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研究生:張銘村
研究生(外文):Ming-Tsun Chang
論文名稱:具通膨風險與雙邊違約風險之一籃子信用違約交換之評價與分析
論文名稱(外文):Valuation and Analysis of a Basket Default Swaps with Inflation Risk and Counterparty Risk
指導教授:陳芬英陳芬英引用關係
指導教授(外文):Fen-Ying Chen
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:2008
畢業學年度:96
語文別:中文
論文頁數:53
中文關鍵詞:一籃子首次違約信用交換通貨膨脹風險交易對手風險Martingale法封閉解
外文關鍵詞:First-to-default basket swapInflation riskCounterparty riskMartingale methodClosed-form solution
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本研究擴展Laurent and Gregory (2005) 的模型,加入通貨膨脹風險與交易對手的信用風險,並應用Geske (1997) 之方式將付息債劵視為多個請求權之組合,在到期日之前違約的狀況下,以Martingale法推導此一籃子首次違約信用交換模型理論價格上限之封閉解(closed-form solution)。本模型的特色,有(1)結合固定收益、信用風險和通膨風險之性質,在發生通貨膨脹之際,仍可確保信用違約交換之買方的實質收益。(2)資產池中加入保護性賣方所發行的有價證劵,更能增加投資人的收益。此外,敏感度分析發現,當標的資產間的相關性與一籃子信用違約交換的信用價差成反向變動的關係,在Hull and White (2001)的模型中也有相同的現象。保護賣方所發行的證券與物價指數之相關性,以及物價指數的波動度越大,與信用價差亦呈反向變動的關係。
This paper extends the work by Laurent and Gregory (2005) to present a basket default swap with inflation risk and counterparty risk. Following Geske (1997) approach, we derive a closed-form analytic solution for the first-to-default basket default swap by means of Martingale method under a structural-form model before maturity date. There are some properties in this model. First, this model incorporates fixed income, credit risk and inflation risk into a CDS model. As inflation occurs, investors’ real profits can be protected in this model. Second, this model adds the bonds issued by protected sellers in an asset pool. Compared to ordinary CDS, it can increase much investors’ payoffs. In sensitivity analyses, it is found that the credit spread decreases as the correlation coefficient between reference assets increase. The phenomenon is also shown in Hull and White (2001). Furthermore, the credit spread is low as the correlation coefficient between the securities issued by protected sellers and CPI is high. Again, when volatility of CPI grows, the credit spread declines.
第一章 緒論………………………………………………………………………...1
第一節 研究背景與動機...................................................................................1
第二節 研究目的...............................................................................................2
第三節 研究架構...............................................................................................2
第二章 信用衍生性商品之介紹...............................................................................5
第一節 信用衍生性商品的種類.......................................................................5
第二節 信用衍生性商品市場概況...................................................................9
第三章 文獻回顧.....................................................................................................12
第一節 信用風險模型.....................................................................................12
第二節 信用違約交換模型.............................................................................15
第四章 研究方法.....................................................................................................18
第一節 平賭過程評價法.................................................................................18
第二節 Girsanov 定理....................................................................................18
第五章 評價模型.....................................................................................................20
第一節 模型設定.............................................................................................20
第二節 模型評價.............................................................................................23
第六章 數值分析.....................................................................................................34
第七章 結論.............................................................................................................43
參考文獻.....................................................................................................................44
[1] Black, F., and J. C. Cox, 1976, “Valuing Corporate Securities:Some Effects of Bond Indenture Provisions”, Journal of Finance, vol. 31, 351-367.
[2] Brigo, D., and F. Mercurio, 2006, Interest Rate Models-Theory and Practice, Springer Finance.
[3] Duffie, D., and K. Singleton, 1999, “Modeling Term Structures of Defaultable Bonds”, The Review of Financial Studies, vol. 4, 687-720.
[4] Geske, R., 1977, “The Valuing of Corporate Liabilities as Compound Options”, Journal of Financial and Quantitative analysis, vol. 12, 541-552.
[5] Hull, J., and A. White, 2000, “Valuing Credit Default Swap I: No counterparty Default Risk”, Journal of Derivatives, vol. 1, 29-40.
[6] Hull, J., and A. White, 2001, “Valuing Credit Default Swap II: Modeling Default Correlation”, Journal of Derivatives, vol. 3, 12-22.
[7] Hull, J., and A. White, 2004, “Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, vol. 2, 8-23.
[8] Jarrow, R., D. Lando, and S. Turnbull, 1997, “A Markov Model for the Term Structure of Credit Risk Spread”, The Review of Financial Studies, Summer, vol. 10, no. 2, 481-523.
[9] Jarrow, R., and F. Yu, 2001, “Counterparty Risk and the Pricing of Defaultable Securities”, Journal of Finance, vol. 5, 1765-1799.
[10] Jarrow, R., and S. Turnbull, 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, vol. 50, 53-85.
[11] Jarrow, R. and Y. Yildirim, 2003, “Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model”, Journal of Financial and Quantitative Analysis, vol. 38, no. 2, 337-358.
[12] Lando, D., 1998, “On Cox Processes and Credit Risky Securities”, Review of Derivatives Research, vol. 2, 99-120.
[13] Laurent, J. P., and J. Gregory, 2005, “Basket Default Swaps, CDOs and Factor Copulas”, Journal of Risk, vol. 7, no. 4, 103-122.
[14] Li, D. X., 2000, “On Default Correlation:A Copula Approach”, Journal of Fixed Income, vol. 4, 43-54.
[15] Longstaff, F. and E. Schwartz, 1995, “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt”, Journal of Finance, vol. 50, no. 3, 789-819.
[16] Merton, R. C., 1974, “On the Pricing of Corporate Debt:The Risk Structure of Interest Rates”, Journal of Finance, vol. 29, 449-470.
[17] Vasicek, O., 1977, “An Equilibrum Characterization of the Term Structure”, Journal of Financial Economics, vol. 5, 177-188.
[18] Zhou, C., 2001a, “The Term Structure of Credit Spreads with Jump Risk”, Journal of Banking and Finance, vol. 25, 2015-2040.
[19] Zhou, C., 2001b, “An Analysis of Default Correlations and Multiple Defaults”, Review of Financial Studies, vol. 14, 555-576.
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