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研究生:傅以沅
研究生(外文):Fu, Yi-Yuan
論文名稱:信用違約交換價差之影響因素:通用汽車與福特汽車之事件研究
論文名稱(外文):The Change in CDS Spread:An Event Study of the Downgrades of GM and Ford
指導教授:張興華張興華引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:金融研究所
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:2005
畢業學年度:93
語文別:中文
論文頁數:67
中文關鍵詞:信用衍生性商品信用違約交換通用汽車福特汽車信用評等
外文關鍵詞:Credit DerivativesCredit Default SwapGeneral MotorsFord MotorsCredit Rating
相關次數:
  • 被引用被引用:1
  • 點閱點閱:410
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
本文主要是討論市場上有哪些因素會影響信用違約交換的價格(價差),並且透過2005年初發生的通用汽車與福特汽車信用評等調降事件,研究信用評等的改變對於股票、債券與信用違約交換市場的影響。

一開始先介紹信用衍生性商品市場的發展。第二部份則介紹評價信用違約交換的模型,並由模型中找出可能影響信用違約交換價格的因素,並且提出公司本身發佈的消息也可能會影響價差的改變,甚至更為明顯,但沒有任何一個評價模型包含這樣一個因素。而透過對通用汽車與福特汽車事件的研究,我們發現兩家公司的股票、公司債或是信用違約交換價格(價差)都在評等調降的消息發布前已經事先反映公司經營不善的狀況,或是所面臨的困境,而在評等調降結果真正公佈的時點時,市場的反應反而沒有預期的明顯。對於公司內部發佈的消息,或是預期之外的事件,價格或價差則會大幅波動。
第壹章 序論
一、研究動機與目的
二、研究架構
第貳章 信用衍生性商品市場的發展
一、信用違約交換(Credit Default Swap)
二、總資產報酬交換(Total Rate of Return Swap)
三、信用連結票券(Credit-Linked Note)與信用連結定存(Credit-Linked Deposit)
四、信用抵押擔保債權(Collateralized Debt Obligations)
五、固定年期信用違約交換(Constant Maturity Credit Default Swap)
第參章 信用衍生性商品的評價模型及影響信用違約交換價格的因素
一、如何評價信用衍生性商品
二、信用違約交換的評價
三、影響信用違約交換價格(價差)的因素
第肆章 信用事件的發生對信用違約交換價格的影響-- 以通用汽車(General Motor)和福特汽車(Ford)為例
一、營運狀況及所面臨的問題
二、信用評等的改變及市場反應
三、股票、債券與信用違約交換之比較
第伍章 結論
參考文獻
Brigo, D. and M. Tarenghi, 2004, Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model, Reduced version in Proceeding of the FEA 2004 Conference at MIT, Cambridge, Massachesetts.
Choudhry, M. 2004, Structured Credit Products: Credit Derivatives & Synthetic Securitisation, Singopore: John Wiley & Sons (Asia) Pte Ltd.
Cossin, D. and T. Hricko 2001, Exploring for the Determinants of Credit Risk in Credit Default Swap Transation Data, University of Lausanne.
Gilbert, J. and L. Cherniavsky 1998, Considerations in Measuring the Credit Risk in Derivatives, The Journal of Lending & Credit Risk Management (March): 58-65.
Hirani, S. G. and J. P. McEvoy 2000, Challenges and Opportunities for the Credit Derivatives Market, The Journal of Lending & Credit Risk Management (January): 82-88.
Hull, J., and A. White 2000, Valuing Credit Default Swap I: No Counterparty Default Risk.
Hull, J., and A. White 2000, Valuing Credit Default Swap II: Mdeling Default Correlations.
Hull, J., M. Predescu and A. White 2004, The Relationship between Credit Default Swap Spreads, Bond Yield, and Credit Rating Accouncements, Joseph L. Rotman School of Management, University of Toronto.
Jorrow, R. A., and S. M. Turnbull 1995, Pricing Derivatives on Financial Securities Subject to Credit Risk, The Journal of Finance, Vol. 50, No 1, 53-85
Nelken, I. 1999, Implementing Credit Derivatives: Strategies and Techniques for Using Credit Derivatives in Risk Management, New York, NY: McGraw-Hill.
Picone, D., Collateralised Debt Obligation, City University Business School, London & Royal Bank of Scotland.
Rowe, D. M. 1999, Market Risk and Credit Risk: The Twin Dilemmas of Capital Markets Activities, The Journal of Lending & Credit Risk Management (January): 70-72.
Smithson, C. and G. Hayt 2000, How the Market Values Credit Derivatives, The Journal of Lending & Credit Risk Management (March): 62-64.
Smithson, C. and G. Hayt 2000, Credit Derivatives: Implications for Bank Portfolio Management, The Journal of Lending & Credit Risk Management (April): 42-44.
Whetten, M. and W. Jin, 2005, Constant Maturity CDS (CMCDS) – A Guide, Nomura Fixed Income Research, Nomura.
Global Insight World Markets Research Centre WMA, February 11, 2005, Challenging Scenarios: Could Detroit’s Automakers Survive a Perfect Storm?
Global Insight World Markets Research Centre WMA, April, 1, 2005, GM Downgraded to Junk?
Global Insight World Markets Research Centre WMA, May 16, 2005, Competition Heats Up in the US’s Booming CUV Segment.
Standard & Poor’s, May 5, 2005,General Motors Corp. Credit Rating Report.
Standard & Poor’s, May 5, 2005, Ford Motor Co. Credit Rating Report.
Morgan Stanley, March 21, 2005, GM & Ford: It Is Going to Get Worse Before It Gets Better, Fixed Income Research.
Morgan Stanley, Aprial 11, 2005, Ford: Not Enough Ponies To Meet Original Earnings Guidance, Fixed Income Research.
Morgan Stanley, April 25, 2005, Auto Manufacturers: Auto Bond Rollercoaster, Investment Grade Credit.
Morgan Stanley, April 29, 2005, Credit Derivatives Insight: Tranches – Navigating the Auto Storm, US Credit.
Morgan Stanley, Jacoby, B., May 04, 2005, General Motors: Now Tracinda Steps In, Fixed Income Research.
Morgan Stanley, May 6, 2005, Auto Manufacturers: After The Downgrade, Investment Grade Credit.
Morgan Stanley, May 6,2005, High Yield Monthly: Not Ready to Retire, High-Yield – Corporates.
Morgan Stanley, May 16, 2005, Auto Manufacturers: Taking Stock of Recent Spread Volatility, Investment Grade Credit.
Morgan Stanley, May 24, 2005, Auto Manufacturers: The Analytic Converter, Investment Grade Credit.
Morgan Stanley, May 25, 2005, Ford Motor Co.: Big Borther Comes to the Rescue, Investment Grade Credit.
Morgan Stanley, May 26, 2005, High Yield Strategy Insights: Get Ready for That New Car Smell, High-Yield – Corporates.
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