跳到主要內容

臺灣博碩士論文加值系統

(18.97.14.88) 您好!臺灣時間:2024/12/04 14:33
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:李倩芸
研究生(外文):Chian-Yun Li
論文名稱:信用違約交換契約定價理論之探討
論文名稱(外文):The Study of Credit Default Swaps Pricing Model
指導教授:洪茂蔚洪茂蔚引用關係
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
畢業學年度:95
語文別:中文
論文頁數:52
中文關鍵詞:信用違約交換
外文關鍵詞:Credit Default SwapCDS
相關次數:
  • 被引用被引用:1
  • 點閱點閱:552
  • 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:0
信用衍生性金融商品是一個特殊等級的財務工具,允許使用者藉著隔絕來自標的資產的信用風險來管理風險。雖然相對其他衍生性市場規模要來的小,但自1990年代末期起,它已成為成長最快速的衍生性商品市場。近年來,在國外信用衍生性金融商品不斷逐年攀高的成交量,顯現已有愈來愈多的市場參與者投身其中,而國內也開放了部分信用衍生性商品的交易。其中的信用違約交換契約(Credit Default Swap)即是信用衍生性金融商品中直接用以處理最原始信用風險的產品,最簡單的用途是提供對票債券及貸款的保險,而立基於其上更再進一步發展出其他的信用衍生性商品,所以就本身的功能及應用上都具有相當的重要性。伴隨著信用衍生性商品迅速成長,且信用違約交換為是市場上的要角之一,已有許多學者注入心力於此財務工具的定價上。本篇論文將回顧過去關於信用違約交換之理論定價與實務分析的研究。信用違約交換的理論定價模型被分為結構型與簡約型兩種模型;同時,我們回顧了關於信用違約交換在實證分析的研究,包含回復方式的選擇、信用違約交換權利金的決定要素、信用違約交換權利金與信用價差之間的差距、各種理論訂價模型的成果績效、並且介於信用違約交換市場與其他市場(債券、權益市場)的領先-落後關係等等。
Credit derivatives are a specific class of financial instruments that allow users to manage credit risk by isolating such risk from the underlying financial assets. Although small compared to other derivatives and securities markets, the credit derivatives market has become one of the faster-growing derivatives markets since the late 1990s. By observing the booming trading volume of the credit derivatives in recent years, we can realize that there are more and more participants getting into this unique market. In Taiwan, we can also trade part of credit derivatives. It is the right time to pay attention to the credit default swap (CDS), the simplest type of the so-called credit derivatives, with which people can deal with the most primitive credit risk and build more complicated credit products. With the rapid growth of the credit derivatives market and the import role of CDS in the market, much attention has been given to the pricing of this financial instrument. This paper will review theories in pricing CDS and empirical studies on CDS. Current CDS pricing models can be classified into two groups: structural models and reduced-form models. The empirical studies on CDS includes the choices of recovery form, CDS premium determinants, performance of the theoretical pricing models, differences between theory and practice, and the lead-lag relationship between the CDS market and equity and bond markets.
中文摘要 i
Abstract ii
目錄 iii
圖表目錄 iv
第壹章 諸論 1
第一節 研究動機與目的 1
第二節 文章架構 2
第貳章 商品介紹 4
第一節 信用衍生性商品市場發展與現況 4
第二節 信用違約交換契約(Credit Default Swap) 14
第參章 定價理論研究文獻 17
第一節 結構式模型(Structural models) 18
第二節 縮減式模型(Reduced-form models) 25
第肆章 實證相關文獻 34
第一節 參數估計 34
第二節 回復方式 36
第三節 定價決定要素、信用違約交換權利金、信用價差 37
第四節 理論模型的績效與市場溢酬 40
第五節 信用違約交換市場與其他市場間的領先-落後關係 41
第六節 信用違約交換實證研究的批評 42
第伍章 結論 45
參考文獻 46
一、中文部分:
中央銀行金融業務檢查處統計(2006)「衍生性月報」。
王柏祥(1999)「信用交換契約的評價與應用」,台灣大學財務金融研究所碩士論文。
林玉婷(2004)「違約風險下資本市場報酬之影響」,台灣大學國際企業學研究所碩士論文。
陳建良(2004)「違約機率與銀行信用風險管理之探討」,中山大學財務管理學研究所碩士論文。
傅以沅(2004)「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」,政治大學金融研究所碩士論文。
二、英文部分
Acharya, V.V., S.R. Das, and R.K. Sundaram. (2002) “Pricing Credit Derivatives with Rating Transitions.” Financial Analysts Journal, 58, pp. 28-44.
Anderson, R., S. Sundaresan, and P. Tychon. (1996) “Strategic Analysis of Contingent Claims.” European Economic Review, 40, pp. 871-882.
Aonuma, K., and H. Nakagawa. (1999) “Valuation of Credit Default Swap and Parameter Estimation for Vasicek-Type Hazard Rate Model.” Working paper, University of Tokyo.
Arvanitis, A., J. Gregory, and J. Laurent. (1999) “Building Models for Credit Spreads.” The Journal of Derivatives, 6(3), pp. 27-43.
Aunon-Nerin, D., D. Cossin, T. Hricko, and Z. Huang. (2002) “Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Sufficient to Evaluate Credit Risk?” Working paper, University of Lausanne.
Bakshi, G., D. Madan, and F. Zhang. (2001) “Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates.” Working paper, University of Maryland.
“ BBA Credit Derivatives Report 2003/04. ” (2004), British Bankers Association.
Berndt, A., R. Douglas, D. Duffie, M. Ferguson, and D. Schranz. (2004) “Measuring Default Risk Premia from Default Swap Rates and EDFs.” Working paper, Cornell University.
Bielecki, T., and M. Rutkowski. (2000) “Modelling of Credit Risk: Intensity Based Approach.” Working paper, University of New South Wales.
Black, F., and J. Cox. (1976) “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions.” Journal of Finance, 31, pp. 351-367.
Black, R., Derman, E. and Toy, W. (1990) “A one-factor model of interest rates and its application to treasury bond Options.” Financial Analysts Journal, 46(1), pp.33-9.
Black, F., and M. S. Scholes. (1973) “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, 81, pp. 637-654.
Blanco, R., S. Brennan, and I.W. Marsh. (2003) “An Empirical Analysis of the Dynamic Relationship Between Investment Grade Bonds and Credit Default Swaps.” Working paper, Bank of England.
Blauer, I., and P. Wilmott. (1997) “Risk of Default in Latin American Brady Bonds.” Working paper, Oxford University.
Bowler, T., and J.F. Tierney. (1999) “Credit Derivatives and Structured Credit: A Survey of Products, Application, and Market Issues.” Deutsche Bank.
Brace, A., D. Gatarek, and M. Musiela. (1997) “The Market Model of Interest Rate Dynamics.” Mathematical Finance, 7(2), pp. 127-154.
Briys, E., and F. de Varenne. (1997) “ Valuing Risky Fixed Rate Debt: An Extension ” Journal of Financial and Quantitative Analysis, 32(2), June, pp. 239-248.
Brooks, R., and D.Y. Yan. (1998) “Pricing CDS and the Implied Default Probability.” Derivatives Quarterly, 5(2), pp. 34-41.
Cathcart, L., and L. El-Jahel. (1998) “Valuation of Defaultable Bonds.” The Journal of Fixed Income, June, pp. 65-78.
Collin-Dufresne, P., and R. Goldstein. (2001) “Do Credit Spreads Reflect Stationary Leverage Ratios?” Journal of Finance, 56, pp. 1929-1957.
Cox, J.C., J.E. Ingersoll, and S.A. Ross (1985) “ A Theory of the Term Structure of Interest Rates” Econometrica, 53(2), March, pp.385-408.
Crosbie,P.J. and J.R.Bohn, (2002) “Modeling Default Risk”, KMV LLC. January revised.
Cumby, R.E., and M.D. D. Evans. (1997) “The Term Structure of Credit Risk: Estimates and Specification Tests.” Working paper, Georgetown University.
Das, S.D., and R.K. Sundaram. (2000) “A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives.” Management Science, 46(1), pp. 46-62.
Das, S.D., and R.K. Sundaram. (2004) “A Simple Model for Pricing Securities with Equity, Interest-Rate, and Default Risk.” Working paper, New York University,.
Das, S.D., and T. Tufano (1996) ” Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic” Journal of Financial Engineering, 5, pp.161-198
Delianedis, G., and R. Lagnado. (2002) “Recovery Assumptions in the Valuation of Credit Derivatives.” The Journal of Fixed Income, 11(4), pp. 20-30.
Driessen, J. (2001) “The Cross-Firm Behaviour of Credit Spreads.” Working paper, Tilburg University.
Duffee, G. (1999) “Estimating the Price of Default Risk.” The Review of Financial Studies, 12(1), pp. 197-226.
Duffee, G. (1998) “The Relationship Between Treasury Yields and Corporate Bond Yield Spreads.” Journal of Finance, 53(6), December, pp. 2225-2242.
Duffie, D. (1999) “Credit Swap Valuation.” Financial Analysts Journal, 55(1), pp. 73-85.
Duffie, D., and K. Singleton. (1997) “An Econometric Model of the Term Structure of Interest Rate Swap Yields.” Journal of Finance, 52(4), pp. 1287-1321.
Duffie, D., and K. Singleton. (2003) Credit Risk : Pricing, Measurement, and Management. Princeton University Press.
Duffie, D., and K. Singleton. (1999) “Modeling Term Structures of Defaultable Bonds.” The Review of Financial Studies, 12, pp. 687-720.
Duffie, D., Pedersen, L.H., Singleton, K.J. (2003) “Modeling sovereign yield spreads: a case study of Russian debt.” Journal of Finance , 58 (1), pp. 119-160.
Dülmann, K., and M. Windfuhr. (2000) “Credit Spreads Between German and Italian Sovereign Bonds—Do Affine Models Work?” Canadian Journal of Administrative Sciences, 17, pp. 166-181.
Eom, Y.H., J. Helwege, and J. Huang. (2004) “Structural Models of Corporate Bond Pricing: An Empirical Analysis.” The Review of Financial Studies, 17(2), pp. 499-544.
Ericsson, J., K. Jacobs, and R. Oviedo-Helfenberger. (2004) “The Determinants of Credit Default Swap Premia.” Working paper, McGill University.
Ericsson, J., and O. Renault. (2003) “Liquidity and Credit Risk.” European Finance Association Conference, Glasgow.
Finger, C.C. (2003) “CreditGrade: Technical Document.” RiskMetrics Group.
Frühwirth, M., and L. Sögner. (2002) “The Implicit Estimation of Default Intensities and Recovery Rates.” Scientific Conference of the Association of University Professors of Management, Munich.
Geske, R. (1997) “The Valuation of Corporate Liabilities as Compound Options.” Journal of Financial and Quantitative Analysis, 12(4), pp. 541-552.
Geyer, A., S. Kossmeier, and S. Pichler. (2001) “Empirical Analysis of European Government Yield Spreads.” Working paper, Vienna University of Economics and Business Administration.
Guha, R., and A. Sbuelz. (2003) “Structural RFV: Fundamental Credit Risk Pricing and Hedging with Recovery of Face Value at Default.” Working paper, London Business School.
Heath, D., R.A. Jarrow, and A. Morton. (1990) “Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation.” Journal of Financial and Quantitative Analysis, 25(4), pp. 419-440.
Hjort, V., McLeish, N.A., Dulake, S., and Engineer, M., (2002) “The high beta market e exploring the default swap basis.” Fixed Income Research. Morgan Stanley, London.
Houweling, P., and T. Vorst.( 2003) “Pricing Default Swaps: Empirical Evidence.” Forecasting Financial Markets Conference, Paris.
Hu, Y,. and W. Perraudin. (2002) “The Dependence of Recovery Rates and Defaults.” Working paper, Birkbeck College.
Hull, John C. “Credit risk” Chapter 26 and “Credit derivatives” Chapter 27, Options, Futures & Other Derivatives, Prentice Hall (Fifth Edition)
Hull, J., M. Predescu, and A. White. (2004) “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements.” Working paper, University of Toronto.
Hull, J., and A. White. (2000) “Valuing CDSs I: No Counterparty Default Risk.” The Journal of Derivatives, 8, pp. 29-40.
Hull, J., and A. White. (2001) “Valuing CDSs II: Modeling Default Correlations.” The Journal of Derivatives, 8, pp. 12-21.
Jamshidian, F. (1997) “LIBOR and Swap Market Models and Measures.” Finance and Stochastics, 1(4), pp. 293-330.
Janosi, T., R. Jarrow, and Y. Yildirim. (2002) “Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices.” The Journal of Risk, 5 (1).
Jarrow, R., D. Lando, and S. Turnbull. (1997) “A Markov Model for the Term Structure of Credit Spreads.” The Review of Financial Studies, 10, pp. 481-523.
Jarrow, R., and S. Turnbull. (1998) . Credit Risk: Risk Management and Analysis. New York: John Wiley & Sons.
Jarrow, R., and S. Turnbull. (1995) “Pricing Derivatives on Financial Securities Subject to Credit Risk.” Journal of Finance, 50, pp. 53-85.
Keswani, A. (2000) “Estimating a Risky Term Structure of Brady Bonds.” Working paper, Lancaster University.
Kim, L.J., K. Ramaswamy, and S. Sundaresan. (1993) “Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model.” Financial Management, 22, pp. 117-131.
Kodera, E. (2001) “A Markov chain model with stochastic default rate for valuation of credit spreads.” Journal of Derivatives , 9, pp. 8-18.
Lando, D. (1998) “On Cox Processes and Credit Risky Securities.” Review of Derivatives Research, 2, pp. 99-120.
Leland, H.E. (1994) “Corporate Debt Value, Bond Covenants, and Optimal Capital Structure.” Journal of Finance, 49, pp. 1213-1252.
Leland, H.E., and K.B. Toft. (1996) “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads.” Journal of Finance, 51, pp. 987-1019.
Longstaff, F.A., S. Mithal, and E. Neis. (2003) “The Credit-Default Swap Market: Is Credit Protection Priced Correctly?” Working paper, UCLA.
Longstaff, F., and E. Schwartz. (1995) “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt.” Journal of Finance, 50 , pp. 789-819.
Madan, D.B., and H. Unal. (1998) “Pricing the Risks of Default.” Review of Derivatives Research, 2, pp. 121-160.
Madan, D.B., and H. Unal. (2000) “A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads.” Journal of Financial and Quantitative Analysis, 35(1), pp. 43-67.
Mella-Barral, P., and W. Perraudin. (1997) “Strategic Debt Service.” Journal of Finance, 52, pp. 531-556.
Meng, L., O.A. Gwilym (2005) “Credit Default Swaps: Theory and Empirical Evidence” The Journal of Fixed Income, March, pp.17-28
Merton, R. (1974) “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” Journal of Finance, 29, pp. 449-470.
Miltersen, K.R., K. Sandmann, and D. Sondermann. (1997) “Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates.” Journal of Finance, 52(1), pp. 409-430.
Musiela, M., M. Rutkowski (1997) “Continuous-time term structure models: Forward measure approach” Finance and Stochastics,1,Number, pp.261-291
Nielsen, L.T., J. Saà-Requejo, and P. Santa-Clara. (1993) “Default Risk and Interest Rate Risk: The Term Structure of Default Spreads.” Working paper, INSEAD.
Nielsen, S.S., and E.I. Ronn. (1998) “The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps.” Working paper, University of Texas at Austin,.
O’Kane, D., McAdie, R. (2001) “Explaining the basis: cash versus default swaps.” Fixed Income Research. Lehman Brothers, London.
Sàa-Requejo, J., and P. Santa-Clara. (1999) “Bond Pricing with Default Risk.” Working paper, UCLA.
Schönbucher, P. (2000a )“Credit Risk Modelling and Credit Derivatives.” Ph.D. thesis, University of Bonn.
Schönbucher, P. (2000b) “A LIBOR Market Model with Default Risk.” Working paper, University of Bonn.
Schönbucher, P. (1998) “Term Structure Modelling of Defaultable Bonds.” Review of Derivatives Research, 2, pp. 161-192.
Scott, L. (1998) “A Note on the Pricing of Default Swaps.” Working Paper No. 7, Morgan Stanley.
Shimko, D., N. Tejima, D. van Deventer (1993) “The pricing of risky debt when interest rates are stochastic” The Journal of fixed income, 3(2), p 58
Skinner, F.S., and A. Diaz. (2003) “An Empirical Study of Credit Default Swaps.” The Journal of Fixed Income, 13(1), pp. 28-38.
Skinner, F.S., and T.G. Townend. (2002) “An Empirical Comparison of Default Swaps.” International Review of Financial Analysis, 11, pp. 297-309.
Taurén, M. (1999) “A Comparison of Bond Pricing Models in the Pricing of Credit Risk.” Working paper, Indiana University Bloomington.
Tudela, M., and G. Young. (2003a) “A Merton-Model Approach to Assessing the Default Risk of UK Public Companies.” Bank of England.
Tudela, M., and G. Young. (2003b) “Predicting Default Among UK Companies: A Merton Approach.” Bank of England Financial Stability Review, June , pp. 104-114.
Zhang, F.X. (2003) “What Did the Credit Market Expect of Argentina Default? Evidence from Default Swap Data.” Working paper, Federal Reserve Board.
Zhang, G. (2004) “Intra-Industry Credit Contagion: Evidence from the Credit Default Swap Market and the Stock Market.” European Financial Management Association Conference.
Zhou, C., (1997) “A Jump-diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities”, Working Paper, Federal Reserve Board, Washington D.C.
Zhu, H. (2003) “An Empirical Comparison of Credit Spreads Between the Bond Market and the Credit-Default-Swap (CDS) Market.” Working paper, Bank for International Settlements.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
無相關期刊