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研究生:黃宇平
研究生(外文):Yu-Ping Huang
論文名稱:應用Copula模擬分券間違約時點與損失額度並以利差法分析CDO之殖利率與違約風險
論文名稱(外文):Applying Copula to simulate default time and Loss Amount to study CDO yield and default Risk by spread discount approach
指導教授:蘇恩德蘇恩德引用關係
指導教授(外文):En-der Su
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:風險管理與保險所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:31
中文關鍵詞:擔保債權憑證信用風險商品價格風險
外文關鍵詞:price riskcollateralized debt obligation (CDO)credit risk
相關次數:
  • 被引用被引用:0
  • 點閱點閱:186
  • 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:2
本文的主要目的是透過擔保債權憑證的評價過程,來分析違約相關性以及再償率對於擔保債權憑證價格風險的影響。在模型建構上,我們以Laurent and Gregory (2002) 所運用之利差分析架構來進行蒙地卡羅的價格模擬,並透過設定不同的違約相關性以及再償率,剖析擔保債權憑證的分券架構以及其價格風險。研究結果發現,違約相關性與信用價差呈現明顯的正向關係,再償率則與信用價差呈現反向的關係。但這樣的相關性在低順位的分券上卻有不同的結果,甚至出現相反的情況。主因是由於在模擬過程中可能出現完全沒有損失的情況,以及再償率提高時出現損失分配集中的現象所導致。由於市場上對於CDO 的評價尚未有一個統一的模式,且對於分券的結構以及其特性鮮少有詳細的分析。本文可以提供實務界與監管單位在發行與監督擔保債權憑證相關商品的一個實用的評價模式。
The main purpose of this research is to analyze how correlation and recovery rate influence the collateralized debt obligation (CDO) by evaluating the risk of CDO. We adopt Laurent and Gregory’s mechanism of spread analysis to perform Monte Carlo simulation, and then test the tranche structure and price risk of CDO under different correlation and recovery rate. The results show a positive relation between correlation and credit spread, where as the relation between recovery rate and credit spread is negative. However, it is worthy to notice that those relations are changeable, even totally converse while studying on junior tranches. The problems result from not only the cases of without any loss in the simulation process, but also the centralized distribution of loss due to recovery rate rise. Because there are not an authorized evaluation model of CDO and not many detailed analysis about tranche structure, we strongly believe that this study provides a practical model for industries and administrations to evaluate the issuance and supervise CDO related product.
摘要 I
ABSTRACT II
誌謝 III
目錄 IV
圖目錄 V
第一章 緒論 1
第二章 文獻回顧 5
第三章 擔保債權憑證 9
第四章 模型設定與研究方法 13
一、CDO 違約時點建立 15
二、COPULA 函數簡介 14
三、CDO 評價模式 16
四、分券之評價 18
第五章 數值模擬分析 19
一、CDO 分券分析 19
二、CDO 損失分配分析 27
第六章 結論 29
參考文獻 30
1.張耀洲,2006,“擔保債權憑證之評價- BET、Factor Copula與 Copula方法之比較與分析”,中華金融創新與財務工程學會電子論文雙月刊,第五期。
2.Boscher, H. and Ward, I. 2002, “Long or short in CDOs, ”RISK Magazine, June, 135-129.
3.Cifuents, A. and G.O‘Connor 1996, The Binomial Expectation Method Applied to CBO/CLO analysis, Mood’s Special Report, Dec 13 1996.
4.Duffie, D. and K, Singleton 1999, “Modeling Term Structure of Defaultable Bonds, ” Review of Financial Studies, 12, pages 687-720.
5.Gibson, M. 2004, ”Understanding the Risk of Synthetic CDOs. “ Trading Risk Analysis Section, Division of Research and Statistics, Federal Reserve Board, working papers.
6.Galiani, S. 2003, “Copula Functions and Their Applications in Pricing and Risk Managing Multiname Credit Derivative Products, ” Masters Thesis, College, London.
7.Hull, J. and A. White 2004, “Valuation of a CDO and an N-th to Default CDS without Monte Carlo Simulation, ” Journal of Derivatives 12 (2), pages 8-48.
8.Jarrow, R. and S. Turnbull 1995, “Pricing Derivatives on Financial Securities Subject to Credit Spread,”Journal of Finance 50, pages 53-85.
9.Jarrow, R, D. Lando, and S. Turnbull 1997, “A Markov Model for the Term Structure of Credit Spread,”Review of Financial Studies 10, pages 481-523.
10.Jaffar, H. 2007, “ Pricing and Risk Management of Synthetic CDOs,” Journal of Structured Finance, Winter 2007, 12, 4.
11.Laurent, J. and Gregory, J 2002, “Basket Default Swaps, CDOs, and Factor Copulas, ” working paper.
12.Ludger, O. and Wolfgang, S. 2005, “Moderling Default Dependence with Threshold Models, ” Journal of Derivatives, Summer 2005, 12, 4.
13.Merton, R. C. 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,”Journal of Finance29, pages 449-470.
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