政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31233
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31233


    Title: 利率浮動與路徑相依型信用連結債券之評價與分析
    Authors: 謝曉薇
    Contributors: 陳松男
    謝曉薇
    Keywords: 信用連動債券
    Hull White利率三元樹
    信用曲線
    信用衍生性商品
    Date: 2004
    Issue Date: 2009-09-14 09:34:42 (UTC+8)
    Abstract: 自1992年首次公開「信用風險的衍生性商品」之後，信用衍生性商品市場從此展開，本國財政部也於民國91年底開放信用衍生性商品的交易；然而，目前信用衍生性商品仍是以英、美為主要的市場，信用違約交換為最大宗，其餘依序是擔保債券憑證（Collateralized Debt Obligations，CDO）、總收益交換協議（Total Return Swap）、信用連結債券及信用價差商品，然而，從市場接受度、法令配合度及券商的競爭優勢等方面來看，卻以信用連結債券較高。
    目前已有部分券商及銀行發行信用衍生性商品，其條款報酬對投資人是否合理，發行價格對券商是否有利可尋，都將是對財務工程及商品條款設計一項考驗。本文藉由兩個市場上信用連結商品的實例：「台幣二年期錸德信用連動組合式商品」及「滙豐四年期和記黃埔信用連結組合式債券」，利用Hull-White（1994）利率三元樹與David Li（1998）信用曲線的建構來分析商品與評價，希望能將所學應用於實務，對台灣將來可能造成熱潮的信用衍生性商品，做一完整的說明與分析，使投資人了解到商品本身的風險及獲利，發行人也可注意其避險方法，造成雙贏的局面。
    Reference: 1. 林妙宜，「公司信用風險之衡量」，國立政治大學金融學系碩士論文，民國91年7月
    2. 陳松男，「金融工程學」，民國91年
    3. 陳松男，「結構型金融商品之設計及創新」，民國93年
    4. 陳松男，「結構型金融商品之設計及創新（二）」，民國94年
    5. 吳振雄，「信用衍生金融商品訂價與產品介紹」，淡江大學財務金融學系碩士論文，民國92年6月
    6. 謝嫚綺，「結構型債券之評價與分析」，國立政治大學金融學系碩士論文，民國92年7月
    7. Bielecki, T. and M. Rutkowski. “Credit Risk: Modeling, Valuation and Hedging”, 2002
    8. Black, F. and J. Cox. “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, 351-367
    9. Brigo, D. and F. Mercurio. “Interest Rate Models Theory and Practice”,2001
    10. Cox, J.C., K.E. Ingersoll and S.A. Ross. “A Theory of the Term Structure of Interest Rate”, Econometrica 53, 385-407
    11. Duffie, D. and K. Singleton. “Modeling term structure of defaultable bonds”, Working paper Graduate School of Business, Stanford University.
    12. Heath, D., R. Jarrow and A. Morton. “Bond Pricing and the Term Structure of Interest Rate: A new Methodology for Contingent Claims Valuation” Econometrica 60, 77-105
    13. Ho, T.S.Y., S,-B Lee. “Term Structure Movements and the Pricing of Interest Rate Contingent Claim”, Journal of Finance 41, 1011-1029
    14. Hull, J. and A. White. “Numerical Procedures For Implement Term Structure Models I: Single-Factor Models”, Journal of Derivatives, Fall 1994, 7-16
    15. Hull, J. and A. White. “Valuing Credit Default Swaps I: No Counterparty Default Risk”, Journal of Derivatives, Fall 2000, 29-40
    16. Jarrow, R., D. Lando and S. Turnbull. “A Markov model for the term structure of credit risk spread”, The Review of Financial Studies 10,481-523
    17. Jarrow, R. and S. Turnbull. “Pricing Derivatives On Financial Securities Subject to Credit Risk”, The Journal of Finance, March 1995, 53-85
    18. Justin London. “Modeling Derivatives in C++”, Jonh Liley & Sons,Inc., 2005
    19. Kijima, M. and K. Komoribayashi. “A Markov chain model for valuing credit risk derivatives”, Journal of Derivatives 6, 97-108
    20. Li, D. “Constructing A Credit Curve”, Credit Risk Special Report, November 1998, 40-43
    21. Rendleman, R. and B. Bartter. “Two-State Option Pricing”, Journal of Finance, Vol. 34, 1093-1110.
    22. Ritchken, P. and L. Sankarasubramanian. “Volatility Structure of Forward Rates and the Dynamics of the Term Structure”, Mathematical Finance 5, 55-72
    23. Schonbucher, P. “Credit Derivatives Pricing Models”, 2003
    24. Sundaresan, S. “Fixed Income Markets and Their Derivatives, 2e”, 2002
    25. Vasicek, O. “An Equilibrium characterization of the term structure”, Journal of Financial Economics 5,177-188
    Description: 碩士
    國立政治大學
    金融研究所
    92352020
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923520201
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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