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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9033完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Kyle Belzer | en |
| dc.contributor.author | 貝永和 | zh_TW |
| dc.date.accessioned | 2021-05-20T20:07:11Z | - |
| dc.date.available | 2009-12-29 | |
| dc.date.available | 2021-05-20T20:07:11Z | - |
| dc.date.copyright | 2009-12-29 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-08-10 | |
| dc.identifier.citation | http://en.wikipedia.org/wiki/Credit_Default_Swap
Bolton, P., and S. Scharfstein, “A theory of predation based on agency problems in financial contracting.” American Economic Review, 80, 93-106, 1990,. Choudhry, M. The Credit Default Swap Basis. Bloomberg Press, New York, NY, 2006. De Wit, J., “Exploring the CDS-Bond Basis.” National Bank of Belgium, Working Paper N. 104, November 2006. Ghosh, A., Leeming M., and Rennison G. “Understanding Basis for Discount Bonds.” Barclays Capital Quantitative Credit Stratagey Research. January, 2001. McAdie, R. “Liqudity Drain.” Barclays Capital European Credit Research, October 24, 2008. O’Kane, D., and McAdie, R. “Explaining the Basis: Cash versus Default Swaps.” Lehman Brothers Structured Credit Research, May 2001. Patterson, S., and Ng, S. “Deutsche Bank Fallen Trader Left Behind $1.8b Hole” Wall Street Journal, February 6, 2009. Rajan, R., 1992. “Insiders and Outsiders: The Choice Between Informed and Arms’-Length Debt.” Journal of Finance, 47, 1367- 1400. Shah, A., and Meli, J., et al. “US Credit Outlook 2009.” Barclays Capital Research, December 5, 2008. Shyan Yuan Lee, “Credit Derivatives and Structured Finance” class notes, Fall Semester 2008. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9033 | - |
| dc.description.abstract | 基差交易策略在2008年完全崩潰瓦解，造成投資銀行和避險基金數十億元的損失。因應現今市場條件，新的交易概念和策略已經復甦。本論文將針對新的交易概念如何影響固定收入信用貿易上，做出精確的分析：包括什麼因素會影響逐日計算損益評估及在基本貿易上的長期獲利。另外論述持有基差如何影響到債務人和債權人之間的關係。最後，我也會針對新基差交易的長期持續性做出討論。 | zh_TW |
| dc.description.abstract | The basis arbitrage trading strategy collapsed at the end of 2008, causing billions of dollars in losses for investment banks and hedge funds. New trading mentalities and practices have revived this trade and adapted it to current market conditions. This paper presents a rigorous analysis of new practices in fixed income credit trading, including what factors affect mark-to-market valuation and long-term returns on the new basis trade. Special attention is paid to the way holding basis affects the relationship between debtor and creditor. Finally, I comment on the long-term sustainability of the new basis trade. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-20T20:07:11Z (GMT). No. of bitstreams: 1 ntu-98-R96723072-1.pdf: 1544824 bytes, checksum: 17f3f095b723947f34affd1159f9e2a1 (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | Table of Contents
Introduction 5 Section 1: Basis Arbitrage Before September, 2008 6 Fundamentals of the Trade 6 The collapse of basis arbitrage 8 Section 2: The New Basis 10 Section 3: Sensitivity Analysis 12 Sensitivity to Changes in the Dirty Price 15 Sensitivity to changes in coupon size 16 Sensitivity to parallel shifts in CDS curve 17 Sensitivity of the basis to changes in the Slope of the CDS curve 19 Sensitivity of the basis package to recovery rate assumptions: 21 Section 4: Mark-to-Market Changes in the Value of a Basis Package 23 Mark to market sensitivity to parallel shifts in CDS curve: 24 Mark-to-market sensitivity to changes in the steepness of the CDS curve: 26 Mark to market sensitivity to changes in the recovery rate: 26 Section 5: Basis package using forward CDS 28 Section 6: How CDS Change the Rules of the Game 31 Scenario 1: The hedged loan 32 Scenario 2: Predatory behavior by basis holders 33 Conclusion 37 References: 40 | |
| dc.language.iso | en | |
| dc.title | 借屍還魂 : 基差交易重現 | zh_TW |
| dc.title | Zombie Trade: The Return of Basis
Arbitrage From Beyond the Grave | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 鐘懿芳,蔡偉澎 | |
| dc.subject.keyword | 基差交易, | zh_TW |
| dc.subject.keyword | single name CDS,credit derivative trading,basis,basis arbitrage, | en |
| dc.relation.page | 40 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2009-08-10 | |
| 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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