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    题名: Pricing kth-to-Default Swaps: Copula Methods
    作者: 賴偉聖
    贡献者: 謝淑貞
    賴偉聖
    关键词: 信用違約交換
    CDS
    copula
    kth-to-default swaps
    日期: 2006
    上传时间: 2009-09-11 17:07:51 (UTC+8)
    摘要: Credit derivatives are instruments that transfer the credit risk from one party to another one. The most common credit derivative is the single entity credit default swap (CDS).A basket default is similar to a single entity CDS except that the underlying obligation is a basket of entities rather than a single reference asset. The copula methods play an important role while we price a multiname product since the assets in the portfolio are not independent. We need to model the correlated default times by using copula functions. In this article, we develop a copula based methodology for pricing -to-default swaps by using market CDS quotes. In order to know the influence of changing price drivers such as correlations and intensities on spreads, we also discuss the sensitivity analysis in this article.
    參考文獻: 1. Arvanitis A. and Gregory J. [2001], The Complete Guide to Pricing, Hedging and Risk Management, Risk Books.
    2. Cherubini U., Luciano E. and Vecchiato W. [2004], Copula Methods in Finance, John Wiley & Sons, Ltd.
    3. Duffie, D. and Singleton, K. [1999] Modeling Term Structures of Defaultable Bonds, Review of Finance Studies, 12, 4, pp. 687-720.
    4. Elizalde A. [2005], Credit Risk Models: Default Correlation in Intensity Models, CMFI, working paper.
    5. Elizalde A. [2005], Credit Risk Models: Default Correlation in Intensity Models, Kings College London, Department of Mathematics, working paper.
    6. Embrechts P. and McNeil A. [2001], Modeling Dependence with Copulas and Applications to Risk Management, ETH Zurich, Department of Mathematics, working paper.
    7. Galiani S.S. [2003], Copula Functions and their Application in Pricing and Risk Managing Multiname Credit Derivative Products, Kings College London, Department of Mathematics, working paper.
    8. Houweling, P., and Vorst, T. [2005], Pricing Default Swaps: Empirical Evidence, Journal of international Money and Finance, pp. 1200-1225.
    9. Hull, J. and White, A. [2000], Valuing Credit Default SwapsⅠ: No Counterparty Default Risk, Journal of Derivatives, 8, 1, pp. 29-40, 2000.
    10. Hull, J. and White, A. [2000], Valuing Credit Default SwapsⅡ: Modeling default Correlations, Journal of Derivatives, 8, 3, pp. 12-22, 2000.
    11. Hull, J. and White, A. [2004], Valuation of a CDO and an to Default CDS without Monte Carlo Simulation, Journal of Derivatives, 12, 2, 2004.
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    14. Lando, D. [1998], On Cox Process and Credit Risk Securities, Review of Derivatives Research, 2, pp. 99-120.
    15. Li, D.X. [2000], On Default Correlation: A Copula Function Approach, The Journal of Fixed Income, Mar, pp. 43-54.
    16. Mashal, R. and Zeevi, A. [2002], Beyond Correlation: Extreme Co-movements Between Financial Assets, working paper, Columbia Graduate School of Business.
    17. McNeil, A.J., Frey, R. and Embrechts, P. [2005], Quantitative Risk Management : concepts, techniques and tools, Princeton Series in Finance.
    18. Merton, R.C. [1974], On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, The Journal of Finance, 29, 2, pp.449-470.
    19. Nelsen, R. [1999], An Introduction to Copulas, Springer, New York.
    20. Roberto de Matteis [2001], Fitting Copulas to Data, ETH Zurich, Department of Mathematics, working paper.
    21. Romano, C. [2002], Calibrating and Simulating Copula Functions: an Application to the Italian Stock Market, CIDEM, working paper.
    22. Rose, C. and Smith, M.D. [2000], Symbolic Maximum Likelihood Estimation with Mathematica, The Statistician, 49, 2, pp. 229-240.
    23. Schonbucher, P.J. [2003], Credit Derivatives Pricing Models: Models, Pricing and Implementation, Wiley.
    24. Shreve, S. [2004], Stochastic Calculus for Finance, Springer.
    25. Wu F., Valdez E. A., and Sherris M. [2005], Simulating Exchangeable Multivariate Archimedean Copulas and its Applications, Actuarial Research Symposium, November 2005.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    94351030
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094351030
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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