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政大機構典藏 > 商學院 > 金融學系 > 國科會研究計畫 > Item 140.119/53149

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53149

Title:	可轉債資產交換與一般資產交換評價與風險控管分析
Other Titles:	Convertible Bond Asset Swap and General Asset Swap with Risk Management: Pricing and Analysis
Authors:	廖四郎
Contributors:	國立政治大學金融系行政院國家科學委員會
Keywords:	可轉債資產交換;一般資產交換;評價;風險 Convertible Bond;Convertible Bond Asset Swap;Risk Management;Credit Risk;Interest Rate Risk
Date:	2011
Issue Date:	2012-06-25 15:16:12 (UTC+8)
Abstract:	本文最主要是評價海外可轉資產交換並且考慮信用風險以及利率風險。在信用風險方面，使用簡約式模型。在利率風險方面，使用CIR模型。考慮此兩種風險，本文使用最小平方蒙地卡羅法評價海外可轉換公司債。最後，本文提出兩種方法並比較其差異。 This project is to price the Euro-convertible bond asset swap considering credit and interest risks. On the credit risk, we use the reduced-form approach. On the interest risk, we adopt the CIR model. Then, we use the LSMC method to price Euro-convertible. At last, we compare the difference the two methods.
Relation:	技術發展學術補助研究期間:10008~ 10107 研究經費:365仟元
Data Type:	report
Appears in Collections:	[金融學系] 國科會研究計畫

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