政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53184
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109952/140903 (78%)
Visitors : 46038789      Online Users : 1023
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/140.119/53184


    Title: 違約風險的經濟因素與Levy 過程下之動態違約評價模型及預警系統
    Other Titles: Economic Determinants of Default Risks and a Dynamic Default Pricing Model with Early Warning System under Levy Processes
    Authors: 廖四郎
    Contributors: 國立政治大學金融系
    行政院國家科學委員會
    Keywords: 經濟;動態違約評價模型;預警系統
    Credit spread;Economic determinant;Default intensity;Subprime mortgage crisis;CDX
    Date: 2009
    Issue Date: 2012-06-25 15:17:17 (UTC+8)
    Abstract: 本文透過經濟因子建構信用衍生性商品評價模型以評價信用違約交換指數並量化信用市場與經濟環境的關係。本文並非僅挑選特定經濟變數，乃是藉由整合許多經濟與財務變數，將龐雜的經濟資訊彙整為少量的經濟因子，再透過無套利條件，決定經濟因子對違約強度過程的影響。實證結果顯示，經濟因子在信用風暴發生前已顯示出信用問題，而且經濟狀況對於信用市場影響甚鉅。樣本外評價結果顯示，動態經濟因子能定義信用環境的改變。因此，藉由量化經濟環境與信用市場關係所建構之經濟因子評價模型，不僅有助於衡量違約機率並能更有效的控管違約風險。
    This paper constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables have been condensed into a few explanatory factors to summarize the noisy economic system. The impacts on default intensity processes are then examined based on no-arbitrage pricing constraints. The approximated results show that economic factors indicated credit problems even before the recent subprime mortgage crisis, and economic fundamentals strongly influenced credit conditions. Testing of out-of-sample data shows that credit evolution can be identified by dynamic explanatory factors. Consequently, the factor based pricing model can either facilitate the evaluation of default probabilities or manage default risks more effectively by quantifying the relationship between economic environment and credit conditions.
    Relation: 應用研究
    學術補助
    研究期間:9808~ 9907
    研究經費:519仟元
    Data Type: report
    Appears in Collections:[Department of Money and Banking] NSC Projects

    Files in This Item:

    File SizeFormat
    982416H003.pdf172KbAdobe PDF2704View/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