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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/78726
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/78726


    Title: 以不同關聯結構模型對合成型抵押擔保債券憑證評價之研究
    Pricing Synthetic CDOs with different copula models
    Authors: 蘇煒融
    Contributors: 劉惠美
    蘇煒融
    Keywords: 合成型抵押擔保債權憑證
    單因子關聯結構模型
    F分配
    Date: 2015
    Issue Date: 2015-10-01 14:12:18 (UTC+8)
    Abstract: 在合成型抵押擔保債券憑證評價上,Kalemanova et al. (2007) 提出應用大樣本一致性資產組合(large homogeneous portfolio ; LHP)假設之單因子NIG關聯結構模型,配適比常態分配好。林聖航(民101)分析結果顯示NIG(2)模型優於MIX模型、NIG(1)模型、Gaussian模型與CSN模型。本文透過Lee and Hu(1996)提出的F分配線性組合之近似方法模擬出穩定摺積性質和封閉性以縮短計算時間。導出新的單因子F關聯結構模型與過去的模型做比較,並且會使用26期報價資料。文中將常態分配、F自由度10、、F自由度200、F自由度100000四種單因子關聯結構模型作模型比較分析。最後實證分析結果顯示F分配模型大部分資料配適都不佳,但是2008/11/25以及2009/3/31中配適比高斯分配還佳,2009/3/31甚至配適的比單因子NIG(2)模型、MIX模型以及、NIG(1)模型、高斯模型與CSN模型更佳,2008/11/25以及2009/3/31中市場報價的特色為0-3%分券的報價分別為64.03%及66.83% 而其他時期的0-3%分券報價均未超過50% 。各期當3-6%分券報價有負值時,單因子F(10, 10)關聯結構模型雖然表現不佳尤其在但0-3%分券表現很差,但3-6%分券都配適的很理想,顯示單因子F關聯結構模型在某些特殊狀況時可以表現出良好配適。
    Reference: 1.Hull, J., and White, A. (winter 2004) “Valuation of a CDO and an n-th to Default CDS without Monte Carlo Simulation.” The Journal of Derivatives, 12(2), 8-23.

    2.Kalemanova, A., Schmid, B., and Werner, R. (spring 2007). “The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.” The Journal of Derivatives,14, 80-93.

    3.Lee, J.C., and Hu, L. (1996). “On the distribution of linear functions of independent F and U variates.” Statistics & Probability Letters, 26, 339-346.

    4..Li, D. X. ( 2000 ). “On default correlation: a copula function approach.” Journal of Fixed Income , 9 ( 4 ), 43-54.

    5.Liang, K., Lee, J.C., and Shao, K.S.H. (November 2006). “On the Distribution of the Inverted Linear Compound of Dependent F-Variates and its Application to the Combination of Forecasts. “ Journal of Applied Statistics , 33( 9), 961–973.

    6. O’Kane, D., and Schlögl, L. (February 2001). “Modeling Credit: Theory and Practice.” Analytical Research Series, Lehman Brothers.

    7. Wang, D., Rachev, S.T., and Fabozzi, F.J. (October 2006). Pricing Tranches of a CDO and a CDS Index: Resent Advances and Future Research. Working paper.

    8. Wang , D., Rachev, S.T., and Fabozzi, F.J. (2009). “Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models.” Journal of Empirical Finance , 16 , 201–215 .

    9.林聖航 (民101) 。探討合成型抵押擔保債券憑證之評價。國立政治大學統計學系碩士論文,台北市。

    10.邱嬿燁 (民97) 。探討單因子複合分配關聯結構模型之擔保債權憑證之評價 。國立政治大學統計學系碩士論文,台北市。
    Description: 碩士
    國立政治大學
    統計研究所
    101354006
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101354006
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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