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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/33990


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/33990


    題名: 信用衍生性商品之擔保債權憑證之評價與分析
    作者: 李美儀
    貢獻者: 陳松男
    李美儀
    關鍵詞: 信用衍生性商品
    抵押擔保債權憑證
    日期: 2005
    上傳時間: 2009-09-17 19:02:23 (UTC+8)
    摘要: 亞洲金融風暴後，全球各國開始重視信用風險（Credit Risk），是以信用衍生性商品開始蓬勃發展，尤其以抵押擔保債權憑證（Collateralized Debt Obligation, CDO）的市場發展迅速，而我國在2002年7月24日公佈「金融資產證券化條例」後，開始了我國CDO發展的里程碑。首先發行幾檔CLO（Collateralized Loan Obligation），2005年後開始有CBO（Collateralized Bond Obligation）的發行。一般CBO的發行動機是為了套利，然而我國CBO發行卻有著截然不同的背景動機，起源於 2004年下半年國內爆發聯合投信事件，因此金管會與投信業者為積極處理結構債，以發行CBO的方式支應國內嚴重的結構債問題。
    是以本文在這樣的時空背景下，首先瞭解CDO的分類、架構與運行機制，然後運用One Factor Gaussian Copula建構出標的資產的違約時點或條件違約機率，而後以蒙地卡羅法和Hull 和White（2004）的「Probability Bucket」法建構CDO的評價模型，最後以「玉山銀行債券資產證券化特殊目的信託2005-1受益證券」作為個案分析，分析此商品的架構與特殊機制，然後以此二種方法評價此商品各分券的合理信用價差，並分析不同參數設定對各分券信用價差的影響。
    參考文獻: 中文部份
    高儀慧(2005), “擔保債務憑證(CDO)發展現況及其衍生問題探討”, 證券櫃檯, 107期
    廖四郎、李福慶(2005), “擔保債權憑證之評價-Copula分析法”
    蔡麗君(2005), ” 隨機違約強度模型下CDO之評價與分析－Copula方法”, 政治大學碩士論文
    穆迪信用評等公司(2004), “亞太區公司債行機構違約率與償還率：1990-2003”
    英文部份
    Andersen, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket,” Risk,November 2003.
    Black, F. and J. C. Cox (1976), “Valuing corporate securities: some effects of bond indenture provisions,” Journal of Finance 31, pages 351-367.
    Bluhm, C., L. Overbeck and C. Wagner (2002), “An introduction to credit risk modeling”, Chapman and Hall
    Bollerslev, T.(1986), “Generalized Autoregressive Conditional Heterscedasticity.” Journal of Econometrics, 31, pages 307-327.
    Cherubini, U., E. Luciano and W. Vecchiato (2004), “Copula methods in finance”, John Wiley and Sons, Ltd.
    Cifuentes, A. and G. O’Connor (1996), The binomial expectation method applied to CBO/CLO analysis, Moody’s Special Report, Dec 13th 1996
    Dickey, D., and W. Fuller（1979）, “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association, 74, pages 12-26.
    Duffie, D. and K. Singleton (1999), “Modeling term structure of defaultable bonds,” Review of Financial Studies, 12, pages 687-720.
    Duffie, D. and N. Garleanu (2001), “Risk and valuation of collateralized debt obligations,” Finance Analysis Journal 57(1), pages 41-59.
    Engle, R.(1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflations.” Econometrica, 50, pages 987-1008.
    Engle, R. (1984), “Wald, Likelihood Ratio, and Lagrange Multiplier Tests in Econometrics.”, In Z. Griliches and M. Intriligator, eds., Handbook of Econometrics, Vol. 2. Amsterdam: North Holland.
    Fréchet, M.(1935), “Sur le tableaux de corrélation don’t les marges sont données”, Ann. Univ. Lyon, 9, Sect. A, pages 53-77
    Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation,” Journal of Derivatives 12(2), pages 8-48.
    Hull, J., M. Predescu, and A. White, ”Bond Prices, Default Probabilities and Risk Premiums”, Working Paper
    Jarrow, R. and S. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk,” Journal of Finance 50 , pages 53- 85.
    Jarrow, R., D. Lando, and S. Turnbull (1997), “A Markov model for the term structure of credit spread,” Review of Financial Studies 10, pages 481- 523.
    J.P. Morgan Securities Inc.(2001), ”CDO Handbook”
    Kalemanova, A., B. Schmid, and R. Werner (2005), “The Normal inverse Gaussian distribution for synthetic CDO”
    Laurent, J.P. and J. Gregory(2003), ”Basket default swaps, CDO’s and factor copulas,” working paper, ISFA Actuarial School, University of Lyon
    Li, D.X. (2000), ”Constructing a credit curve”, Risk, November 1998
    Li, D.X. (2000), “On default correlation: A copula function approach,” The RiskMetrics Group working paper number 99-07
    Lehman Brothers, “The Lehman Brothers Guide to Exotic Credit Derivatives”
    Meneguzzo, D. and W. Vecchiato (2004), “Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps,” The Journal of Futures Markets, Vol. 24(1), pages 37-70.
    Merton, R. (1974), “On the pricing of corporate debt: The risk structure of interest rates,” Journal of Finance 29, pages 449-470.
    Moody’s(2006),” Default and Recovery Rates of Corporate Bond Issuers, 1920-2005”, Moody’s Investor Service, February
    Nomura(2004), “Correlation Primer”, Nomura Fixed Income Research, August 6
    Nomura(2004) “Tranching Credit Risk”, Nomura Fixed Income Research, October 8
    Sklar, A. (1959), “Fonctions de repartition a n dimensions et leurs marges,” Pub. Inst. Statisr. Univ. Paris, 8, pages 229-231.
    描述: 碩士
    國立政治大學
    金融研究所
    93352008
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093352008
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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