臺灣博碩士論文加值系統

本文旨在提供擔保債權憑證評價模型的比較分析。所比較的評價模型都建構在單因子關聯結構的架構下，並利用Hull and White (2004)所提出之機率杓斗法則(probability bucketing method)建構標的資產之違約損失分配，進而求算分券之信用價差。所考慮的模型有NIG copula，隨機相關模型(stochastic correlation model)，局部相關模型(local correlation model)。此分析會對各個模型的市場配適度進行比較。有鑑於次級房貸風暴對於信用衍生性商品市場造成巨大的衝擊，該風暴對模型配適度的影響也會在本文中討論。最後，本文也會對各模型參數的穩定性進行比較。

In this work, we present a comparative analysis of correlation skew models for pricing of CDOs. All of these models are based on the factor copula pricing framework
and can generate correlation skews. The models compared are normal inverse Gaussian copula, stochastic correlation model and local correlation model. By using Gaussian copula as benchmark, the fitness of these models to market data will be tested. Because the subprime mortgage crisis causes structural changes on the credit derivatives market,
the fitness before the crisis and after the crisis is compared. Finally, the stability of parameter values over time will be given.

口試委員會審定書........................................................................................i
誌謝...............................................................................................................ii
摘要..............................................................................................................iii
Abstract ........................................................................................................iv
Chapter 1 Introduction ..................................................................................1
Chapter 2 Valuation of CDOs .......................................................................3
2.1 CDS, CDOs, and Index Tranches ....................................................3
2.2 General Pricing Formula for CDOs .................................................8
2.3 Review of Copula...........................................................................10
2.4 The Factor Copula Pricing Framework..........................................13
Chapter 3 Correlation Skew........................................................................22
3.1 Standard Market Model..................................................................22
3.2 Correlation Skew............................................................................23
3.3 Problems of Correlation Skew .......................................................27
Chapter 4 Correlation Skew Modeling .......................................................29
4.1 Normal Inverse Gaussian Copula...................................................29
4.2 Stochastic Correlation Model.........................................................32
4.3 Local Correlation Model ................................................................34
Chapter 5 Numerical Results ......................................................................37
5.1 Data and Model Calibration ...........................................................37
5.2 Market Fitness ................................................................................38
5.3 Stability of Parameters ...................................................................41
Chapter 6 Conclusions ................................................................................44
Bibliography................................................................................................45
Appendix .....................................................................................................46

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