政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53180
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 109952/140887 (78%)
造访人次 : 46297602      在线人数 : 1313
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/53180


    题名: 基於跨期違約相關性描述下信用衍生性商品之評價
    其它题名: Inter-Temporal Default Dependence in the Pricing of Credit Contingent Claims
    作者: 江彌修
    贡献者: 國立政治大學金融系
    行政院國家科學委員會
    关键词: 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
    日期: 2009
    上传时间: 2012-06-25 15:17:11 (UTC+8)
    摘要: 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.
    關聯: 基礎研究
    學術補助
    研究期間:9808~ 9907
    研究經費:440仟元
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

    文件中的档案:

    档案 大小格式浏览次数
    982416H001.pdf842KbAdobe PDF2757检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈