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研究生:楊啟均
研究生(外文):Yang, Chi Chun
論文名稱:大投資組合異質分配假設下之信用結構商品內蘊風險分析
論文名稱(外文):The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions
指導教授:江彌修江彌修引用關係
指導教授(外文):Chiang, Mi Hsiu
學位類別:博士
校院名稱:國立政治大學
系所名稱:金融研究所
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
畢業學年度:103
語文別:中文
論文頁數:98
中文關鍵詞:信用結構商品跨池因子繫聯結構模型違約相關性NIG分配
外文關鍵詞:credit-structured productsmulti-pool correlation modeldefault correlationNIG distribution
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本文延伸Hull and White (2010)之跨池因子繫聯結構模型中違約相關性之描述,藉由納入Normal Inverse Gaussian分配並允許其帶有狀態轉換之特性,我們探究信用結構式商品清償順位結構中,影響次順位信用保護層(subordination level)之因素。我們以房屋抵押擔保貸款債權憑證(MBS CDO)為例,分析資產違約相關性、資產池微粒化程度、跨池違約相關性等結構性變數如何影響分券評等之合理性及風險特徵。本文的研究結果呼應Azzalini and Capitanio(2003)中所提及採用Gaussian因子繫聯結構模型之於評價信用結構商品的缺失。我們發現增進信用資產池損失分配的之厚尾性描述,得以改善高估或低估分券信用價差的情況。
By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit-structured products. Using MBS CDOs as an example, we examine how model-embedded variables, such as default correlation, reference-portfolio granularity, and cross-pool correlation, affect the risk profiles of MBS CDO tranches. Our numerical results echo the findings of Azzalini and Capitanio(2003) in that correlation structure obtained under the Gaussian factor copula model may be inadequate in capturing the fact-tailed characteristic of the reference-pool loss distribution, thus can result in over/under-estimation of CDO tranche spreads.
口試委員會審定書 #
誌謝 i
中文摘要 ii
ABSTRACT iii
目錄 iv
圖目錄 vii
表目錄 viii
Chapter 1 前言 9
Chapter 2 文獻探討 16
Chapter 3 資產證券化 21
3.1 資產證券化機制 21
3.1.1 信用增強機制的比較 23
3.2 資產證券化之效益 24
3.3 資產證券化產品 25
3.3.1 房屋抵押貸款證券 26
3.3.2 房屋抵押貸款擔保憑證 27
3.3.3 資產證券化之疑慮 29
Chapter 4 研究方法 31
4.1 房屋抵押貸款信用擔保憑證的支付型態 33
4.2 違約相關性描述 37
4.2.1 高斯因子相關性繫聯結構模型 (Gaussian factor copula model) 38
4.2.2 跨池多因子相關性繫聯結構模型的設定與違約相關性描述 40
4.3 風險值衡量與評等準則 42
4.4 構建損失分配的選擇 45
4.4.1 Normal Inverse Gaussian(NIG)分配與Regime-Switching Model 47
Chapter 5 數值結果與分析 51
5.1 MBS CDO的結構面 51
5.1.1 內層結構成分MBS 52
5.1.2 改變主券的構成分券 55
5.1.3 改變內層子分券範圍 57
5.2 MBS CDO各攸關變數的敏感度分析 59
5.2.1 跨池與池內違約相關性描述 59
5.2.2 預期違約率 61
5.2.3 隨機回復率 62
5.3 資產集中度與資本計提 64
5.3.1 單一資產集中度 64
5.3.2 資本緩衝 66
5.4 不同分配假設下的損失分配比較 70
5.4.1 CDO評價比較 71
5.4.2 MBS CDO主券損失的比較 72
5.4.3 改變標的資產預期違約率的影響 77
5.4.4 改變資產池違約相關性的影響 78
Chapter 6 結論 84
參考文獻 87
附錄 90

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