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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/53820


    Title: 一籃子信用違約交換之評價---考量交易對手違約風險
    Other Titles: Valuation of Basket Default Swaps with Counterparty Risk
    Authors: 岳夢蘭
    Contributors: 國立政治大學財務管理學系
    行政院國家科學委員會
    Keywords: 一籃子信用違約交換;交易對手違約風險;因子連繫結構模型;減小變異數模擬法;信用價值調整
    basket default swap;counterparty risk;factor-copula model;variance-reduction simulation method;credit value adjustment
    Date: 2010
    Issue Date: 2012-10-22 11:10:56 (UTC+8)
    Abstract: 交易對手風險指的是衍生性商品契約交易的一方不願意或無法履行契約的義務,因而導致與其交易的另一方產生損失的風險。自從2008年全球最大的保險集團American International Group Inc. (AIG-US) 因使用信用違約交換(Credit Default Swaps)而引發鉅額虧損瀕臨破產後,如何衡量信用衍生性商品交易對手的違約風險便成為一個重要的研究課題。 本研究計畫的目的是在考慮交易對手有可能違約的情況下,探討一籃子信用違約交換(basket default swaps)的評價問題。信用違約交換是一種簡單的信用衍生性商品,契約中的違約保護買方(protection buyer)因持有具風險性的標的資產,而希望將此資產的信用風險移轉給違約的保護賣方(protection seller),因而定期支付固定費用給違約的保護賣方以獲得違約風險的保護。當標的資產是由多個風險性資產購成的投資組合時,此契約便稱為一籃子信用違約交換。一籃子信用違約交換契約的分析與評價,除了需考慮標的投資組合內個別資產的違約機率及其違約損失值外,還需同時考量此一籃子內各風險性資產的關聯係數,以正確衡量標的投資組合的損失分配,因此在評價一籃子信用違約交換上已較單一資產的CDS評價問題複雜。若此時再加入交易對手違約風險的考量,則整個評價問題將更趨困難,因此截至目前為止,文獻中尚未有考量交易對手違約風險的一籃子信用違約交換定價之相關研究。 本研究計畫首先利用Laurent and Gregory(2005)提出的因子連繫結構模型(factor model)來描述一籃子中個別標的資產間的相關性。接著將擴展此模型至多因子的形式,以藉此描述個別標的資產和違約保護賣方間的相關性。在此多因子連繫結構模型的架構下,我們將發展減小變異數(variance reduction)的有效模擬方法來評價考量了交易對手違約風險的一籃子信用違約交換。在定義信用價值調整項(credit value adjustment)為一籃子信用違約交換契約因其交易對手有可能違約,而造成此契約價值減損的部分後,本計劃也將進一步分析標的資產間的相關性,以及標的資產和違約保護賣方之間的相關性,將如何影響此一信用價值調整項。最後本計劃將探討模型中的各參數將如何影響評價方式的效率性。
    The recent credit crisis has highlighted the importance of counterparty risk in connection with valuation and risk management of credit derivatives. Counterparty risk in general is the risk that the party to a financial contract may fail to make all the payments required by the contract, causing losses to the other party. Contracts privately negotiated between counterparties like over-the-counter (OTC) derivatives are most likely subject to counterparty risk. The value of a credit derivative should depend on not only the risk of defaults of both the reference entity and the counterparty, but also the dependence of these two risks on one another. Ignoring correlations between underlying entities and the counterparty cannot reflect the true value of a credit derivative. A few studies have been made to analyze the valuation of counterparty risk within a credit default swap. In contrast, little attention has been given to analyze the counterparty risk embedded in a basket default swap. This research takes into account of counterparty risk for the valuation of a basket default swap (BDS), aiming to fill the gap in the literature on the analysis of counterparty risk within credit derivatives. In this research, we will define the credit value adjustment (CVA) as the devaluation of a contract due to counterparty default. Therefore, CVA is the market value of counterparty credit risk. We will first study the CVA of a BDS. We will then explore the impact of model parameters on the efficiency of the proposed pricing method.
    Relation: 基礎研究
    學術補助
    研究期間:9908~ 10007
    研究經費:598仟元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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