政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31238
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 50963780      Online Users : 940
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31238


    Title: 信用連動債券之評價與分析─附有利率上下限及浮動式債券
    Authors: 王敏楠
    Contributors: 陳松男
    王敏楠
    Keywords: 信用連動債
    信用風險
    信用曲線
    信用衍生性商品
    Hull-White模型
    Credit Linked Notes
    Credit Risk
    Credit Curve
    Credit Derivatives
    Hull-White Model
    Date: 2004
    Issue Date: 2009-09-14 09:35:12 (UTC+8)
    Abstract: 信用衍生性商品可規避或轉移信用風險，為金融機構有效管理信用風險的利器。而信用連結票券可視為結合普通票券與信用違約交換的結構型商品，使得票券的發行者得以規避其交易對手的信用風險，投資者也可藉由承擔信用風險而享受投資報酬率增加的益處。
    本文採用無套利的利率模型Hull-White三元樹來建構利率期間結構，可得到與市場利率期間結構一致的利率期間結構。在假設資產違約回收率為外生變數下，採用實務界常用的方法(Duffie and Singleton,1999)建構信用曲線，以求出邊際違約機率。在已知每個節點上的預期現金流量下，利用回推法可計算出信用連結票券的價值。
    Reference: 中文部份：
    1.陳松男(2002)，「金融工程學」，華泰書局。
    2.陳松男(2004)，「結構型金融商品之設計及創新」，新陸書局。
    3.陳松男(2005)，「結構型金融商品之設計及創新(二)」，新陸書局。
    4.陳彥禎(2003)，「路徑相依及報償修改型利率連動債券之設計及分析」，國立政治大學金融所碩士論文。
    5.謝嫚綺(2004)，「結構型債券之評價與分析」，國立政治大學金融所碩士論文。
    6.許可甄(2004)，「Hull and White模型下利率連動債券與股權連動債券之評價與分析」，國立政治大學金融所碩士論文。
    7.張瑞珍(2004) ，「信用連結票券之評價」，國立暨南大學財務金融所碩士論文。
    8. 葉煥文、李悅豪、陸宏銘(2003) ，「信用衍生性金融商品研究」，中華民國證券商業同業公會委託研究報告。
    英文部份：
    1. Black, Fischer, and John C. Cox, 1976, “Valuing corporate securities: some effects of bond indenture provisions,” Journal of Finance 31, 351-367.
    2. Brigo, D., and F. Mercurio. 2001. Interest Rate Models: Theory and Practice. New York: Springer-Verlag.
    3. Darrell Duffie and Kenneth J. Singleton(1999), ”Modeling Term Structures of Defaultable Bonds ”,The Review of Financial Studies Special, Vol. 12, No.4, pp.687-720
    4. Francis A. Longstaff(2002) , ” The Flight-to-liquidity Premium in U.S. Treasury Bond Prices ”, National Bureau Of Economic Research Working Paper Series
    5. Hull, J., and A. White(1994), ”Numerical Procedures for Implementing Term Structure Models I：Single-Factor Models ”, Journal of Derivatives, 2, 1, pp.7-16.
    6. Hull, J., and A. White(1996), ”Using Hull and White Interest Rate Trees ”, Journal of Derivatives, 3, 3, pp.26-36.
    7. Jarrow, Robert, David Lando, and Stuart Turnbull, 1997, “A Markov model for the term structure of credit spread,” Review of Financial Studies 10, 481- 523.
    8. Lando, David, 1994, “Three essays on contingent claims pricing,” Ph.D. dissertation,Cornell University.
    9. Li, D.(1998),“ Constructing a Credit Curve ”,Risk, pp.40-43.Merton, Robert, 1974, “On the pricing of corporate debt: The risk structure of interest rates,” Journal of Finance 29,449-470.
    10. Satyajit Das(2000), ”Credit Derivatives and Credit Linked Notes”, pp.1-65
    Description: 碩士
    國立政治大學
    金融研究所
    92352029
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923520291
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2321View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback