政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31187
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31187


    Title: 合成型擔保債權憑證之評價-考量異質分配與隨機風險因子承載係數
    Authors: 張立民
    Contributors: 江彌修
    張立民
    Keywords: 擔保債權憑證
    CDO
    random factor loading
    base correlation
    implied correlation
    Date: 2006
    Issue Date: 2009-09-14 09:29:53 (UTC+8)
    Abstract: 本文以Hull and White(2004)與Anderson and Sidenius(2004)之理論模型為基礎，在單因子連繫結構模型(one-factor copula model)下，探討風險因子改變其分配之假設或考慮隨機風險因子承載係數(random factor loading)時，對擔保債權憑證之損失分配乃至於各分券信用價差所造成之影響。此外，文中亦將模型運用於實際市場資料上，對兩組Dow Jones iTraxx EUR 五年期之指數型擔保債權憑證(index tranches)與一組Dow Jones CDX NA IG指數型擔保債權憑證進行評價與分析。我們發現在三組資料下，使用double t-distribution 連繫結構模型(double t-distribution copula model)與隨機風險因子承載係數模型(random factor loading model)皆能比使用高斯連繫結構模型(Gaussian copula model)更接近市場上之報價。最後，在評價指數型擔保債權憑證外，本研究亦計算各分券之隱含違約相關係數(implied correlation)與基準違約相關係數(base correlation)。
    Reference: 1. Andersen, L., and J. Sidenius. “Extensions to the Gaussian copula: random recovery and random factor loadings.” working paper, Bank of America, 2004
    2. Bear Sterns Credit Derivatives. “Valuing and hedging synthetic CDO tranche using base correlations.” Bear Sterns, 2004
    3. Hull, J., and A. White. “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation.” Journal of Derivatives, vol.12, NO.2, pages 8-23, 2004
    4. Li, D.X., “On Default Correlation: a Copula Approach,” Journal of Fixed Income, vol.9, pages 43-54, 2000
    5. McGinty,L and E. Beinstein “Credit Correlation: A Guide,” JP Morgan, 2004
    6. Satyajit Das, “Credit derivatives：CDOs and structured credit products,” John Wiley & Sons(Asia) Pte Ltd, 2005
    7.林恩平，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，2006
    Description: 碩士
    國立政治大學
    金融研究所
    94352022
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094352022
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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