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研究生:吳志豪
研究生(外文):Chih-Hao Wu
論文名稱:信用交換契約之評價
論文名稱(外文):The Valuation of Credit Default Swap
指導教授:張焯然張焯然引用關係
指導教授(外文):Jow-Ran Chang
學位類別:碩士
校院名稱:國立清華大學
系所名稱:科技管理研究所
學門:商業及管理學門
學類:其他商業及管理學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:40
中文關鍵詞:信用交換契約價差違約強度
外文關鍵詞:credit default swapCDSIntensity Model
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隨著國內金融市場的逐漸開放,各種衍生性商品陸續由國外引進,使得市場參與者對於各種新興金融商品不再陌生,促使國內金融商品的多元化,提供完整的工具來協助投資者更有效地管理資產。以往管理信用風險的傳統方式僅能解決部分的問題,信用衍生性商品便應運而生。信用衍生性商品市場的日益活絡帶動了評價該商品的相關研究日漸發展,而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,因此本研究旨在採用違約強度模型評價信用風險並將其應用至信用交換契約價差(或稱為信用交換契約價格)的評價,試圖推導出契約價值在考慮跳動項的情況下之封閉解,提供信用交換契約價差的合理價值、討論影響信用交換契約價差的因素及未來研究之方向。
本篇論文的內容包括:(一)在設定條件下推導出評價信用交換契約期初價格的封閉解,並對隨機過程之參數及契約期間長短,觀察其對期初價格之影響;(二)計算信用交換契約期間內之價值,並且討論違約強度與利率對於契約價值的影響。結果可以見得信用交換契約期初訂價時,於違約強度隨機過程中加入跳動項,對結果有明顯之影響;其次,當信用交換契約處於契約期間內,其價值受到違約強度之影響會大於受到利率因素之影響。
With the developing of domestic financial market, every type of derivatives is continually imported from other countries. These new derivatives cause market participants no longer to be strange regarding each kind of emerging financial commodities, promote the diversification of financial produces, and provide more tools to help investors manage their assets efficiently. In the past, the traditional ways to deal with credit risk only solve some problems, so the credit derivatives are created. The growing of credit derivatives market has driven the research of the commodities. The most important work is to evaluate the credit risk and then we can appraise the credit derivatives. Therefore, the purposes of this thesis are to evaluate the credit default swap spread with the Intensity Model, and try to provide a reasonable price of the credit default swap spread. We also discuss the factors which affect the price.
There are two divisions in this thesis. First, we hope have a closed-form solution to price a credit swap at the beginning of the contract, and how the coefficients of random process and the maturity of the contract influence the price. Second, we want to get the value of the credit swap during the period and discuss how the intensity and interest rate affect the value. The main conclusions we find include: (1) The coefficients of jump-diffusion process have a notable influence on the price of CDS at the beginning; (2) The higher the intensity is, the higher the value of CDS during the period appears.
參考文獻
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3. Duffie, D. and K.J. Singleton, Credit Risk Pricing, Measurement, and Management, 1997.
4. Düllmann, K., M. Uhrig and M.Windfuhr, “Risk structure of interest rates : an empirical analysis for Deutschemark-denominated bonds,” European Financial Management, 1999.
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7. Hull, John C., “Credit risk” and “Credit derivatives”, Chapter 26 and 27, Options, Futures and Other Derivatives, Prentice Hall(Fifth Edition).
8. Hull, J.C. and A. White, “Valuing Credit Default Swaps I: No Counterparty Default Risk,” Journal of Derivatives, 8, No.1, 29-40, Fall 2000.
9. Hull, J.C. and A. White, “Valuing Credit Default Swaps II: Modeling Default Correlations,” Journal of Derivatives, 8, No.3, 12-22, Spring 2001.
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13. Longstaff, F., S. Mithal and E. Neis, “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market,” Working paper, University of California, 2004.
14. Madan, D. and H. Unal, “Pricing the Risks of Default,” Review of Derivatives Research 2, 121-160, 1998.
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16. Schönbucher, Philipp J., “Term Structure Modelling of Defaultable Bonds,” Reviews of Derivatives Research 2, 161-192, 1998.
17. Schönbucher, Philipp J. “The Pricing of Credit Risk and Credit Risk Derivatives,” Working paper, London School of Economics, Financial Markets Group, February 2000.
18. Zhou, C., A jump-diffusion approach to modeling credit risk and valuing defaultable securities. Finance and Economics Discussion Paper Series 1997/15, Board of Governors of the Federal Reserve System, March 1997.
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