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    題名: 基於跨期違約相關性描述下信用衍生性商品之評價
    其他題名: Inter-Temporal Default Dependence in the Pricing of Credit Contingent Claims
    作者: 江彌修
    貢獻者: 國立政治大學金融系
    行政院國家科學委員會
    關鍵詞: 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
    上傳時間: 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
    資料類型: report
    顯示於類別:[金融學系] 國科會研究計畫

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