橫剖面及縱剖面來看,不同的到期年份及不同順位的分券,其價格的特性,以及隱含的資產相關性的變化。 基於Hull and White (2008) 的模型,我們接著計算以這些分券為標的物的選擇權價格,並根據Black形式的公式,推算每個分券的隱含波動性 (Implied Volatility)。 | zh_TW |
dc.description.abstract | In this thesis, we present a dynamic model to calibrate the market quote of credit default swap spread, on the contrary to the traditional static Gaussian Copula model. In this dynamic model, the default intensity is affected by two factors: the first is the deterministic drift term, which increases over time; the other one is the Impulse term. We take two forms of impulse terms, which are exponential jump and linear jump. The jump size is a measure of default correlation as is the correlation matrix in the Gaussian Copula Function.
We then calculate the prices of forward start CDO tranches. We compare the results of Poisson process with exponential jump and linear jump respectively, and observe the trend of price movement since the emergence of global financial crisis after mid 2008. Then we analyze the characteristics of forward start CDO tranches in terms of different maturity dates and different seniorities. Based on the Hull and White (2008) model, we calculate the prices of option on forward CDO tranches, and derive the implied volatility for each tranche based on the Black type formula. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T01:30:16Z (GMT). No. of bitstreams: 1 ntu-98-R96723024-1.pdf: 739358 bytes, checksum: a6e7a7baaccea3350af09abaefffd5a9 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 第一章 前言 1
第二章 擔保債權憑證(CDO)介紹 2 2.1 CDO架構 2 2.2 信用違約交換指數 (CDS Index) 5 第三章 文獻回顧 7 3.1 信用風險模型 7 3.2 結構式模型 7 3.3 減縮式模型 9 3.4 CDO評價模型 10 3.5 動態模型與配適 11 第四章 研究方法 13 4.1 存活機率 (Survival Probability) 13 4.2 CDO分券價格的計算 14 4.3 參數配適 15 4.4 Forward CDO 17 4.5 Option on CDO Tranche 18 4.6 隱含波動率 20 第五章 程式結果 23 5.1 原始資料 23 5.2 模型參數配適 26 5.3 Forward CDO Tranche價格 27 5.4 Option on CDO Tranche 價格 38 5.5 隱含波動率結果 47 第六章 結論 48 參考文獻 50 | |
dc.language.iso | zh-TW | |
dc.title | 以動態模型計算遠期擔保債權憑證分券的選擇權價格 | zh_TW |
dc.title | Dynamic Model of Option on Forward CDO Tranches | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 江彌修,謝承熹 | |
dc.subject.keyword | 動態模型,信用違約交換,遠期擔保債權憑證分券,擔保債權憑證分券選擇權,隱含波動性, | zh_TW |
dc.subject.keyword | Dynamic Model,Credit Default Swap,Forward CDO tranches,Option on CDO tranches,Implied Volatility, | en |
dc.relation.page | 52 | |
dc.rights.note | 有償授權 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-98-1.pdf 目前未授權公開取用 | 722.03 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。