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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33994
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33994


    Title: 信用評等分組下之合成型CDO評價
    Authors: 郭銚倫
    Contributors: 廖四郎
    郭銚倫
    Keywords: 合成型CDO
    信用評等分組
    CDO
    LPGC
    Date: 2005
    Issue Date: 2009-09-17 19:02:56 (UTC+8)
    Abstract: CDO經由分券的過程將資產的特有風險與系統性風險予以劃分,主要的目的是讓投資者針對風險承擔的能力購買不同的分券。在信用指數合成型CDO方面,市場實務採用簡化的LPGC(Large Pool Gaussian Copula Model)評價,面對降等與特別事件造成的個別資產違約卻無法有效的評估。本文在LPGC上加入信用評等分組與信用移轉矩陣,以Factor Copula方法建立聯合違約關係,配合高斯積分的數值方法計算出各分券的價格,對於信用評等下降的情況與LPGC做比較,結果顯示分組能夠有效的阻隔資產的特有風險,不會讓其他的資產也受到此資產降等的嚴重影響,因此適當的分組夠使模型對於系統與非系統風險有較佳的反應能力。
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    Description: 碩士
    國立政治大學
    金融研究所
    93352021
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093352021
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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