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研究生:蔡豐澤
研究生(外文):Tsai Feng-Tse
論文名稱:信用衍生性商品之評價:違約與回復率模型之應用
論文名稱(外文):Pricing Credit Derivatives: Applying Default-Recovery Rate Model
指導教授:李存修李存修引用關係
指導教授(外文):Lee Tsun-Siou
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:47
中文關鍵詞:信用風險違約信用國家風險
外文關鍵詞:Credit riskDefaultCreditCountry risk
相關次數:
  • 被引用被引用:19
  • 點閱點閱:203
  • 評分評分:
  • 下載下載:36
  • 收藏至我的研究室書目清單書目收藏:2
信用衍生性商品是一項極新的產品,商品性質可以規避具信用風險的標的物,也可應用在銀行的借貸,以及考慮國家風險的外匯或外國債券之管理上,相當廣泛,然而由於商品新穎,且市場上尚未有信用這項產品,所以評價方法仍是眾家之說,理論也略不同於其他衍生性商品的評價方式。
本文經過涉獵各類模型後,採用在美國法律規定下最符合的模型,來進行評價,評價的思維如下:第一、如何計算標的物的違約情形,可以採用市場資料及標的物資料,或評比資料等;第二、如何在給定的合約內容下,評價信用衍生性商品;第三、利用信用衍生性商品避險的策略及效果探討。
未來的課題,在於如何運用更多想像力開發信用衍生性商品,甚至創造出信用這項產品,雖然信用問題不在一般衍生性商品評價之內,但有了信用的評價方法,將使衍生性商品的評價更全面和完整。不論券商或銀行,及涉及信用的租賃等行業,發展信用衍生性商品的市場,是提高其競爭力和管理能力之鑰。
Credit derivative is a very new product, the property of which is to hedge the assets related to credit. It can be no only applied to banks’ loans but also used to manage foreign exchanges and oversea bonds while considering the country risk. Its use is very widespread. However, the product is so brand new that it has not been publicized in the market yet. There are many credit pricing models that are still under dispute and thus the techniques of pricing credit are a little different from those of pricing other derivatives.
The model adopted in this thesis is the most correspondent one to the situation under American law. The process is as follows:
First, the default probability of the underlying assets should be calculated by using the present credit rating or market data.
Second, the credit derivatives under the given contracts can be priced.
Third, the strategies to hedge and the effectiveness of the hedge by using credit derivatives.
It needs more imaginations to create and develop more and more credit derivatives. With the introduction and improvement of techniques to price credit derivatives, credit risk can be considered and the whole derivatives pricing models will be complete. To financial organizations, such as banks and securities companies, and the industries involved with credit, the key to be more competitive is to embark on jumping into the pool of credit derivative.
第一章 緒論------------------------------------------------1
第一節、 研究背景--------------------------------------1
第二節、 研究動機與研究目的------------------------2
第三節、 研究架構---------------------------------4
第二章 文獻回顧-------------------------------------------5
第一節、概論… 商品種類及近年研究闡述------------5
第二節、各類模型之簡述---------------------6
第三節、各類模型之優、缺點及適用時機--------------13
第三章 信用曲線之建構-----------------------------------14
第一節、 模型之選擇及理由--------------------------14
第二節、 建構信用曲線之方法與步驟------------------15
第三節、 建構信用曲線之釋例--------------------------20
第四章 信用衍生性商品之評價及避險--------------------25
第一節、 保險型信用衍生性商品-----------------------25
第二節、 利差型信用衍生性商品----------------------------31
第五章 結論及建議-----------------------38
第一節、 總結-----------------------------38
第二節、 後序研究議題及方向-------------------------39
參考文獻-------------------------------------------40
附錄---------------------------------------------43
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