English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 95906/126496 (76%)
Visitors : 31668515      Online Users : 424
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/53180

    Title: 基於跨期違約相關性描述下信用衍生性商品之評價
    Other Titles: Inter-Temporal Default Dependence in the Pricing of Credit Contingent Claims
    Authors: 江彌修
    Contributors: 國立政治大學金融系
    Keywords: 跨期違約相關性;因子模型;遠期生效擔保債權憑證選擇權;信用價差期間結構
    Inter-temporal Default Dependence;Factor Copulae;Options onForward-Start CDOs;Term Structure of Credit Spreads
    Date: 2009
    Issue Date: 2012-06-25 15:17:11 (UTC+8)
    Abstract: 本研究探討跨期違約相關性描述之下,信用衍生性商品之評價。傳統因子模型之下,缺乏違約相關性之動態描述,本研究以遠期生效擔保債權憑證選擇權為例,經由建立跨期因子模型考量違約事件具跨期相關,進而求得此商品之價格,並於此架構之下,針對其商品之風險特徵做出深入的探討,並提供避險參數之求取。
    This research studies the valuation of options on forward-start CDO tranches when correlated default events are inter-temporally dependent. In contrast to the widely adapted factor copulae formalism which assumes that all targeted products are of single life-time, and default correlations are characterized by a one-factor copula, here I consider an inter-temporal setting, and whether or not a default event would take place depends on a common factor specific to that period. A consistent pricing framework under such dynamic description presents a real challenge to both the practitioners and the academic researchers, and the existing literature on this subject is surprisingly scarce. In this research, I aim to study the feasibility of modeling the correlated nature of defaults events in an inter-temporal setting, and to study the valuation of options on forward-start CDO tranches under such framework.
    Relation: 基礎研究
    研究期間:9808~ 9907
    Data Type: report
    Appears in Collections:[金融學系] 國科會研究計畫

    Files in This Item:

    File SizeFormat
    982416H001.pdf842KbAdobe PDF647View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback