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| Title: | 固定期信用違約交換之評價與避險分析 |
| Authors: | 陳俊豪 |
| Contributors: | 廖四郎
陳俊豪 |
| Keywords: | 固定期信用違約交換
信用違約交換
信用衍生信商品
信用風險
Constant Maturity Credit Default Swap
Credit Default Swap
credit derivative
LIBOR market model
credit risk |
| Date: | 2006 |
| Issue Date: | 2009-09-14 09:36:25 (UTC+8) |
| Abstract: | 固定期信用違約交換(Constant Maturity Credit Default Swap)是移轉固定年期信用違約交換信用價差(CDS Spread)變動風險的信用衍生性金融商品，目前僅Brigo(2005)以及Krekel and Wenzel(2006)探討固定期信用違約交換的評價，也各自推導出近似封閉解，但對於相關參數之估計以及避險參數並沒有涉及，因此本研究將利用歷史資料估計Krekel and Wenzel(2006)評價公式中的參數，讓評價模型更加完備，並求算避險參數，提供發行商與投資人避險資訊。
本文利用目前信用違約交換(Credit Default Swap)市場中各到期日流動性較高的美國Eastman Kodak Company公司債作為標的物，發行一檔固定期信用違約交換，並利用現有市場資訊估計模型中的參數。在避險實證上，本文利用標的物債券信用價差曲線的變動，對固定期信用違約交換契約價值以及五年期及十年期信用違約交換契約價值的影響，建構了一個避險投資組合，使得避險後總投資組合價值波動減少。
Constant Maturity Credit Default Swap (CMCDS) is one of the credit derivatives, whose function is to circumvent the fluctuating risk of CDS Spread. Brigo (2005) and Krekel and Wenzel (2006) focused on not only probing into the evaluation of the CMCDS but also deriving the approximated closed-form solution in their recent research separately. However, they seldom concern the hedging approach and the estimated parameters of pricing model, which could be major variable in the measurement. This paper is aiming to calculate the history data of hazard rate to estimate the parameters by using the formula from Krekel and Wenzel (2006) and compute the hedging approach of the pricing model to make it become more complete and provide the hedging information for both financial institutions and investors.
By using the corporation bond of Eastman Kodak Company which with higher liquidity and various maturity as the main reference asset to issue a CMCDS and utilizing the current available market data to estimate the parameters of the pricing model to evaluate the value of the product, I find that the various credit spread curve of reference bond will influence the value of CDS and CMCDS and try to structure a hedging portfolio to eliminate the fluctuation of the product. |
| Reference: | [1] Brigo, D., and F. Mercurio, “Interest Models: Theory and Practice.” Springer-Verlag, 2001
[2] Brigo, D., “Constant maturity credit default swap pricing with market models.” Working paper, 2005
[3] Calamaro, J. P., and T. Nassar, “CMCDS:The path to floating credit spread products.” Deutsche Bank Global Markets Reserch, 2004
[4] Hull, J. C. and A. White, “The valuation of credit default swap options.” Working paper, 2003
[5] Krekel, M., and J. Wenzel, “ A unified approach to credit default swaption and constant maturity credit default swap valuation.” Working paper, 2006
[6] Pedersen, M. J., and S. Sen, “Valuation of constant maturity default swaps.” Lehman Brothers Quantitative Credit Research Quarterly, pp. 42–58, 2004
[7] Schönbucher, P. J., “A LIBOR market model with default risk.” Working paper, 2000
[8] Schönbucher, P. J., “A note on survival measures and the pricing of options on credit default swaps .” Working paper, 2003
[9] Schönbucher, P. J., “A measure of survival.” Risk, pp. 79–85, 2004
[10] Whetten, M., and W. Jin, “Constant maturity CDS(CMCDS) –A Guide.”
NOMURA Fixed Income Research, 2005 |
| Description: | 碩士
國立政治大學
金融研究所
94352003
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0943520031 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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