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研究生:施宜君
研究生(外文):Yi-Chun Shih
論文名稱:信用風險之評價與應用
論文名稱(外文):Valuation and Application of Credit Risk
指導教授:陳松男陳松男引用關係
指導教授(外文):Son-Nan Chen
學位類別:碩士
校院名稱:國立政治大學
系所名稱:金融學系
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:2001
畢業學年度:89
語文別:中文
中文關鍵詞:信用風險信用衍生性商品違約強度模型
外文關鍵詞:Credit RiskCredit DerivativesIntensity Model
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信用風險對銀行、債券發行者及債券投資者而言是個很重要的考量,因此信用風險的管理成為一個很重要的課題。但管理信用風險的傳統方法,對控制信用風險都只能解決部分的問題。信用衍生性商品便應運而生。
評價信用衍生性商品的首要工作為對信用風險予以衡量及評價。本文採用違約強度模型評價信用風險並將其應用至信用價差選擇權的評價,試圖提供信用價差選擇權的合理價值及該評價公式在現實生活的可行性,並討論相關變數變動對信用價差選擇權價值的影響。
Credit risk is an important consideration for banks, bond issuers, and bond investors. The conventional methods of managing credit risk, such as diversification, bank loan sales, and asset securitization, offer only a partial solution to controlling credit risk exposure. In recent years, the growing market for credit derivatives has provided powerful new tools for managing credit risk that can be less costly and more effective than traditional methods.
How to measure and value credit risk is the main task of credit derivatives. The present study adopts an intensity model to value credit risk and applies this approach to price credit spread options. This study provides the reasonable premium for credit spread options and the practice of the pricing formula in the real world. It also covers the effects of the put premium for credit spread concerning the related variables.
第一章 緒論………………………………………………………….1
第一節 研究動機及目的………………………………………….1
第二節 研究架構………………………………………………….2
第二章 信用衍生性商品…………………………………………….3
第一節 信用衍生性商品的意義與功能………………………….3
第二節 信用衍生性商品的種類………………………………….4
第三節 建立信用衍生性商品一般化評價公式的困難………….8
第三章 文獻回顧…………………………………………………….9
第四章 研究模型…………………………………………………….21
第一節 Jarrow, Lando and Turnbull(1997)………………21
第二節 Kijima and Komoribayashi(1998)…………………25
第三節 信用價差選擇權的評價………………………………….27
第五章 信用價差選擇權相關探討………………………………….29
第一節 研究方法………………………………………………….29
第二節 資料來源與限制………………………………………….29
第三節 信用價差賣權之理論價格與分析……………………….31
第四節 敏感度分析……………………………………………….34
第五節 結論……………………………………………………….39
第六章 結論………………………………………………………….40
參考資料………………………………………………………………41
附表……………………………………………………………………43
附錄……………………………………………………………………44
【中文部分】
1. 陳松男,「信託及投資銀行業務研究」,民國九十年。
2. 張如淵,「信用衍生性商品之介紹與設計」,國立中央大學財務管理研究所碩士論文,民國八十八年六月。
3. 蔡豐澤,「信用衍生性商品之評價:違約與回復率模型之應用」,國立台灣大學財務金融研究所碩士論文,民國八十九年六月。
【英文部分】
1. Ammann, Manuel, Pricing Derivative Credit Risk , Springer ,1999.
2. Arvanitis, Gregory and Laurent, “Building Models for Credit Spreads”, Journal of Derivatives, Spring 1999, 27-43.
3. Brzezniak, Zdzislaw and Tomasz Zastawniak, “Markov Chains”, Chapter 5, Basic Stochastic Processes, Springer,1999.
4. Carty, Lea V. “Corporate Credit-Risk Dynamics”, Financial Analysts Journal, July/August 2000, 67-81.
5. Chen, Derek H., Harry H. Hung, Rui Kan, Ashok Varikooty and Henry N. Wang, “Modelling and Managing Credit Risk”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 97-115.
6. Das S. and T. Tufano, “Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic”, Journal of Financial Engineering, vol. 5, 1996, 161-198.
7. Das, S. “Credit Derivatives”, Journal of Derivatives, Spring 1995, 7-23.
8. Das, Satyajit, Credit Derivatives: Trading & Management of Credit & Default Risk, John Wiley & Sons Pte Ltd ,1998.
9. Francis, Jack Clark, Joyce A. Frost and J. Gregg Whittaker, Handbook of Credit Derivatives, McGraw-Hill,1999.
10. Gupton, G.M., Finger, C. and Bhatia, M., CreditMetricsTM-Technical Document, J.P. Morgan & Co. Incorporated., 1997.
11. Hull, John C. “Credit Risk”, Chapter 23, Options, Futures & Other Derivatives, Prentice Hall(Fourth Edition).
12. Jarrow & Turnbull, “Credit Risk”, Chapter 18, Derivative Securities, South Western College Publishing,1996.
13. Jarrow and Turnbull, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, 1995, vol 50, 53-86.
14. Jarrow, Lando and Turnbull, “A Markov Model for the Term Structure of Credit Risk Spread”, The Review of Financial Studies, Summer 1997, vol 10, No.2, 481-523.
15. Jarrow, Rober A. and Donald R. van Deventer, “Integrating Interest Rate Risk and Credit Risk in ALM”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 87-96.
16. Kijima and Komoribayashi, “A Markov Chain Model for Valuing Credit Risk Derivatives”, The Journal of Derivatives, Fall 1998, 97-108.
17. Tavakoli, Janet M., Credit Derivatives: A Guide to Instruments and Applications, John Wiley & Sons, Inc.,1998.
18. Wilson, Thomas “Portfolio Credit Risk(Ⅰ)”, Risk, September 1997, vol. 10, No. 9, 111-117.
19. Wilson, Thomas “Portfolio Credit Risk(Ⅱ)”, Risk, October 1997, vol. 10, No. 10, 56-61.
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