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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31200


    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:[Department of Money and Banking] Theses

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