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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31226


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/31226


    題名: 信用違約交換價差之影響因素：通用汽車與福特汽車之事件研究
    The Change in CDS Spread：An Event Study of the Downgrades of GM and Ford
    作者: 傅以沅
    Fu, Yi-Yuan
    貢獻者: 張興華
    傅以沅
    Fu, Yi-Yuan
    關鍵詞: 信用衍生性商品
    信用違約交換
    通用汽車
    福特汽車
    信用評等
    Credit Derivatives
    Credit Default Swap
    General Motors
    Ford Motors
    Credit Rating
    日期: 2004
    上傳時間: 2009-09-14 09:34:00 (UTC+8)
    摘要: 本文主要是討論市場上有哪些因素會影響信用違約交換的價格(價差)，並且透過2005年初發生的通用汽車與福特汽車信用評等調降事件，研究信用評等的改變對於股票、債券與信用違約交換市場的影響。

    一開始先介紹信用衍生性商品市場的發展。第二部份則介紹評價信用違約交換的模型，並由模型中找出可能影響信用違約交換價格的因素，並且提出公司本身發佈的消息也可能會影響價差的改變，甚至更為明顯，但沒有任何一個評價模型包含這樣一個因素。而透過對通用汽車與福特汽車事件的研究，我們發現兩家公司的股票、公司債或是信用違約交換價格(價差)都在評等調降的消息發布前已經事先反映公司經營不善的狀況，或是所面臨的困境，而在評等調降結果真正公佈的時點時，市場的反應反而沒有預期的明顯。對於公司內部發佈的消息，或是預期之外的事件，價格或價差則會大幅波動。
    參考文獻: Brigo, D. and M. Tarenghi, 2004, Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model, Reduced version in Proceeding of the FEA 2004 Conference at MIT, Cambridge, Massachesetts.
    Choudhry, M. 2004, Structured Credit Products: Credit Derivatives & Synthetic Securitisation, Singopore: John Wiley & Sons (Asia) Pte Ltd.
    Cossin, D. and T. Hricko 2001, Exploring for the Determinants of Credit Risk in Credit Default Swap Transation Data, University of Lausanne.
    Gilbert, J. and L. Cherniavsky 1998, Considerations in Measuring the Credit Risk in Derivatives, The Journal of Lending & Credit Risk Management (March): 58-65.
    Hirani, S. G. and J. P. McEvoy 2000, Challenges and Opportunities for the Credit Derivatives Market, The Journal of Lending & Credit Risk Management (January): 82-88.
    Hull, J., and A. White 2000, Valuing Credit Default Swap I: No Counterparty Default Risk.
    Hull, J., and A. White 2000, Valuing Credit Default Swap II: Mdeling Default Correlations.
    Hull, J., M. Predescu and A. White 2004, The Relationship between Credit Default Swap Spreads, Bond Yield, and Credit Rating Accouncements, Joseph L. Rotman School of Management, University of Toronto.
    Jorrow, R. A., and S. M. Turnbull 1995, Pricing Derivatives on Financial Securities Subject to Credit Risk, The Journal of Finance, Vol. 50, No 1, 53-85
    Nelken, I. 1999, Implementing Credit Derivatives: Strategies and Techniques for Using Credit Derivatives in Risk Management, New York, NY: McGraw-Hill.
    Picone, D., Collateralised Debt Obligation, City University Business School, London & Royal Bank of Scotland.
    Rowe, D. M. 1999, Market Risk and Credit Risk: The Twin Dilemmas of Capital Markets Activities, The Journal of Lending & Credit Risk Management (January): 70-72.
    Smithson, C. and G. Hayt 2000, How the Market Values Credit Derivatives, The Journal of Lending & Credit Risk Management (March): 62-64.
    Smithson, C. and G. Hayt 2000, Credit Derivatives: Implications for Bank Portfolio Management, The Journal of Lending & Credit Risk Management (April): 42-44.
    Whetten, M. and W. Jin, 2005, Constant Maturity CDS (CMCDS) – A Guide, Nomura Fixed Income Research, Nomura.
    Global Insight World Markets Research Centre WMA, February 11, 2005, Challenging Scenarios: Could Detroit’s Automakers Survive a Perfect Storm?
    Global Insight World Markets Research Centre WMA, April, 1, 2005, GM Downgraded to Junk?
    Global Insight World Markets Research Centre WMA, May 16, 2005, Competition Heats Up in the US’s Booming CUV Segment.
    Standard & Poor’s, May 5, 2005,General Motors Corp. Credit Rating Report.
    Standard & Poor’s, May 5, 2005, Ford Motor Co. Credit Rating Report.
    Morgan Stanley, March 21, 2005, GM & Ford: It Is Going to Get Worse Before It Gets Better, Fixed Income Research.
    Morgan Stanley, Aprial 11, 2005, Ford: Not Enough Ponies To Meet Original Earnings Guidance, Fixed Income Research.
    Morgan Stanley, April 25, 2005, Auto Manufacturers: Auto Bond Rollercoaster, Investment Grade Credit.
    Morgan Stanley, April 29, 2005, Credit Derivatives Insight: Tranches – Navigating the Auto Storm, US Credit.
    Morgan Stanley, Jacoby, B., May 04, 2005, General Motors: Now Tracinda Steps In, Fixed Income Research.
    Morgan Stanley, May 6, 2005, Auto Manufacturers: After The Downgrade, Investment Grade Credit.
    Morgan Stanley, May 6,2005, High Yield Monthly: Not Ready to Retire, High-Yield – Corporates.
    Morgan Stanley, May 16, 2005, Auto Manufacturers: Taking Stock of Recent Spread Volatility, Investment Grade Credit.
    Morgan Stanley, May 24, 2005, Auto Manufacturers: The Analytic Converter, Investment Grade Credit.
    Morgan Stanley, May 25, 2005, Ford Motor Co.: Big Borther Comes to the Rescue, Investment Grade Credit.
    Morgan Stanley, May 26, 2005, High Yield Strategy Insights: Get Ready for That New Car Smell, High-Yield – Corporates.
    描述: 碩士
    國立政治大學
    金融研究所
    92352007
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923520071
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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