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研究生:彭星與
研究生(外文):Hsing-Yu Peng
論文名稱:具抗通膨效果之擔保債權憑證之評價和分析
論文名稱(外文):Valuation and Analysis of Inflation-Protected Collateralized Debt Obligations
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:91
中文關鍵詞:抗通膨效果一般化擔保債權憑證模型單因子Copula模型機率水桶法蒙地卡羅法
外文關鍵詞:Inflation-protected effectGeneral form CDO modelOne factor Copula modelProbability Bucketing methodMonte Carlo method
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在擔保債權憑證(Collateralized Debt Obligations, CDO)中,創始機構可藉由此方式提早收回資金,提高資金的調度,並且將風險轉移至投資人身上。但對分券的投資人而言,則必須承擔資產池內債券之違約風險。且在原油價格屢創新高,原物料價格也不斷攀升之際,更使分券投資人的實質收益降低。因此,本研究擴展Meneguzzo and Vechiato (2002) 模型,提出連結傳統CDO與抗通膨效果之特性的一般化(general form)模型,可保障分券投資人的實質收益,並提供投資人另一種新的商品選擇。研究發現,在加入通貨膨脹效果之CDO評價模型中,分券的信用價差將會高於無通膨效果之CDO評價模型。資產池內各債券之CDS spreads、物價指數平均成長率和物價指數波動度,與分券之信用價差呈同向變動。
As for Collateralized Debt Obligations (CDO), sponsors can early get their funds to invest. Also, they can diverge default risk. But for the investors who buy the tranches of CDO, they have to bear the default risk of an asset pool and inflation risk especially in high oil price periods. In order to protect the investor’s real profits, this article expands the Meneguzzo and Vechiato (2002) model to present a general-form model. This model can not only keep the properties of an ordinary CDO but also protect investors from inflation risk. The empirical results show that the credit spread of the CDO with inflation-protected effect is high than an ordinary CDO. Also, the credit spread of each tranche increases as growth rate and volatility of CPI and CDS spreads of the securities in asset pool are high.
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 CDO商品的介紹 .......................................................5
第一節 擔保債權憑證的分類 ...............................................5
第二節 資產池內債券損失金額對分券之影響 .................................8
第三節 國內外CDO發展現況 ...............................................10
第三章 文獻回顧 ...........................................................15
第一節 信用風險評價模型 ................................................15
第二節 資產池內債券間聯合違約機率之計算 ................................16
第三節 損失分配之估計 ..................................................19
第四章 研究方法 ...........................................................21
第一節 違約強度模型 ....................................................21
第二節 因子相關結構模型 ................................................23
第三節 損失分配的估計 ..................................................26
第五章 評價模型 ...........................................................37
第一節 評價模型之設定 ..................................................37
第六章 實證分析 ...........................................................47
第一節 實際商品個案分析 ................................................47
第二節 擔保債權憑證之評價 ..............................................51
第三節 敏感度分析 ......................................................56
第七章 結論與建議 .........................................................78
參考文獻 ....................................................................79
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[2] Black, F., and J. C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, vol. 31, pp. 351-367.
[3] Brandimarte, P., 2006, “Numerical Methods in Finance and Economics”, Second Edition, WILY - INTERSCIENCE, pp. 214-219.
[4] Cifuentes, A., and G. O’Connor, 1996, “The Binomial Expansion Technique Applied to CBO/CLO Analysis”, Moody’s Special Report.
[5] Duffie, D. J., and K. J. Singleton, 1999, “Modeling term structure of defaultable bonds”, Review of Financial Studies, vol. 12, No. 4, pp. 687-720.
[6] Hull, J., and A. White, 2004, “Valuation of a CDO and an n-th to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, vol. 12, No. 2, pp. 8-23.
[7] Jarrow, R. and S. Turnbull, 1995, “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, vol. 50, pp. 53-86.
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[9] Lando, D., 1998, “On Cox processes and credit risky securities”, Review of Derivatives Research, vol. 2, pp. 99-120.
[10] Laurent, J. P., and J. Gregory, 2002, “Basket Default Swaps, CDO’s and Factor Copulas”, Working Paper, BNP Paribas ISSFA Actuarial School, University of Lyon.
[11] Li, D. X., 2000, “On Default Correlation: a Copula Approach”, Journal of Fixed Income, vol. 9, No. 4, pp. 43-54.
[12] Longstaff, F. and E. Schwartz, 1995, “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt”, Journal of Finance, vol. 50, No. 3, pp. 789-819.
[13] Meneguzzo, D., and W. Vecchiato, 2002,”Copula sensitivity in Collateralized Debt Obligations and Basket Swaps”, Working Paper, Risk Management Dept., Intesa Bank, Mila.
[14] Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance, vol. 29, May, pp. 449-470.
[15] Peixoto, F. M., 2004, ”Valuation of a Homogeneous Collateralized Debt Obligation”, Working Paper, University of Waterloo.
[16] Voort, M. V. D., 2007, “Factor Copula: External Defaults”, Journal of Derivatives, No.1, pp. 94-102.
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