政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/70806
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110182/141115 (78%)
Visitors : 46641352      Online Users : 487
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/70806


    Title: 重隨機假設下動態違約相關性之描述及其資訊內涵：以指數型信用擔保債權憑證為例
    Other Titles: On the Characterization and Information Contents of Dynamic Default Correlation under the Doubly Stochastic Assumption: The Case of iTraxx CDO Tranches
    Authors: 江彌修;邱信瑜;王盈心
    Chiang,Mi-Hsiu;Chiu,Hsin-Yu;Wang,Ying-Hsin
    Contributors: 金融系
    Keywords: 動態違約模型;混合卜瓦松跳躍過程;資產動態存活機率
    default correlations;mixed Poisson jump processes;contagious effects
    Date: 2014.09
    Issue Date: 2014-10-27 11:10:53 (UTC+8)
    Abstract: 本文建立信用資產債權群組之動態違約相關性模型。其中，我們允許異質性信用風險事件之抵達由雙重（Autonomous）混合型卜瓦松跳躍過程（Mixed Poisson Jump Processes）所描述，且藉由跳躍幅度（Jump Sizes）反映信用事件之於信用資產池（Reference Pool）聯合存活機率（Joint Survival Probabilities）的危害程度。本文藉由提供驅動信用事件發生之頻率（Default intensity）服從一雙參數伽瑪（Gamma）及帕雷圖分配（Pareto Distribution），以描述不同市場情境下信用事件發生之密集性。我們以市場指數型擔保債權憑證iTraxx Europe為例，驗證模型之市價擬合度，且藉由校準市價反推求得各分券之隱含相關性（Implied Correlation），進一步闡述隱含相關性於分券風險特徵及信用交易策略上所呈現的意涵。
    In this paper we present a tractable model that dynamically characterizes the correlation structure for a portfolio of credit entities. Heterogeneous credit events are modeled as the arrivals of mixed Poisson jump processes and magnitudes of jumps represent the associated impacts of credit events on the joint survival probabilities of the credit portfolio. We assume that the default intensities of both sources of risk are driven by a combination of two-parameter Gamma and Pareto distributions as to capture the clustering effects of default events under different market scenarios. We conduct calibration of the model to iTraxx Europe as an example and verify the goodness of fit between the arket spreads and the model spreads of ours. We extract the implied jump-sizes that reveal information on the correlation structure, and further explore their impacts on the risk characteristics of CDO tranches.
    Relation: 臺大管理論叢,24(S1),97-132
    Data Type: article
    Appears in Collections:[Department of Money and Banking] Periodical Articles

    Files in This Item:

    File Description SizeFormat
    97-132.pdf2511KbAdobe PDF2824View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback