政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33998

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33998

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/33998

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/33998

Title:	信用衍生性商品之評價：應用物件導向程式設計
Authors:	胡修銘
Contributors:	江彌修胡修銘
Keywords:	信用風險物件導向程式擔保債權憑證 probability bucketing
Date:	2005
Issue Date:	2009-09-17 19:03:28 (UTC+8)
Abstract:	為了使信用衍生性金融商品的評價過程更有效率，並且能使評價程式具有再使用性以及相互溝通的功能，故本文使用「物件導向程式設計」的觀念來進行評價模型的建構。本文於評價信用風險衍生性商品時，導入物件導向觀念之資料抽象化與程序抽象化的方式，首先建立評價過程中的元件與工具的程式類別，進入評價時即可由類別來建立物件。為了讓各程式物件在評價過程能互相溝通並交換資訊，則必須以繼承或引入C++標頭檔案等方式來建立各類別之間的相互關係。完成建構物件導向的評價類別模型之後，可以開始宣告商品類別之物件以進行商品的評價。物件導向程式設計在此除了可以將一籃子違約交換契約以及擔保債權憑證的評價方法轉化為程式碼以利評價，亦可藉由「繼承」的物件技術觀念來試著評價更為複雜的CDO Squared；並可以發揮程式的「再使用性」使不同規格的商品的評價過程更為簡便。
Reference:	Andersen, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket,” RISK, November 2003. Andersen, L. and J. Sidenius (2004), “Extensions to the Gaussian copula：random recovery and random factor loadings,” working paper, Bank of America, June. Bluhm, C., L. Overbeck and C. Wagner (2002), An introduction to credit risk modeling, Chapman & Hall. Burtschell, X., J.-P. Laurent. and J. Gregory (2005), “A comparative analysis of CDO pricing models”, working papers, BNP-Paribas. 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. and A. White (2005), “The perfect copula,” working paper, Joseph L. Rotman School of Management, University of Toronto.. 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. Jarrow, R. and S. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk,” Journal of Finance 50, pages 53- 85. Jarrow, R. and F. Yu (2001), “Counterparty risk and the pricing of defaultable securities,” The Journal of Finance 56, pages 1765- 1799. 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), “On default correlation: A copula function approach,” The RiskMetrics Group working paper number 99-07 Merton, R. (1974), “On the pricing of corporate debt：The risk structure of interest　rates,” Journal of Finance 29, pages 449-470. 蔡麗君(2005)，隨機違約強度模型下CDO之評價與分析－Copula方法，國立政治大學金融研究所。
Description:	碩士國立政治大學金融研究所 93352030 94
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0093352030
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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