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研究生:陳怡璇
研究生(外文):Chen,Yi-Hsuan
論文名稱:兩篇有關信用違約交換的論文
論文名稱(外文):Two Essays on Credit Default Swaps
指導教授:杜化宇杜化宇引用關係王克陸王克陸引用關係
指導教授(外文):Tu, Anthony H.Wang, Kehluh
學位類別:博士
校院名稱:國立政治大學
系所名稱:財務管理研究所
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:2006
畢業學年度:94
語文別:英文
論文頁數:125
中文關鍵詞:信用違約交換相依性結構
外文關鍵詞:Credit default swapdependence structure
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信用衍生性商品於近十年來已快速發展,為反映信用風險管理的迫切需求,本篇論文將以實證的方式探討信用衍生性市場。尤其著重在信用違約交換市場,因其佔信用衍生性市場的交易量高達45%。本篇論文分別討論以下二個議題:第一個議題乃在探討股票報酬率的峰態係數與信用違約交換報酬率的關係。第二個議題乃著重探討拉丁美洲國家的信用違約交換對阿根廷事件的反應。
The development of credit derivatives in the past decade has brought about pronounced innovations in the markets. To reflect dramatic demand in managing credit risk, this thesis dedicates to the empirical world of credit derivatives markets. We especially focus on Credit Default Swaps (CDS) market due to its most widely trading in credit derivatives markets, capturing almost 45% of the market shares. This thesis encompasses two essays related to CDS. In the first essay, we attempt to extend empirical explanation of CDS premiums by considering the excess kurtosis of equity return distribution. As well, we show how copula functions can be applied to specify both the dependence structure and the tail relationship between CDS return and kurtosis of equity distribution. We contribute to the better specification of the dependence structure between the CDS return and the corresponding kurtosis, and provide an illustration of its implication which may be misled using conventional methods.
In the second essay, we turn to focus on CDS in emerging markets. Thereby, further policy-oriented applications for governments can be extra induced. We empirically study the correlated default at sovereign level in Latin America region due to the eruption of Argentina debt crisis in 2001. A comprehensive understanding of correlated default at sovereign level is of critical importance in several respects. From the government and IMF point of views, the comovement in sovereign credit default swaps can serve as one of the leading indicators of financial crises. From the perspectives of mutual funds and banks, correlated movement which exists in sovereign CDS spreads is regarded as one of the measures of country risk premium. The findings and the associated methodology can provide useful insights not only to policymakers but also to whoever is interested in credit derivatives markets, particularly in emerging markets. From the methodology point of view, applying a copula method to identify the contagion corresponds to the arguments from Bae et. al. (2003) and Dungey and Tambakis (2003), the further challenge is to develop a model for capturing the nonlinear property.
Chapter 1. Introduction 1
Chapter 2. Copula Methodology and Its Application on Credit Derivatives 6
2.1 Copula Functions 7
2.2 Measure of Dependence 12
2.3 Estimating and Calibrating Copula Models 17
2.3.1 Exact Maximum Likelihood Method (EML) 17
2.3.2 The Inference Functions for Margins Method (IFM) 18
2.3.3 The Canonical Maximum Likelihood Method (CML) 19
2.3.4 GARCH Filter Method 20
2.3.5 Mashal and Zeevi 2002 Method 21
2.3.6 Copula Application on Credit Derivatives 21
Chapter 3. Essay One: Dependence Structure between the Credit Default Swap Return and the Kurtosis of the Equity Return Distribution 24
3.1 Introduction 24
3.2 The Recent Empirical Issues on CDS 27
3.3 A Copula-Based Correlation Measurement 29
3.4 Data Description 31
3.5 Empirical Results 32
3.5.1 Normality Test and Descriptive Statistics 32
3.5.2 Comparable Correlation Measures 32
3.5.3 Estimating Dependence Parameters 33
3.5.4 Goodness-of-fit Test 34
3.5.5 Computing Coefficients of Tail Dependence 35
3.5.6 Density Plot 36
3.6 Concluding Remark 37
Chapter 4. Essay two: Default correlation at sovereign level: Evidence from Latin America markets 38
4.1 Introduction 38
4.2 The Emerging Market Credit Derivatives Market 43
4.2.1 The Role of Sovereign Bonds in Emerging Markets 43
4.2.2 Sovereign Credit Default Swaps in EMCD Market 44
4.3 A Copula-Based Correlated Sovereign Default 46
4.4 Data Description and Background of 2001 Argentina Debt Crisis 49
4.5 Empirical Results 50
4.5.1 Summary Statistics of Sovereign CDS Spreads 51
4.5.2 Comparable Correlation Measures 52
4.5.3 Calibrating and Estimating Parameters via IFM Approach 52
4.5.4 Calibrating and Estimating Parameters via CML Approach 54
4.5.5 Calibrating and Estimating Parameters via GARCH Filter Approach 58
4.5.6 Computing Coefficients of Tail Dependence 60
4.5.7 Density Plot 61
4.6 Concluding Remark 62
Chapter 5. Implications and Future Works 64
Reference 103
Appendix 109
Proof of Proposition 1 109
Proof of Proposition 2 109
Proof of Proposition 5 110
Derive the Log-Likelihood Function of Multivariate Gaussian Copula 110
Derive the Log-Likelihood Function of Multivariate Student’s t Copula 111
Derive the Log-Likelihood Function of Bivariate Gumbel Copula 111
Derive the Log-Likelihood Function of Bivariate Rotoated Gumbel Copula 112
Derive the Log-Likelihood Function of Bivariate Clayton Copula 113
Derive the Log-Likelihood Function of Bivariate Frank Copula 113
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