政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36587
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109948/140897 (78%)
Visitors : 46072555      Online Users : 651
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
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36587


    Title: Default Risk Management of Credit Derivatives with HJM Model
    Authors: 胡伯聖
    Hu, Bo-shen
    Contributors: 胡聯國
    胡伯聖
    Hu, Bo-shen
    Keywords: Default Risk
    Credit Derivatives
    Date: 2002
    Issue Date: 2009-09-18 18:55:01 (UTC+8)
    Abstract: 債券信用風險的規避,一直以來是學者有興趣研究的課題,本篇研究以HJM模型去衡量信用風險, 透過市場資料的輸入,去衡量違約程度,並對信用風險相關之衍生性金融商品作出適當的評價,以求規避信用風險.
    Abstract
    In this study, we combine credit valuation approaches developed by Jarrow＆Turnbull (1995)、Duffie＆Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as defaultable yield rate and its volatility to measure credit risk, however, because of the close form in our model, the comparative static analysis for parameters can be done. At last, after introducing the survivor probability measure, we can extend to price default related derivatives.
    Reference: Reference
    1. Bjorn Flesaker (Dec., 1993), Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing,The Journal of Financial and Quantitative Analysis, Vol. 28, No. 4. pp. 483-495.
    2. Darrell Duffie; Mark Schroder; Costis Skidas (1996), Recursive Valuation of Defaultable Securities and The Timing of Resolution of Uncertainty,The Annals of Applied Probability, Vol. 6, No. 4pp. 1075-1090
    3. Darrell Duffie; Ming Huang (1996) :” Swap Rates and Credit Quality” The Journal of Finance, Vol. 51, No. 3, pp. 921-949.
    4. Darrell Duffie; Kenneth J. Singleton (1997)”An Econometric Model of the Term Structure of Interest-Rate Swap Yields”The Journal of Finance, Vol. 52, No. 4. pp. 1287-1321.
    5. Darrell Duffie; Kenneth J. Singleton (1999) Modeling Term Structures of Defaultable Bonds ,The Review of Financial Studies, Vol. 12, No. 4. pp. 687-720.
    6. Didder Cossin and Hugues Pirotte,” Advanced Credit Risk Analysis”Ch8 Credit Risk of Derivatives,P113~144;Ch21 Financial structuring with credit derivatives,P301~320
    7. Eric Briys; Francois de Varenne (1997), Valuing Risky Fixed Rate Debt: An Extension,The Journal of Financial and Quantitative Analysis, Vol. 32, No. 2.pp. 239-248.
    8. Eric S. Rosengren (Mar., 1993),Defaults of Original Issue High-Yield Convertible Bonds,The Journal of Finance, Vol. 48, No. 1 , pp. 345-362.
    9. Franklin R. Edwards( 1999)Hedge Funds and the Collapse of Long-Term Capital Management ,The Journal of Economic Perspectives, Vol. 13, No. 2, pp. 189-210.
    10. Francis A. Longstaff; Eduardo S. Schwartz (Jul., 1995), A Simple Approach to Valuing Risky Fixed and Floating Rate Debt, The Journal of Finance, Vol. 50, No. 3, pp. 789-819.
    11. Gregory R. Duffee (1999)” Estimating the Price of Default Risk” The Review of Financial Studies, Vol. 12, No. 1. pp. 197-226.
    12. Health D, Jarrow R, and Merton A(1992), Bond pricing and the term structure of Interest rates, Econometrica,60,pp77~105
    13. Ian A. Cooper; Antonio S. Mello (1991), The Default Risk of Swaps,The Journal of Finance, Vol. 46, No. 2. pp. 597-620.
    14. John S. Strong(Aug., 1989), The Market Valuation of Credit Market Debt Journal of Money, Credit and Banking, Vol. 21, No. 3. , pp. 307-320.
    15. Jarrow R. and Turnbull S (1995), Modeling Term Structure of Defaultable Bonds, The Jiurnal of Finance 50,53~86
    16. Jose Guedes; Tim Opler (1996),The Determinants of the Maturity of Corporate Debt IssuesThe Journal of Finance, Vol. 51, No. 5 pp. 1809-1833.
    17. Kenneth A. Froot; David S. Scharfstein; Jeremy C. Stein(1993)”Risk Management: Coordinating Corporate Investment and Financing Policies” The Journal of Finance, Vol. 48, No. 5., pp. 1629-1658.
    18. Koji Inui; Masaaki Kijima. (Sep., 1998), A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models,The Journal of Financial and Quantitative Analysis, Vol. 33, No. 3. pp. 423-440.
    19. Madan D. and Unal H (1999), A Two Factor Hazard Rate Model for pricing Risky Debt and the Term Structure of Credit Spreads, The Journal of Financial and Quantative Analysis34,PP48~65
    20. Michael J. Barclay; Clifford W. Smith, Jr. (1995)”The Maturity Structure of Corporate Debt” The Journal of Finance, Vol. 50, No. 2 pp. 609-631.
    21. Myron S. Scholes (1998), Derivatives in a Dynamic Environment,The American Economic Review, Vol. 88, No. 3. pp. 350-370.
    22. Robert A. Jarrow; Stuart M. Turnbull (1995) :” Pricing Derivatives on Financial Securities Subject to Credit Risk”The Journal of Finance, Vol. 50, No. 1. pp. 53-85.
    23. Rebecca S. Demsetz; Philip E. Strahan(Aug., 1997),Diversification, Size, and Risk at Bank Holding Companies,Journal of Money, Credit and Banking, Vol. 29, No. 3. pp. 300-313.
    24. Schonbucher P.J (1996),Valuation of Securities subject to credit Risk; (2000), The pricing of Credit Risk and Credit Risk Derivatives, working paper
    25. Stijn Claessens; George Pennacchi (1996), Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds,The Journal of Financial and Quantitative Analysis, Vol. 31, No. 1,pp. 109-126.
    26. Tomasz R. Bielecki and Marek Rutkowski, “Credit Risk: Modeling,Valuation and Hedging”,Chap 13 Heath-Jarrow-Morton Type Models,pp385~422
    27. Zhou C (1997), A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities, Financial and Economics Discussion PaperSeries,Board of Governors of the Fedaral Reserva System
    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    90351030
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090351030
    Data Type: thesis
    Appears in Collections:[Department of International Business] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2476View/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