English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140887 (78%)
Visitors : 46322010      Online Users : 832
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36173


    Title: 單一分券違約信用交換與單一分券擔保債權憑證之評價-Copula方法
    Authors: 林晚容
    Contributors: 廖四郎
    林晚容
    Keywords: 單一分券信用違約交換
    單一分券擔保憑證
    信用違約動態模型
    Copula理論
    CDO
    CDS
    credit derivatives
    credit risk
    Date: 2004
    Issue Date: 2009-09-18 17:23:03 (UTC+8)
    Abstract:   銀行承載許多公司借款、各式擔保貸款及各式信用貸款等,使金融機構面臨龐大各式信用風險問題。在新版巴塞爾資本協定針對信用風險之計算方法做了重大修正,其中信用衍生性商品已具有信用風險抵減之功能。故本研究將針對一籃子信用標的針對信用結構式商品中具有量身訂作的單一分券信用違約交換與單一分券擔保債權憑進行更深入之研究並使用加入Vasicek Model特例Ornstein-Uhlenbeck process表示違約強度之隨機動態過程利用類似風險性債券之概念求得出封閉解以替代存活函數,來為簡化起見在無風險利率假設為一固定常數使用Copula方法評價單一分券信用違約交換與單一分券擔保債權憑。
      在數值模擬部分,本篇利用實際市場資料建構出一合成單一分券擔保債權憑證產品,先針對違約動態模型與Copula函數之相關參數以實際市場資料做計與校正,再以評價公式以計算出合理信用價差,其結果可知當Copula函數越能描繪具有信用違約相關之信用違約事件,則當發生信用標的資產先後違約聚集情形會越高,以本研究實際產品資料特性而言Clayton Copula最能表現出違維聚集之情形,但在反應在第一次發生違約的權益分券上反而沒有其他兩種Copula函數用蒙地卡羅法所模擬出之違約次數高反而更低,做所求出來的信用價差也相對來的低,反而在反應違約聚集部分的先償違約交換具有較高信用價差。而在VaR值之衡量上可能因信用標的資產比較少,並沒有明顯之差異。
    Reference: Black, F. and J. C. Cox (1976), “Valuing corporate securities: some effects of bond indenture provisions,”Journal of Finance , 31, 351-367.
    Brigo D. and Mercurio F. (2001),Interest Rate Models Theory and Practice, Springer finance, 50-53.
    Duffie, D. and K. Singleton(1999), “Modeling term structure of defaultable bonds,” Review of Financial Studies, 12, 687-720.
    Geske, R. (1977), “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis, 5, 541-552.
    Hull, J. and A. White (2001), “Valuing credit default swaps 2: Modeling default correlations,” The Journal of Derivatives , 8, 12-21.
    Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation,” Journal of Derivatives, 12(2), 8-48.
    Jarrow, R. and S. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk,” Journal of Finance, 50, 53- 85.
    Jarrow, R., D. Lando, and S. Turnbull(1997), “A Markov model for the term structure of credit spread,” Review of Financial Studies, 10, 481- 523.
    Joe, H. and Xu, J.J. (1996), “The Estimation Method of Inference Functions for Margins for Multivariate Models,” Dept. of Statistics University of British Columbia, Tech. Rept. 166.
    Kim, I. J., Ramaswamy, K., and Sundaresan, S. M. (1993), “Valuation of Corporate Fixed-Income Securities,” Financial Management, Auturmn, 117-131.
    Lando, D. (1998), “On Cox processes and credit risky securities,” Review of Derivatives Research, 2, 99-120.
    Laurent, J.P. and J. Gregory (2003), “Basket default swaps, CDO’s and factor copulas,” Working paper, ISFA Actuarial School, University of Lyon.
    Lee, C. W., C. K. Kuo and J.L. Urrutia (2004), “A Poisson model with common shocks for CDO valuation,” The Journal of Fixed Income, 14(3), 72-82.
    Leland, H. E., and Toft, K. B. (1996), “Optimal Capital Structure, Endgenous Bankruptcy and the Term Structure of Credit Spreads,” Journal of Finance, 50, 789-819.
    Li, D. X.(2000), “On default correlation: A copula function approach,” Journal of Fixed Income, 9, 43-54.
    Longstaff, F. A. and Schwartz, E. S. (1995), “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,” Journal of Finance, 50(3), 789-819.
    Marshall, A. W. and I. Olkin (1988), “Families of multivariate distributions,” Journal of the American Statistical Association, 834-841.
    Meneguzzo, D. and W. Vecchiato (2004), “Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps,” The Journal of Futures Markets, 24(1), 37-70.
    Merton, R. (1974), “On the pricing of corporate debt:The risk structure of interest rates,” Journal of Finance, 29, 449-470.
    Schonbucher J. and D. Schubert (2001), “Copula-dependent default risk in intensity models,” Working paper, Department of Statistics, Bonn University.
    Ren-Raw Chen and Ben J. Sopranzetti (2003), “The valuation of default-triggered credit derivative,” Journal of Financial and Quantitative Analysis, 38(2).
    Rogge E. and J. Schonbucher (2003), “Modeling dynamic portfolio credit risk,” Working paper.
    Sklar, A.(1959), “Fonctions de r`epartitions "a n dimensions et leurs marges,”, Publ. Inst. Statist. Univ. Paris 8, 229-231.
    Zhou, C. (2001a), “The Term Structure of Credit Spreads with Jump Risk,” Journal of Banking and Finance, 25, 2015-2040..
    Zhou, C.(2001b), “An analysis of default correlations and multiple defaults,” The Review of Financial Studies, Vol. 14(2), 555-576.
    參考網址
    中華信用評等公司,http://www.taiwanratings.com
    金融局,www.boma.gov.tw
    英國銀行協會(BBA), http://www.bba.org.uk
    附錄
    Description: 碩士
    國立政治大學
    經濟研究所
    92258021
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0922580212
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2249View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback