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    题名: 違約風險的經濟因素與Levy 過程下之動態違約評價模型及預警系統
    其它题名: Economic Determinants of Default Risks and a Dynamic Default Pricing Model with Early Warning System under Levy Processes
    作者: 廖四郎
    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: 經濟;動態違約評價模型;預警系統
    Credit spread;Economic determinant;Default intensity;Subprime mortgage crisis;CDX
    日期: 2009
    上传时间: 2012-06-25 15:17:17 (UTC+8)
    摘要: 本文透過經濟因子建構信用衍生性商品評價模型以評價信用違約交換指數並量化信用市場與經濟環境的關係。本文並非僅挑選特定經濟變數，乃是藉由整合許多經濟與財務變數，將龐雜的經濟資訊彙整為少量的經濟因子，再透過無套利條件，決定經濟因子對違約強度過程的影響。實證結果顯示，經濟因子在信用風暴發生前已顯示出信用問題，而且經濟狀況對於信用市場影響甚鉅。樣本外評價結果顯示，動態經濟因子能定義信用環境的改變。因此，藉由量化經濟環境與信用市場關係所建構之經濟因子評價模型，不僅有助於衡量違約機率並能更有效的控管違約風險。
    This paper constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables have been condensed into a few explanatory factors to summarize the noisy economic system. The impacts on default intensity processes are then examined based on no-arbitrage pricing constraints. The approximated results show that economic factors indicated credit problems even before the recent subprime mortgage crisis, and economic fundamentals strongly influenced credit conditions. Testing of out-of-sample data shows that credit evolution can be identified by dynamic explanatory factors. Consequently, the factor based pricing model can either facilitate the evaluation of default probabilities or manage default risks more effectively by quantifying the relationship between economic environment and credit conditions.
    關聯: 應用研究
    學術補助
    研究期間:9808~ 9907
    研究經費:519仟元
    数据类型: report
    显示于类别:[金融學系] 國科會研究計畫

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