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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31184


    Title: 考慮違約傳染效應下合成型擔保債權憑證之評價與避險
    Authors: 陳欣怡
    Contributors: 江彌修
    陳欣怡
    Keywords: 傳染效果
    合成型擔保債權憑證
    Date: 2006
    Issue Date: 2009-09-14 09:29:34 (UTC+8)
    Abstract: 本文在條件獨立假設下，考慮資產間違約相互傳染的效果，並建構結果傳染因子效果之單因子連繫結構，利用Hull and White (2004)所提出的機率勺斗法則(probability bucketing method)建構合成型擔保債權憑證債權群組的損失分配，進而求得各分券之價差，並求算各分券之風險特徵以及避險參數，做為避險策略之參考。研究發現，加入傳染效果後，使得各分券的價差均明顯提高，且隨著傳染效果增強，分券信用價差也會隨之增加。而我們在計算分券的風險特徵時發現，加入傳染效果後，會使得資產連帶受其他資產違約而產生間接違約損失的情形增加，而權益分券率先承擔資產組合之違約損失，在契約初期的風險較高，且發生違約的公司多為評等較低的公司，因此多屬於直接違約，因此傳染效果對權益分券風險影響較小，因此次償分券隨著時間的經過風險逐漸上升，且隨著傳染效果增強，風險也會隨之增加。而由於先償分券承擔損失的最後順位，因此其風險主要來自契約後期，當加入傳染效果後會擴大間接違約的風險，使得後期發生損失不確定性的情況大增，因此先償分券會因傳染效果而擴大其風險。最後我們根據分券價值會因標的信用違約交換價差變動而產生市場風險，並將傳染效果考慮進來，求算擔保債權憑證之分券避險參數，並進行避險分析。
    Reference: 1. Daniel Rosch and Birker Winterfeldt (2007),”Estimating Credit Contagion in a Standard Factor Model”, working paper, University of Regensburg.
    2. Ducan Martin and Chris Marrison (2007), “Credit Risk Contagion”, Risk magazine, 90-94.
    3. Gibson, M. (2004), “Understanding the risk of synthetic CDOs”, FEDS Disscussion papers, no. 2004-36, Bond of Governors of the Federal Reserve System.
    4. Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives 12(2), pages 8-48.
    5. Jarrow, R.A., Yu, F., (2001), “Counterparty Risk and the Pricing of Defaultable Securities”, Journal of Finance 56, 1765-1799.
    6. Li, D.X. (2000), ” On Default Correlation: A Copula Approach.”, The Journal of Fixed Income, 9, 43-54.
    7. Mark Davis and Violet Lo, (1999), “Infectious Defaults”, Quantitative Finance 1 ,382-387.
    8. Neugebauer, M., (2006), “Understanding and Hedging Risks in Synthetic CDO Tranches”, Fitch Ratings.
    9. Satyajit Das, (2005), “Credit Derivatives CDOs and Structured Credit products”.
    10. Umberto Cherubini and Elisa Luciano and Walter Vechiato, (2004), “Copula Methods in Finance”.
    11. 林恩平，(2006)，「因子相關性結構模型之下合成型擔保債權憑證之評價與避險」，國立政治大學金融所碩士論文。
    12. 李蕙君，(2006)，「雙層保護合成型擔保債權憑證之評價與風險特徵研究」，國立政治大學金融所碩士論文。
    Description: 碩士
    國立政治大學
    金融研究所
    94352017
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094352017
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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