政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33988

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33988

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/33988

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33988

Title:	信用衍生性商品評價-馬可夫鏈模型
Authors:	林明宗
Contributors:	廖四郎林明宗
Keywords:	信用違約交換第n次信用違約交換馬可夫鏈 CDS credit default swap NTDS n-to-default swaps Markov chain Markov Chain Monte Carlo conditional Markov chain Gibbs sampler
Date:	2006
Issue Date:	2009-09-17 19:02:05 (UTC+8)
Abstract:	信用衍生性商品（credit derivatives）是用於移轉信用風險之契約，契約是由保護買方（protection buyer）與保護賣方（protection seller）所簽定，由保護買方支付保險金（可為躉繳或分期支付）以獲得信用的保護，而保護賣方則需在律定之信用事件發生時支付償金予保護買方做為補償。近年來頻傳金融事件，巴塞爾銀行監理委員會（Basel Committee on Banking Supervision）也不得不制定新版的巴塞爾協定以要求銀行強化信用風險控制與分散，而信用衍生性商品亦有助於信用風險的移轉與抵減的功能。本篇針對利用conditional Markov chain來建構信用違約交換與第n次信用違約交換之評價模型，並利用模擬的方式來求算出各商品之利差。藉由現實中的資料取得參數的估計值放入模型內則可以模擬出各種不同的狀況，進而做出避險的策略。此外，本篇亦探討如何利用Gibbs sampler來改良conditional Markov chain的模擬方法，以模擬當信用衍生性商品中的資產組合有傳染效果的情況。
Reference:	[1]Barrette, R. and Ewan, J. (2006), BBA Credit Derivatives Report 2006, British Bankers’ Association. [2]Bielecki, T.R., Crepey, S., Jeanblanc, M. and Rutkowski, M. (2006), “Valuation of basket credit derivatives in the credit migrations environment”, Handbook on Financial Engineering, J. Birge and V. Linetsky eds., Elsevier, forthcoming. [3]Bielecki, T.R. and Rutkowski, M. (2002), Credit Risk: Modeling, Valuation and Hedging, Springer-Verlag Berlin Heidelberg New York. [4]Bielecki, T.R. and Rutkowski, M. (2003), “Dependent Defaults and Credit Migrations”, Applicationes Mathematicae, 30, 121-145. [5]Bielecki, T. R., Vidozzi, A. and Vicozzi, L. (2006), “An efficient approach to valuation of basket credit products and options on ratings triggered step-up bonds”, working paper, IIT. [6]Black, F., and Cox, J. (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, Journal of Finance, 31, 351-367. [7]Casella, G. and George, E. I. (1992), “Explaining the Gibbs Sampler”, The American Statistician, 46(3), 167-174. [8]Chance , D. (1990), “Default risk and the duration of zero coupon bonds”, Journal of Finance, 45(1), 265-274. [9]Ethier, S. N. and Kurtz, T.G. (1986), Markov Processes: Characterization and convergence, John Wiley & Sons, Inc. [10]Heath, D., Jarrow, R. and Morton, A. (1992), “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, 60, 77-105. [11]Ho, T. and Singer, R. (1982), “Bond indenture provisions and the risk of corporate debt”, Journal of Financial Economics, 10, 175-406. [12]Ho, T. and Singer, R. (1984), “The value of corporate debt with a sinking fund provision”, Journal of Business, 57, 315-592. [13]Huge, B. and Lando, D. (1999), “Swap Pricing with Two-Sided Default Risk in a Rating-Based Model”, European Finance Review, 3, 239-268. [14]Hull, J. and White, A. (2004), “Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives, Vol. 12(2), 8-23 [15]Jarrow, R. A., Lando, D., Turnbull, S. M. (1997), “A Markov Model for the Term Structure of Credit Risk Spreads”, The Review of Financial Studies, 10(2), 481-523. [16]Jarrow, R. and Turnbull, S. M. (1995)“Pricing Derivatives on Financial Securities Subject to Credit Risk”, The Journal of Finance, 50(1), 53-85. [17]Jarrow, R. and Yu, F. (2001), “Counterparty Risk and the Pricing of Defaultable Securities”, The Journal of Finance, 56(5), 1765-1799. [18]Kim, J., Ramaswamy, K. and Sundaresan, S. (1993), “Does default risk in coupons affect the valuation of corporate bond?: A contingent claims model, Financial Management 117-131. [19]Lando, D. (1998), “On Cox Processes and Credit Risky Securities”, Review of Derivatives Research, 2, 99-120. [20]Li, D. X., “On Default Correlation: A Copula Function Approach”, Journal of Fixed Income, 9, 43-54. [21]Merton, R. C. (1974) “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, 2,449-470. [22]Merton, R. C. (1977), “On the pricing of contingent claims and the Modigliani-Miller theorem”, Journal of Financial Economics, 3, 125-144. [23]Ramaswamy, K. and Sundaresan, S. (1986), “The valuation of floating-rate instruments”, Journal of Financial Economics, 17, 251-272. [24]Resnick, S. (1992), Adventures in Stochastic Processes, Birkhauser, Boston. [25]Zagst, R (2002), Interest Rate Management, Springer [26]林晚容，”單一分券違約信用交換與單一分券擔保債權憑證之評價-copula方法”，政治大學經濟研究所碩士論文。
Description:	碩士國立政治大學金融研究所 93352006 95
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0093352006
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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