政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118241

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118241

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题名:	擔保貸款憑證之評價：使用Factor Copula方法 Using Factor Copula Method to Price Collateralized Loan Obligation
作者:	吳佳璇
贡献者:	林士貴蔡政憲吳佳璇
关键词:	關聯函數因子關聯函數單因子模型擔保債權憑證擔保貸款憑證 Copula One factor model Factor copula CDO CLO
日期:	2018
上传时间:	2018-07-03 17:26:46 (UTC+8)
摘要:	擔保債權憑證在1996後蓬勃發展，但卻在2008年成為全球金融風暴的問題之一，在沉寂幾年後近幾年來德意志銀行（Deutsche Bank）、高盛集團（Goldman Sachs）、摩根大通（JP Morgan）、法國興業銀行（Societe Generale）及花旗銀行（Citi Bank）等都曾嘗試復推擔保債權憑證商品，顯示這類商品其對於買賣方皆是吸引人的。隨著擔保債權憑證發行量的攀升，此商品的評價更顯其重要，本文使用因子關聯函數模型（Factor Copula），其優點為計算快速，並加入市場因子來當客觀標準，避免關聯函數法應用在不同市場資產情況下的不合理假設。實證部分以Venture在2016年發行的擔保貸款憑證為例，進行評價求得分券之公平溢酬，並針對評價過程提出可改善的地方。 The Collateralized Debt Obligation（CDO） boomed after 1996, but it became one of the problems of the global financial crisis in 2008. After a few years of silence, Deutsche Bank, Goldman Sachs, JPMorgan, France Societe Generale and Citi Bank have tried to reintroduce CDO, showing that CDO are attractive to buyers and sellers. With the increase in the issuance of CDO, the pricing of this commodity is even more important. This paper uses Factor Copula model, which has the advantages of fast calculation, adds market factors as objective criteria, and avoid the unreasonable assumption that the correlation function method is applied to different market assets. The empirical part uses the CLO issued by Venture in 2016 as an example to evaluate the fair premium of the tranche, and propose improvements to the pricing process.
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描述:	碩士國立政治大學金融學系 105352031
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0105352031
数据类型:	thesis
DOI:	10.6814/THE.NCCU.MB.006.2018.F06
显示于类别:	[金融學系] 學位論文

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