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| Title: | 資產群組之動態違約模型──以信用擔保債權為例
On the Dynamic Characterization of Correlated Defaults in the Pricing of Collateral Debts Obligations |
| Authors: | 陳美君
Chen, Mei-Chun |
| Contributors: | 江彌修
陳美君
Chen, Mei-Chun |
| Keywords: | 違約
叢聚
信用
傳染 |
| Date: | 2008 |
| Issue Date: | 2009-09-14 09:31:20 (UTC+8) |
| Abstract: | 本文以建構存活率(survival probability) 之動態過程, 提出簡易的動態信用模型, 可應用於資產群組之信用風險衡量, 及評價廣泛的信用衍生性商品。本研究將模型應用於信用擔保債權(collateralized debt obligation, CDO) 之評價, 再延伸至遠期信用擔保債權之評價。模型假設存活率生成函數(survival probability generating function) 之動態過程乃一含有漂浮項(drift term)的跳躍過程(jump process), 以形容信用事件發生對違約可能性提高之現象。為改善卜瓦松過程中每期信用事件獨立之缺點, 本文假設信用事件之發生頻率為三參數之伽瑪分配(Gamma distribution), 使違約事件之傳染效果(contagious effect) 及叢聚現象更為明顯。模型中所有參數均可以信用擔保債權之市價予以校準, 並且理論價格與市價十分相近。本文提供以信評資料估計信用事件發生頻率之方法, 估計所得之損失分配與市價所隱含之損失分配接近; 故本模型可以充份運用信用評等之資訊, 並可以更合理地評價信用資產群組之價值。 |
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| Description: | 碩士
國立政治大學
金融研究所
96352009
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096352009 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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