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博碩士論文 etd-0621106-210200 詳細資訊
Title page for etd-0621106-210200
論文名稱
Title
不完全資訊信用模型下債權擔保證券之評價—Copula方法
The pricing of CDO based on Incomplete Information Credit model
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
62
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2006-06-17
繳交日期
Date of Submission
2006-06-21
關鍵字
Keywords
信用模型、不完全資訊、債務擔保證券、評價
Incomplete information credit model, CDO, Copula
統計
Statistics
本論文已被瀏覽 5833 次,被下載 3732
The thesis/dissertation has been browsed 5833 times, has been downloaded 3732 times.
中文摘要
信用風險對於銀行、債券發行者及投資人而言是一個重要的課題。對金融機構而言,如何控制信用風險與風險資本計提隨著新巴塞爾資本協定的實施,將關係金融機構之競爭力。是故,近年來證券化商品遂成為銀行管理信用風險與資產的有利工具。證券化商品種類相當廣泛,本文主要針對債權擔保證券(CDO),採用不完全資訊信用模型(Incomplete information credit model),以Copula法描述債權資產群組之聯合機率分配,以蒙地卡羅法進行定價分析。進而討論在本模型下各變數影響信用價差之敏感度分析。
Abstract
Credit risk and market risk have already been explored intensively and the reliable models of credit risk and market risk have also been developed progressively. This study try to find a method pricing the CDO (Collateralized Debt Obligation) based on Incomplete information credit model. For the various approaches to CDO valuation, the most widely accepted is the Copula approach. The Copula approach is considered suitable for describing default correlation. Combining with Monte Carlo Simulation, it can price CDO effectively.
目次 Table of Contents
第一章、序論 1
第一節、研究動機 1
第二節、研究目的 7
第三節、研究流程 9
第二章、文獻探討 10
第一節、信用風險模型 10
第二節、Copula函數 15
第三節、CDO結構簡介與信用增強 18
第三章、不完全資訊信用模型 下CDO分券評價模式 26
第一節、不完全資訊信用模型違約時點模式 26
第二節、CDO分券評價模式 30
第四章、模擬結果與分析 35
第一節、基礎模擬狀況 35
第二節、參數敏感度分析 36
第三節、Copula結構比較 51
第四節、分券設計的期限組合 54
第五章、結論與建議 56
參考文獻 58
參考文獻 References
中文部分
1. 沈中華 (2005)『資產組合風險預測:Default Correlation 及 Asset Correlation』,金融風險管理季刊、第一卷、第一期
2. 儲容 (2004) 金融資產證券化理論與案例分析,台灣金融研訓院
3. 孫瑞隆 (2004)『信用風險與總體因素關係之研究:應用於資產證券化』國立中山大學/財務管理學系研究所/博士畢業論文
英文部份
1. Black, Fischer & John C. Cox (1976), `Valuing corporate securities: Some eRects of bond indenture provisions', Journal of Finance 31, 351-367.
2. Cetin, Umut, Robert Jarrow, Philip Protter & Yildiray Yildirim (2004), `Modeling credit risk with partial information', Annals of Applied Probability 14, 1167– 1178.
3. Collin-Dufresne, Pierre, Robert Goldstein & Spencer Martin (2001), `The determinants of credit spread changes', Journal of Finance 56, 2177-2207.
4. Duffine, Darrell & Kenneth J. Singleton (1999), `Modeling term structures of default-able bonds', Review of Financial Studies 12, 687-720.
5. Duffine, Darrell & David Lando (2001), `Term structures of credit spreads with incomplete accounting information', Econometrica 69(3), 633-664.
6. Donald van Deventer & Kenji Imai(2003) Credit Risk Models and the Basel Accords, John Wiley & Sons
7. Giesecke, Kay (2001), Default and information ,working paper.
8. Giesecke, Kay & Lisa Goldberg (2004b), `Forecasting default in the face of uncertainty', The Journal of Derivatives 12(1), 1-15.
9. Giesecke, Kay & Lisa Goldberg (2004c), `In search of a Modigliani-Miller economy', Journal of Investment Management 3(2), 1-6.
10. Giesecke, Kay (2004), 〝Correlated default with incomplete information〞Journal of Banking and Finance 28 ,p 1521-1545
11. Giesecke, Kay (2005), Default and information. Journal of Economic Dynamics and Control
12. Giesecke, Kay & Lisa Goldberg (2005), `Sequential defaults and incomplete information ', Journal of Risk 7(1), 1-26.
13. Jarrow, R. A.,and Yu, F.(2001).〝Counterparty risk and pricing defaultable securities〞Journal of Finance 56(5), 555-76.
14. Jarrow, Robert A., David Lando & Fan Yu (2005), `Default risk and diversi‾cation: Theory and applications', Mathematical Finance 15, 1-26.
15. Lopez J. A.(2002) “The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size,”FRBSF Working paper
16. Rudiger Frey & Alexander J. McNeil(2003)“Dependent Defaults in Models of Credit Risk”Journal of Risk
17. Umberto Cherubini, Elisa Luciano, and Walter Vecchiato(2004) Copula Methods in Finance, John Wiley & Sons
18. Zhou, C.(2001),〝An analysis of default correlation and multiple defaults〞,The Review of Financial Studies, Vol. 14(2),p 555-576
19. Correlation Primer, Nomura Fixed Income Research, August 6,2004

網站資料
1. 金管會 2006/3/6 http://www.fscey.com.tw
2. The Bond Market Association 2006/3/6 http://www.bondmarket.com/
3. 台灣金融研訓院http://www.tabf.org.tw/
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