臺灣博碩士論文加值系統

　　近年來，衍生性金融商品如：CDS、BDS和CDO在外國市場迅速地增長。由於臺灣違約事件的發生越來越頻繁，我們相信可用以移轉風險的一籃子信用衍生性商品必定會在台灣金融市場上大受歡迎，因此本文對一籃子信用違約交換作訂價。我們主要的目的是在討論違約相關性與BDS價格之間的關係。我們利用Copula模型來捕捉標的資產間的違約相關性以及利用Merton模型來計算標的資產的違約機率。除此之外，我們也探討了其他模型參數對BDS價格的影響。

Abstract
The foreign market for derivatives such as CDS, BDS, and CDO has grown rapidly in recent years. Because of the default events in Taiwan occur more and more frequently, we believe the basket credit derivatives which can transfer risk must be popular at the Taiwan financial market in the future. In this paper, we study the valuating of BDS which is a derivative security tied to an underlying basket of corporate bonds or other assets. Our purpose is to deal with the relationship between dependent defaults and credit spreads. We use the copula model to capture the correlation of default event, and the Merton model to process the probability of default. Besides these, we discuss the effect of other parameter in our valuation model to spreads.

第一章　緒論 1

第二章　文獻回顧 3

第三章　模型設定 8
第一節　Merton模型 8
第二節　Copula函數 13
第三節　BDS訂價模型 18

第四章　實證分析 22
第一節　契約設定與資料選取 22
第二節　敏感性分析 27

第五章　結論 34

參考文獻 36

參考文獻
國內圖書
1.陳威光(2001)，選擇權：理論、實務與應用，勝文化事業股份有限公司。
2.陳錦村(2003)，風險管理概要: 個案與實務，新陸書局。
3.儲蓉，(2005)，進入信用衍生性金融商品的殿堂，台灣金融研訓院。
4.吳駖(2005)，MATLAB程式設計應用實務，文魁資訊有限公司。
5.中央銀行(2006)，銀行衍生性金融商品未結清契約名目本金餘額統計，中央銀行。
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國內文獻
1.廖四郎、李福慶，擔保債權之評價-Copula分析法。
2.蔡嘉倩、敬永康、沈大白(2003)，我國債務償還率之研究，會計研究月刊第215期。
3.賴柏志(2004)，關聯結構(Copula)在信用風險管理之運用，金融聯合徵信中心。
4.張淑芳(2005)，擔保債權憑證之違約相關與訂價模型，國立清華大學科技管理研究所碩士論文。
5.張耀州(2005)，擔保債權憑證之評價-BET、Copula與Factor Copula方法之比較與分析，國立政治大學金融研究所碩士論文。
6.許豪陞(2006)，信用衍生性金融商品-一籃子信用違約交換之平價與分析，私立東吳大學經濟研究所碩士論文。
7.凃貿仁(2006)，信用違約交換之評價-The valuation of Credit Default Swap，國立台北商業技術學院商學研究所碩士論文。
8.林郁翎(2007)，結構型信用風險管理模型之研究，私立東吳大學經濟研究所博士論文。

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