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    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/63903
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/63903

    Title: The Valuation of Special Purpose Vehicles by Issuing Structured Credit Linked Notes
    Authors: Chang, Chia-Chien;Wang, Chou-Wen;Liao,Szu-Lang
    Contributors: 金融系
    Date: 2009-02
    Issue Date: 2014-02-17 17:48:40 (UTC+8)
    Abstract: With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values of structured CLNs issued by an SPV are higher than the ones issued by the protection buyer. When the credit quality of the reference obligation and protection buyer becomes worse or the leverage effect is higher, it is a superior solution for the structured CLNs issued through an SPV. Third, the empirical results of credit spreads do not incorporate the correlation coefficient of spot rate and market index into their regression models and show that they are positively correlated with the volatilities of spot rate and return on market index; however, we find that the relationship among them depends on the sign of correlation coefficient of spot rate and equity index market. Finally, using the differences in the maturities of the note and the reference obligation as the proxy for basis risk measure, we demonstrate that the purpose of the SPV is not used to eliminate the basis risk but the credit risk of protection buyer.
    Relation: Applied Financial Economics, 19(3), 227-256
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1080/09603100701765190
    DOI: 10.1080/09603100701765190
    Appears in Collections:[金融學系] 期刊論文

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