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研究生:阮誠娥
研究生(外文):Nguyen Thanh Nga
論文名稱:Credit Risk Prediction-Evidence from TED Spread and LIBOR-OIS
論文名稱(外文):Credit Risk Prediction-Evidence from TED Spread and LIBOR-OIS
指導教授:江明珠江明珠引用關係
學位類別:碩士
校院名稱:崑山科技大學
系所名稱:企業管理研究所
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
論文出版年:2010
畢業學年度:98
語文別:英文
論文頁數:59
外文關鍵詞:TED SpreadLIBOR-OIScredit riskcredit risk predictionfinancial risk management
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  • 被引用被引用:0
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  • 下載下載:46
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One of the issues of risk management is the prediction of credit risk and financial risk. This paper investigates the tail constancy of extreme behavior of changes of TED Spread rate and changes of LIBOR-OIS Spread rate. Due to recent fluctuations in global financial markets that cause the TED Spread rate and LIBOR-OIS Spread surging to the historical record, this paper investigate whether the extreme change in the change of rate are predictable based on the past extremities. These answers are important issues as the change of TED spread rate and change of LIBOR-OIS Spread rate are taken advantage of considering and predicting markets toward future global economic condition in general, and credit risks in particular.
In the current paper, we firstly employ EVT to examine the tail behavior of the distribution of the changes of TED Spread rate, and changes of LIBOR-OIS Spread rate by Hill estimator (Hill, 1975), for tail index estimation. Next, we apply breakpoint test proposed by Quintos et al. (2001) to detect the structural change in tail index in distribution of changes of rate. Finally, we estimate VaRs for the next trading date for TED Spread and LIBOR-OIS under various probabilities of occurrences.


Acknowledgement 3
Abstract 5
TABLE OF CONTENTS 6
List of Charts 8
List of Tables 9
List of Figures 10
CHAPTER ONE: INTRODUCTION 11
1.1. Research background 11
1.2. Problem discussion 15
1.3. Research objectives 15
1.4. Organization of the Thesis 16
CHAPTER TWO: LITERATURE REVIEW 17
2.1. The LIBOR-OIS Overview 17
2.2. TED spread 21
2.3. The empirical relationship between LIBOR and U.S. T-bill rate: 27
2.4. Extreme value theory 30
CHAPTER THREE: METHODOLOGY 34
3.1. Hill estimator 34
3.2. Structural change test 36
3.3. Tail constancy test 40
3.4. Value at Risk and Extreme Risk 40
CHAPTER FOUR: EMPIRICAL ANALYSIS 41
4.1. Preliminary analysis 41
4.2. Descriptive statistics 44
4.3. Structural change test 49
4.4. Hill estimate 50
4.5. Quantile and excess probability estimates 52
CHAPTER FIVE: CONCLUSION 55
REFERENCES 57

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25.And Bloomberg website, this resource has been of incredible value for my research. It contains basically any data one could ever look for. This source is often cited, although no documents are provided to support the facts listed from this source. However, should these figures need to be verified, the information is easily accessible from any Bloomberg platform.


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