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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64851


    Title: 跳躍擴散模型下固定比例債務債券之評價、風險構面與其避險機制
    Other Titles: The Pricing, Credit Risk Decomposition and Hedging Analysis of CPDOs under the Levy Jump-Diffusion Model
    Authors: 江彌修;傅信豪;王聖元
    Chiang, Mi-Hsiu;Fu, Hsin-Hao;Wang, Sheng-Yuan
    Contributors: 金融系
    Keywords: 信用風險;固定比例債務債券;Lévy跳躍擴散模型;credit risk;Constant Proportion Collaterized Debt Obligations;Lévy jump-diffusion model
    Date: 2012-12
    Issue Date: 2014-03-24 14:01:07 (UTC+8)
    Abstract: 本文承接Dorn（2010）中信用指數價差服從Lévy跳躍擴散模型之假設，提供固定比例債務債券評價之封閉解及其動態避險參數。我們藉由訂立相關風險衡量指標，剖析此商品之風險構面，並建構其動態避險機制。研究結果顯示，信用市場風險平緩的情境下，此商品達成負債目標價之比率偏高，此時投資人雖然有較低的平均資產淨損失，但是其平均增額等候時間也相對增加，隱含投資人因放棄投資於相同給付條件之同等級債券所喪失的機會成本相對提高。當信用指數價差波動增劇，此商品達成負債目標之比率偏低，且因其資產負債之缺口過大而提前出場的機率大增，可能引發投資人蒙受平均資產淨損失甚鉅。本文最後提供此商品之避險成效分析，我們檢測動態避險策略在不同信用市場情境下的績效，並探討避險頻率的長短對其績效之影響。
    This research follows Dorn (2010) in assuming that credit index spread resembles a Lévy-jump diffusion process, in order to derive the pricing formulae together with the hedging parameters in closed-form for Constant Proportion Collateralized Debt Obligations (CPDOs). By introducing risk measures that are of concerns to credit protection sellers, we analyze the embedded risk characteristics of CPDOs, and propose delta-neutral strategies that are feasible to hedge such products. Our numerical results show that, under a volatile market scenario, CPDOs exhibit low rates in achieving the Target Bond Price, and an increased likelihood of their Cash-out events due to aggravated Shortfalls can provoke substantial losses being incurred to investors. We finalize this research by providing benchmark measures for the proposed hedging strategies under different market scenarios and we discuss the impacts of different hedging frequencies on hedging performances.
    Relation: 臺大管理論叢, 23(1), 327-361
    Data Type: article
    DOI link: http://dx.doi.org/10.6226/NTURM2012.OCT.R12017
    DOI: 10.6226/NTURM2012.OCT.R12017
    Appears in Collections:[Department of Money and Banking] Periodical Articles

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