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    题名: Default Risk Management of Credit Derivatives with HJM Model
    作者: 胡伯聖
    Hu, Bo-shen
    贡献者: 胡聯國
    胡伯聖
    Hu, Bo-shen
    关键词: Default Risk
    Credit Derivatives
    日期: 2002
    上传时间: 2009-09-18 18:55:01 (UTC+8)
    摘要: 債券信用風險的規避,一直以來是學者有興趣研究的課題,本篇研究以HJM模型去衡量信用風險, 透過市場資料的輸入,去衡量違約程度,並對信用風險相關之衍生性金融商品作出適當的評價,以求規避信用風險.
    Abstract
    In this study, we combine credit valuation approaches developed by Jarrow＆Turnbull (1995)、Duffie＆Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as defaultable yield rate and its volatility to measure credit risk, however, because of the close form in our model, the comparative static analysis for parameters can be done. At last, after introducing the survivor probability measure, we can extend to price default related derivatives.
    參考文獻: Reference
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    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    90351030
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090351030
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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