臺灣博碩士論文加值系統

由於信用風險逐漸受到信用市場內參與者的關注，而市場參與者面對金融市場快速發展，及金融工具推陳出新，原有的衡量工具、風險結構及信用文化均受到嚴厲挑戰。有鑑於此，本篇論文想致力於合成式債務憑證（synthetic CDO）所聯結之企業（reference entities）違約風險的研究，希望能找出避險成本的合理性，以提供承銷商避險決策之參考。
本研究發現：
一、在較低順位之分券，隱含相關係數與避險成本呈反向關係。
二、若能估算隱含相關係數，再運用高斯factor copula model即可求算出合理的避險成本。
三、本研究係先求算各個資產兩兩間之相關係數（correlation coefficient）進而求其平均值，以此平均值推估隱含相關係數。
關鍵字：synthetic CDO、CDS、factor copula model、implied correlation

Keywords : synthetic CDO, CDS, factor Copulas model, implied correlation

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第二章 文獻探討 4
第一節 信用風險評價模型 4
第二節 CDO評價模型之介紹 12
第三節 COPULA 函數簡介 19
第三章 證券化商品介紹 23
第一節 資產擔保商業本票概說 23
第二節 擔保債務憑證介紹 32
第三節 合成式CDO介紹 44
第四節 信用違約交換介紹 52
第五節 傳統CDO與合成式CDO之比較 62
第四章 實證分析 63
第一節 個案分析 64
第二節 避險動機 66
第三節 實證方法與相關假設 69
第四節 實證資料與結論 73
第五章 結論與建議 78
第一節 結論 78
第二節 建議 79
參考文獻 80

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