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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/61557

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61557

Title:	Economic Determinates of Default Risks and Their Impacts on Credit Derivative Pricing
Authors:	廖四郎 LIAO,SZU-LANG;CHANG,JUI-JANE
Contributors:	金融系
Date:	2010.11
Issue Date:	2013-11-11 09:39:00 (UTC+8)
Abstract:	This study 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.
Relation:	Journal of Futures Markets, 30(11) , 1058-1081
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1002/fut.20453
DOI:	10.1002/fut.20453
Appears in Collections:	[金融學系] 期刊論文

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