English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 91913/122132 (75%)
Visitors : 25727285      Online Users : 221
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
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/61557
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/61557

    Title: Economic Determinates of Default Risks and Their Impacts on Credit Derivative Pricing
    Authors: 廖四郎
    Contributors: 金融系
    Date: 2010.11
    Issue Date: 2013-11-11 09:39:00 (UTC+8)
    Abstract: This study 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: Journal of Futures Markets, 30(11) , 1058-1081
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20453
    DOI: 10.1002/fut.20453
    Appears in Collections:[金融學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    10581081.pdf311KbAdobe PDF877View/Open

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

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback