請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43377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 | Kuang-Chen Hsiao | en |
| dc.contributor.author | 蕭光呈 | zh_TW |
| dc.date.accessioned | 2021-06-15T01:52:56Z | - |
| dc.date.available | 2009-07-14 | |
| dc.date.copyright | 2009-07-14 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-07-01 | |
| dc.identifier.citation | Andersen, L. and Sidenius, J. (2005). “CDO pricing with factor models: Survey and comments”, Journal of Credit Risk, Vol. 1, No. 3, (Summer 2005), 71-88
Arvanitis, A and J Gregory. 2001. “Credit: The Complete Guide to Pricing, Hedging and Risk Management”, Risk Publications. Black, F. and Scholes, M. (1973). “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81, 637–659. Bluhm, C. and Overbeck, L. (2006). Structured Credit Portfolio Analysis, Baskets and CDOs. CRC Press LLC. Bluhm, C., Overbeck, L., and Wagner, C. (2002). An Introduction to Credit Risk Modelling. CRC Press LLC. Burtshell, X., Gregory, J., and Laurent, J.-P. (2009). “A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework”. The Journal of Derivatives Summer 2009, Vol. 16, No. 4, 31-62 Cherubini, U., E. Luciano and W. Vecchiato (2004), Copula methods in finance, John Wiley ＆ Sons, Ltd. Collin-Dufresne, P. and Goldstein, R. (2001). “Do Credit Spreads Reflect Stationary Leverage Ratios?” Journal of Finance 56, 1929–1957. Duffie, D and K Singleton.' 2003: Credit Risk: Pricing, Management and Measurement (Princeton Series in Finance). Princeton University Press. Friend, A. and Rogge, E. (2005). Correlation at first sight. Economic Notes, 34(2):155-183. Geske, R. (1977). “The Valuation of Corporate Liabilities as CompoundOptions.” Journal of Financial and Quantitative Analysis 541–552. Goodman, L. 'and F. Fabzzi. 2002. Collateralized Debt Obligations: Structure and analysis. John Wiley & Sons. Hofert, J. M. (2008). Sampling Archimedean copulas. Working Paper 2007-10, Universitat Ulm. Hull, J. and White, A. (2004). Valuation of a CDO and an nth to default CDS without monte carlo simulation. J Journal of Derivatives, Vol. 12, No. 2, (Winter 2004), 8-23 Li, D.X. (2000) “On default correlation: a copula function approach', J. Fixed Income, 9, 43–54. Longstaff, F. and Schwartz, E. (1995). “Valuing Risky Debt: A New Approach.” Journal of Finance 50, 789–820. Lyden, S. and Saraniti, D. (2000). “An Empirical Examination of the Classical Theory of Corporate Security Valuation.” Research Paper, Barclays Global Investors. Mashal, R. and Naldi, M. (2002). “Pricing multiname credit derivatives: Heavy tailed hybrid approach”, Working paper, Columbia University and Lehman Brothers. Merton, R. (1974). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance 29, 449–470. Moody’s(2001),” Default and recovery rates of corporate bondissuers:2000”,Moody’s Investor Service, February 2001 Ogden, J. (1987). “Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent Claim Model.” The Journal of Financial Research 10, 329–339 Rogge, E., Philipp, and Schonbucher, J. (2003). “Modelling dynamic portfolio credit risk”. Working paper, ETH Z urich. Sklar, A. (1959), “Fonctions de repartition a n dimensions et leurs marges,” Pub. Inst. Statisr. Univ. Paris, 8, pages 229-231 Vasicek, O. (1984). “Credit Valuation.” White Paper, Moody’s KMV. www.markit.com http://en.wikipedia.org/wiki/Main_Page | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43377 | - |
| dc.description.abstract | 我們比較了在各種相關性測度法下, 根據傳統 copula 函數為基礎的CDO評價結果. 傳統上是使用各資產報酬的線性相關係數作為衡量CDO 資產池中各項資產之間的相關性準則. 在本篇論文中, 我們嘗試使用信用違約交換利差(CDS spread) 的變動率來替換資產報酬率. 並且, 我們比較了若干相關性衡量公式, 如 Kendall’s tau 和 Spearman’s rho, 實證結果指出, 在某些時期它們的確可以得出更貼近市場報價的評價結果.我們也比較了使用不同時期資料所造成評價結果的差異, 結果指出在2007 年, 各項資產之間的相關性結構可能有明顯的改變. | zh_TW |
| dc.description.abstract | We compare several types of correlation measurements used as inputs of the traditional Gaussian copula pricing model for CDO tranches. Using the linear correlation coefficient of stock returns to measure the correlation between each entity within the CDO is the traditional approach. Here, instead of using stock returns, we try to measure the correlation via using CDS spreads. We compare the pricing results among different initial inputs, such as different
time horizons of data and different correlation formula. Our result indicates that instead of using the linear correlation coefficient, in certain periods, using other dependence measurements such as Kendall’s tau and Spearman’s rho can perform better pricing results. Also, the pricing results carry high explanatory power for various correlation measurements. Furthermore, we find that according to our pricing results, the correlation structure among the entities may have changed significantly during the 2007 subprime crisis. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T01:52:56Z (GMT). No. of bitstreams: 1 ntu-98-R96723065-1.pdf: 1211537 bytes, checksum: 4372538753a1c058fc37f06626cf69d0 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 1. Introduction ......................................‐ 7 ‐
2. Literature Review ............................... ‐ 10 ‐ 3. A review on CDO structure and the copula method . ‐ 16 ‐ 3.1 A review on CDO structure ...................... ‐ 16 ‐ 3.2 The copula based pricing model ................. ‐ 20 ‐ 4. Numerical results ............................... ‐ 27 ‐ 4.1 Out sample forecasting – (I) .................. ‐ 29 ‐ 4.2 Out sample forecasting – (II) ................. ‐ 39 ‐ Pricing results (data from period A) ............... ‐ 39 ‐ Pricing results (data from period B) ................‐ 44 ‐ Pricing results (data from period C) ............... ‐ 48 ‐ 4.3 Comparing pricing results ...................... ‐ 52 ‐ 5. Conclusions ..................................... ‐ 56 ‐ Bibliography ....................................... ‐ 58 ‐ | |
| dc.language.iso | en | |
| dc.title | Copula 函數型 CDO 評價模型中各種相關性測度之比較 | zh_TW |
| dc.title | A comparison among various correlation measurements in a copula-based CDO pricing model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 何淮中(Hwai-Chung Ho),葉小蓁(Hsiaw-Chan Yeh) | |
| dc.subject.keyword | 擔保債權憑證,Copula函數,相關係數, | zh_TW |
| dc.subject.keyword | CDO,Copula function,correlation, | en |
| dc.relation.page | 59 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-07-01 | |
| 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 | 1.18 MB | 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。