臺灣博碩士論文加值系統

第N次信用違約交換契約提供了信用保護買方在標的物資產發生信用違約事件時，可以向信用保護賣方索賠的保險契約，信用保護賣方雖承擔了違約風險，亦可獲得信用差價。一般信用違約交換模型大多在回復率固定下，分析信用價差的變化，然而為符合實際，本研究擴展了Hull and White (2004)模型，利用因子Copula模型，透過蒙地卡羅法模擬違約時點，並且討論回復率在隨機之下，服從貝他分配、常態分配、對數常態分配及二項式分配時，具通貨膨漲風險的第N次信用違約交換之信用價差的變化。研究發現，加入通貨膨脹效果在各分配下之評價模型中，信用差價會高於無通膨效果之評價模型，此外，隨機回復率下之信用價差皆高於固定回復率下之信用價差。

Nth-to-default Swaps has offered protection to buyers when the incident in breach of credit happening in reference asset, and insurance agreements can be claimed from protection sellers. Although protection sellers undertake the default risk, they can also receive the credit spread but in order to correspond to reality.This research expended Hull and White (2004) model, utilized the Factor Copula model, and simulated the default point with Monte Carlo method. Usually, fixed recovery rate is used in the general credit default swap model, and the recovery rates in this research under the beta distribution, normal distribution, log-normal distribution and binomial distribution were used in the stochastic model. The inflation effect was also applied in the general Nth-to-default Swaps model, which can protect buyers reducing the risk of substantial decline in the investment rates. The research findings indicate that the credit spread would higher than the no inflation effect with the inflation effect adding in the evaluation model under each distribution. In addition, credit spread with the stochastic recovery rate is all higher than the one with fixed recovery rate.

第一章 緒論..............................................1
第一節 研究動機與目的....................................1
第二節 研究架構..........................................4
第二章 文獻回顧..........................................6
第一節 信用違約交換模型..................................6
第二節 第N次信用違約交換模型.............................7
第三節 隨機回復率........................................7
第三章 研究方法..........................................9
第一節 違約相關下的違約機率..............................9
第二節 標的資產違約時點的模擬...........................11
第三節 期望收入與期望支出之計算.........................13
第四節 隨機回復率之產生.................................15
第四章 評價模型.........................................21
第五章 數值分析.........................................24
第一節 模擬物價指數.....................................24
第二節 回復率在各種分配下模型合理信用差價之比較.........26
第三節 回復率在各種分配下模型重要參數之敏感度分析.......31
第六章 結論.............................................50
英文參考文獻............................................52
中文參考文獻............................................53

英文參考文獻
[1].Andersen, L. and Sidenius, J.（2004）. Extensions to the Gaussian Copula Random Recovery and Random Factor Loadings. Journal of Credit Risk, vol.1, 1, p29-70.
[2].Chatbi, C.（2008）. ”CDS and CDO Pricing with Stochastic Recovery ”. Working Paper.
[3].Renault, O. and Scaillet, O.（2003）. On the Way to Recovery:A Nonparametric Bias Free Estimation of Recovery Rate Densities. Journal of Banking & Finance, vol.28, 28, p2915-2931.
[4].Gourieroux, C. and Monfort, A.（2006）, ”(Non)consistency of the Beta Kernel Estimator For Recovery Rate Distribution”. Working Paper.
[5].Jabbour, G. and Kramin, M and Young, S.（2009）. Nth-to-default:valuation. Managerial Finance, vol.35, 25-42.
[6].Geske, R. （1997）. The Valuing of Corporate Liabilities as Compound Options. Journal of Financial and Quantitative analysis, vol.12, 541-552.
[7].Hull, J. and White ,A.（1998）, Valuing Credit Default Swap I: No counterparty Default Risk, Journal of Derivatives, vol. 1, 29-40.
[8].Hull, J. and White,A. （2001）, Valuing Credit Default Swap II: Modeling Default Correlation, Journal of Derivatives, vol. 3, 12-22.
[9].Hull, J. and White ,A. （2005）, Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, vol. 2, 8-23.
[10].Li, D. X,（2000）, On Default Correlation：A Copula Approach”, Journal of Fixed Income, vol. 4, 43-54.
[11].Laurent, J. P. and Gregory, J. （2005）, Basket Default Swaps, CDOs and Factor Copulas, Journal of Risk, vol.7, 4, 103-122.
[12].Meneguzzo, D, and Vecchiato W, （2002）, ”Copula sensitivity in Collateralized Debt Obligations and Basket Swaps”. Working Paper, Risk Management Dept., Intesa Bank, Mila.
中文參考文獻
張銘村（2008），「具通膨風險與雙邊違約風險之ㄧ籃子信用違約交換評價與分析」，世新大學管理學院財務金融系碩士學位論文。