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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/61557


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    题名: Economic Determinates of Default Risks and Their Impacts on Credit Derivative Pricing
    作者: 廖四郎
    LIAO,SZU-LANG;CHANG,JUI-JANE
    贡献者: 金融系
    日期: 2010.11
    上传时间: 2013-11-11 09:39:00 (UTC+8)
    摘要: 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.
    關聯: Journal of Futures Markets, 30(11) , 1058-1081
    数据类型: article
    DOI 連結: http://dx.doi.org/10.1002/fut.20453
    DOI: 10.1002/fut.20453
    显示于类别:[金融學系] 期刊論文

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