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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31229
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/31229


    Title: 信用及利率衍生性商品之評價與分析--以信用連結票券及利率交換為例
    Authors: 林淳瑜
    Contributors: 陳松男
    林淳瑜
    Keywords: 衍生性商品
    信用連結票券
    信用價差曲線
    HW模型
    利率交換
    雪球型
    LIBOR市場模型
    Structure Note
    CLN
    Credit Curve
    Hull – White Model
    IRS
    Snowball
    LIBOR Market Model
    Date: 2004
    Issue Date: 2009-09-14 09:34:18 (UTC+8)
    Abstract: 近年來由於金融自由化的發展,台灣已陸續開放新金融商品,除了股權相關的新金融商品之外,也陸續開放利率相關的新金融商品,如新台幣利率交換、新台幣利率選擇權、債券遠期交易、債券選擇權等。在信用衍生性商品市場方面,我國銀行從2002年底開放承做信用衍生性商品,目前正準備開放證券商承做。隨著金融國際化及自由化,未來將會從國外引進更新穎的金融商品,使金融市場更為完備。
    本文以Hull – White利率模型及LIBOR市場模型為架構,藉由數值方法評價分析兩個衍生性商品──信用連結票券及利率交換。首先在信用連結票券方面,運用Li(1998)建立信用價差曲線(Credit Curve),將之應用至Hull – White三元樹,評價信用連結票券之價值,並作敏感度分析與避險參數分析。其次在利率交換方面,由於投資人端連結「雪球型」的支付型態,為路徑相依商品,故使用LIBOR市場模型以蒙地卡羅模擬法(Monte Carlo)進行評價與分析,再進行發行者損益兩平分析及情境分析。最後針對兩個商品的評價結果作結論,分析發行者及投資人的利潤及避險,並給予後續研究者模型改進之建議與方向。
    Reference: (一)中文部份
    1.陳松男(2002),金融工程學-金融商品創新與選擇權理論
    2.陳威光(2002),選擇權-理論、實務與應用,智勝文化事業有限公司
    3.謝劍平(2003),固定收益證券-投資與創新,智勝文化事業有限公司
    4.戴維志(2003),HJM模型和市場模型於歐洲美元期貨選擇權評價之理論分析,東華大學國際經濟研究所碩士論文
    5.許家瑜(2003),考慮信用風險下新金融商品之評價分析,國立政治大學金融研究所論文
    6.陳松男(2005),結構型金融商品之設計及創新(二)
    (二)英文部份
    1.Arvanitis, A., J. Gregory, and J. P. Laurent(1999), “Building Models for Credit Spreads”, Journal of Derivatives, Fall, pp.27-43.
    2.Black, Fischer and J. C. Cox(1976), “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance 31, 351-376.
    3.Black, F., E. Derman, and W. Toy(1990), “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options”, Journal of Financial Analysts, pp.33-39.
    4.Brace, A., D. Gatarek, and M. Musiela(1997), ”The Market Model of Interest Rate Dynamics”, Mathematical Finance, 7, pp.127-155.
    5.Brigo, D. and F. Mercurio(2001), Interest Rate Models Theory and Practice
    6.Cox, J. C., J. E. Ingersoll, and S. A. Ross(1985), “An Intertemporal General Equilibrium Model of Asset Prices”, Econometrica, pp.363-384.
    7.Duffie, D and K. Singleton(1999), “Modeling Term Structure of Defaultable Bonds”, Review of Financial Studies
    8.Grauer, R. and N. Hakansson(1995), “Stein and CAPM Estimators of The Means in Asset Allocation”, International Review of Financial Analysis, pp.35-66.
    9.Heath, D., R. Jarrow, and A. Morton(1992), “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Evaluation”, Econometrica, Vol. 60.
    10.Ho, T. S. Y., and S. B. Lee(1986), “Term Structure Movements and Pricing of Interest Rate Claims”, Journal of Finance, pp.1011-1029.
    11.Hull, J. and A. White(1994),” Numerical Procedures for Implementing Term Structure Models I: Single – Factor Models”, Journal of Derivatives, Fall, pp.7-16.
    12.Jarrow, R. A., D. Lando, and S. M. Turnbull (1997), “ A Markov Model for the Term Structure of Credit Risk Spreads”, Review of Financial Studies, pp.481-523
    13.Kijima, M. and K. Komoribayashi(1998), “ A Markov Chain Model for Valuing Credit Risk Derivatives”, Journal of Derivatives, pp.97-108.
    14.Li, D.(1998), “Constructing a Credit Curve”, Risk, pp.40-44.
    15.Longstaff, Francis A. and E. S. Schwartz(1995), "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt", Journal of Finance, Vol. L, No. 3, University of California at Los Angeles, pp. 789-819.
    16.Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” The Journal of Finance, 28, pp.449-470.
    17.Svoboda, S.(2004), Interest Rate Modelling
    18.Vasicek, O. A.(1997), “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics, pp.177-188
    Description: 碩士
    國立政治大學
    金融研究所
    92352015
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923520151
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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