臺灣博碩士論文加值系統

自2007年爆發次級房貸風暴後，造成許多原本信用良好的企業出現財務危機，甚至倒閉，引發一連串公司間違約傳染的連鎖效應。因此，公司間或是產業間之榮枯是相互關聯的，且均會受到違約傳染和總體經濟因素的影響。另外，近年來新型態的信用衍生性商品逐漸發展起來，例如：遠期生效擔保債權憑證、擔保債權憑證選擇權等，這些商品與以往不同的地方，是與時間有著強烈的相關性，而以往評價常用的單因子相關模型，因其無法描述損失分配的期間結構，造成無法評價與時間高度相關的信用衍生性商品。是以，許多學者開始研究動態的信用違約模型，藉此描述損失分配的期間結構。因此，本研究結合違約傳染效果與動態信用違約模型，假設個別公司存活機率之對數轉換服從跳躍過程，並將資產池內的資產分為傳染公司與被傳染公司，發展出容易執行與從市場資料校準參數的動態違約傳染模型。之後利用市場上的資料校準模型參數，並說明次級房貸風暴發生前後，參數改變的結果。
結果反應出發生次級房貸風暴後，傳染效果與總體經濟因素的變數明顯的變大，且損失分配的重心明顯的向右方移動，與事實一致。除此之外，利用校準出的參數評價遠期生效擔保債權憑證與擔保債權憑證選擇權，並分析參數改變對於擔保債權憑證選擇權的變化，發現傳染效果和跳躍高度與擔保債權憑證選擇權是反向關係，而回復率與擔保債權憑證選擇權是正向關係。最後計算擔保債權憑證選擇權之避險參數，提供避險者避險決策的依據。

第一章 緒論.............................................1
第一節 擔保債權憑證之發展現況與商品結構.....................1
第二節 遠期生效擔保債權憑證與擔保債權憑證選擇權之商品結構.....5
第三節 研究動機與目的.....................................6
第四節 研究架構與流程.....................................8
第二章 文獻探討..........................................10
第一節 信用風險模型簡介...................................10
第二節 動態信用違約模型...................................11
第三節 傳染效果模型.......................................13
第三章 研究方法與模型設定..................................15
第一節 考慮傳染效果下的動態信用型...........................15
第二節 建構累積損失分配....................................20
第三節 擔保債權憑證的評價..................................22
第四節 評價遠期生效擔保債權憑證.............................25
第五節 評價擔保債權憑證選擇權..............................26
第六節 擔保債權憑證選擇權的避險參數.........................29
第四章 實證分析...........................................31
第一節 校準模型參數與參數分析..............................31
第二節 擔保債權憑證結果分析................................37
第三節 遠期生效擔保債權憑證之評價與分析......................40
第四節 擔保債權憑證選擇權之評價與分析.......................41
第五節 擔保債權憑證選擇權之避險參數.........................46
第五章 結論與建議.........................................47
第一節 結論..............................................47
第二節 後續研究建議.......................................49
參考文獻 ..................................................50

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