政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31250
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113451/144438 (79%)
造访人次 : 51326448      在线人数 : 910
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31250


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/31250


    题名: 擔保債權憑證選擇權之評價與避險：跨期因子相關結構性模型之運用
    On the pricing and risk characteristics of options on CDO tranches
    作者: 陳文萱
    Chen,Wen Hsuan
    贡献者: 江彌修
    陳文萱
    Chen,Wen Hsuan
    关键词: 擔保債權憑證選擇權
    跨期因子相關結構性模型
    CDO
    Options on CDO tranches
    Correlation Term structure
    日期: 2006
    上传时间: 2009-09-14 09:36:31 (UTC+8)
    摘要: 這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後，我們發現遠期生效擔保債權憑證與其選擇權對跨期損失相關性有高度敏感性。
    This article tries to find the term-structure of credit spread and portfolio loss distribution to price an option on CDO tranche. Our solution is based on a multiple period of factor copula model proposed by Andersen to fit the dynamic credit spread process by considering inter-temporal loss correlations through time. We also extend the model of valuing European options on CDO tranches presented by Hull and White and discuss the Greeks of the option formula. We numerically test the dependence of forward-starting CDOs on the correlation of loss across time. With the results, we price the options on CDO tranches. Finally, we find forward-starting CDOs and options on CDO tranches can have strong sensitivity to inter-temporal loss correlation.
    參考文獻: Albanese, C, O Chen and A Dalessandro, 2005, “Dynamic Credit Correlation Modeling”, http://www.defaultrisk.com/pp corr 80.htm
    Ameur, H. B., Brigo, D., and Errais, E. 2006, “A Dynamic Programming Approach for Pricing CDS and CDS Options”, http://www.defaultrisk.com/pp_crdrv108.htm
    Andersen, Leif, September 2006, “Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence”, http://www.defaultrisk.com/pp model144.htm
    Bennani, N, 2005, “The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Derivatives”, http://www.defaultrisk.com/ppcrdrv 95.htm
    Hull, J and A White, 2006a, “Forwards and European Options on CDO Tranches”, http://www.defaultrisk.com/pp cdo 06.htm
    Hull, J and A White, 2006b, “Dynamic Models of Portfolio Credit Risk: A Simplified Approach”, http://www.defaultrisk.com/pp model152.htm
    Jackson, Ken and Wanhe Zhang, February 2007, “Valuation of Forward Starting CDOs”, http://www.defaultrisk.com/pp cdo 15.htm
    Li, D.X. 2000, “On Default Correlation: A copula Function Approach”, Working Paper, the RiskMetrics Group.
    Schonbucher P. J.(2005), “Portfolio Losses and the Term Structure of Losses Transition Rates: A New Methodology For the Pricing of Portfolio Credit Derivatives”, Working Paper, Department of Mathematics, ETH Ziirich.
    Sidenius, J, V Piterbarg, and L Andersen, November 2005, “A New Framework for Dynamic Credit Portfolio Loss Modelling”, defaultrisk.com/pp model 83.htm
    Sidenius, Jakob, 2006, “On the Term Structure of Loss Distributions – a Forward Model Approach”, http://www.defaultrisk.com/pp model151.htm
    Walker, Michael, 2005, “CDO Models – Towards the Next Generation: Incomplete Markets and Term Structure”, http://www.physics.utoronto.ca/˜qocmp/nextGenDefaultrisk.pdf
    Walker, Michael B., 2006, “CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions”, http://www.physics.utoronto.ca/˜qocmp/walkerfinance.php
    描述: 碩士
    國立政治大學
    金融研究所
    94352005
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0943520051
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML2307检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    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 ©   - 回馈