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    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/33994


    题名: 信用評等分組下之合成型CDO評價
    作者: 郭銚倫
    贡献者: 廖四郎
    郭銚倫
    关键词: 合成型CDO
    信用評等分組
    CDO
    LPGC
    日期: 2005
    上传时间: 2009-09-17 19:02:56 (UTC+8)
    摘要: 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。
    參考文獻: Andersen,L. and Sidenius, J., “Extensions to the Gaussian Copula :Random Recovery and Random Factor Loadings”, Journal of Credit Risk, Vol. 1, No. 1,(2004), 29-70.
    Chen, R.-R. and Sopranzetti B., “ The Valuation of Default-Triggered Credit Derivatives”, Journal of Financial and Quantitative Analysis, Vol. 38, No. 1, (2002), 359-382.
    Dowd, K., “Hedge Funds Losses, Credit Derivatives and Dr.Li’s Copula”, Financial Engineering News,(2005) Nov
    Duffie, D. and K. Singleton,“Modeling term structures of defaultable bonds”, Review of Financial Studies,12 (1999) 687-720.
    Gregory, J. and Laurent, J-P, “Basket default swaps, CDO’s and Factor Cop- ulas”, Working paper, BNP Paribas, (2003)
    Gregory, J. and Laurent, J-P “In the core of correlation”, Working paper, BNP Paribas, (2004)
    Gregory, J., Burtschell, X. and Laurent, J-P “Beyond the Gaussian copula : stochastic and local correlation” ,Working paper, BNP Paribas, (2005)
    Gibson, M. “Understanding the risk of synthetic CDOs” ,Working paper, (2004)
    Horsewood, R., “The Billion Dollar Question”, ISR international Securitisation Report,(2005)
    Horsewood, R., “2005 After Maths”, Financial Engineering News, (2005) Dec
    Hull, J. and White, A., “Valuation of a CDO and an nth to Default CDS Without Monte Carlo simulation”, Journal of Derivatives, Vol.12, No. 2, (2004) 8-23.
    Krieger, H., “Probability generating functions”, Working paper, Harvey Mudd College (2005)
    Kakodkar, A., Martin, B. and Galiani B. “Correlation Trading”, Merrill Lynch , Technical paper,(2003)
    Kalemanova, A., Schmid, B. and Werner, R., “The Normal inverse Gaussian distribution for synthetic CDO pricing”, working paper,(2005)
    Kauffmann, J., “Credit Derivatives:What a Mezz!”, ING, Technical paper, (2005)
    Lehnert, N., Altroc, F., Truck, S., and Wilch, A. “Implied Correlations in CDO Tranches” , Working paper, (2005)
    Li, D. X., “on default correlation : A copula Function approach”, Journal of Fixed Income, Vol. 9, No. 4,(2000), 43-54.
    McGinty, L. and Ahluwalia, R., “Credit Correlation: A Guide”,JP Morgan Technical paper, (2004)
    McGinty,L. , Ahuwalia, R., and Beinstein, E., “A relative value framework for credit correlation” ,JP Morgan Technical paper, (2004)
    Turc, J. and Very, P., (2004), “Quantitative Strategy”,SG, Technical paper, (2004)
    Turc, J., Very, P., Benhamou, D. and Alvarez, V., “Quantitative strategy”, SG, Technical paper, (2005)
    Whitehouse, M., “How a Formula Ignited Market That Burned Some Big Investors”, The Wall Street Journal, (2005) Sep
    描述: 碩士
    國立政治大學
    金融研究所
    93352021
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093352021
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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