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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49021


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    題名: 以樹狀結構評價擔保債權憑證：考量隨機回復率
    Multinomial trees in the pricing of CDOS with stochastic recovery rates
    作者: 王瑞傑
    Wang,Ruey Jey
    貢獻者: 江彌修
    黃俊仁
    Chiang, Mi Hsiu
    Huang, Jun Ren
    王瑞傑
    Wang,Ruey Jey
    關鍵詞: 擔保債權憑證
    樹狀結構
    Multinomial Trees
    CDO
    日期: 2009
    上傳時間: 2010-12-08 01:57:03 (UTC+8)
    摘要: 本研究以Das and Sundaram (2004)提出之樹狀模型為基礎， 參考Bandreddi (2007)之延伸，將上述模型用來模擬多資產的聯合違約。此外進一步改善回復率為固定常數之設定，加入Das and Hanouna (2009)對回復率與違約機率間的函數關係，使得回復率為動態，而模型依舊保有可由市場報價進行參數校準之特性，進行擔保債權憑證CDO之敏感度分析與風險分析。
    參考文獻: [1] Altman, E. I., Andrea. R and Andrea. S (2001), "Analyzing and Explaining Default Recovery Rates."
    [2] Altman, E. I., Brooks. B, Andrea. R and Andrea. S (2004), "The link between default and recovery rate: theory, empirical evidence and implications." Journal of Business.
    [3] Amaroui, S. and Sebastien. H (2008), "Optimal Stochastic Recovery for Base Correlation."
    [4] Andersen, L. and Jacob. S (2004), "Extensions of the Gaussian Copula: Random Recovery and Random Factor Loadings." Journal of Credit Risk 1: 29-70.
    [5] Black, F. and John C. C. (1976), "Valuing corporate securities：some effects of bond indenture provisions." Journal of Finance 31: 351-367.
    [6] Das, S. and Rangarajan. S (2004), "A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk."
    [7] Das, S., Santhosh. B and Rong. F (2007), "Correlated Default Modeling with a Forest of Binomial Trees."
    [8] Das, S. and Paul. H (2009), "Implied Recovery."
    [9] Gibson, M (2004), "Understanding the risk of synthetic CDOs." Board of Governors of the Federal Reserve System no.2004-36.
    [10] Gupton, M. G.,and Roger. M. S (2002), "LossCalcTM：Moody’s Model for Predicting Loss Given Dwfault." Moody’s Special Comment February: 3-34.
    [11] Gupton, M. G., Daniel. G., and Lea V. C (2000), "Bank Loan Loss Given Default." Moody’s Special Comment November: 1-15.
    [12] Hu,Y and William. P (2002), "The Dependence of Recovery Rates and Defaults."
    [13] Jarrow, R., David. L, and Stuart. M. T (1997), "A Markov model for the term structure of credit spread." Review of Financial Studies 10: 481- 523.
    [14] Jarrow, R. and Fan Y (2001), "Counterparty risk and the pricing of defaultable securities." Journal of Finance 56: 1765- 1799.
    [15] Jarrow, R. and Stuart. M. T (1995), "Pricing derivatives on financial securities subject to credit risk." Journal of Finan 50: 53- 85.
    [16] Kishore, Edward. I.A (1996), "Almost Everything You Wanted To Know About Recoveries On Default Bonds." Financial Analysts Journal Nov/Dec: 57-64.
    [17] Li, D. (2000), "On default correlation: A copula function approach." Journal of Fixed Income 9(4): 43-54.
    [18] Merton, R. (1974), "On the pricing of corporate debt：The risk structure of interest rates." Journal of Finance 29: 449-470.
    [19] Millossovich, P. (2003), "An Extension Of The Jarrow-Lando-Turnbull Model To Random Recovery Rate."
    描述: 碩士
    國立政治大學
    金融研究所
    97352024
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0973520241
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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