政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34023

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34023

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/34023

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34023

Title:	結構型金融商品評價與分析─以信用連動債券及股權連結式目標贖回債券為例
Authors:	劉斯瑋
Contributors:	陳松男 Chen,Son-nan 劉斯瑋
Keywords:	結構型商品信用連動債券最小值選擇權目標贖回 Structured Notes Credit Linked Notes Options on the Minimum of Several Assets Target Redemption
Date:	2004
Issue Date:	2009-09-17 19:07:17 (UTC+8)
Abstract:	結構型商品興起的時空背景，最主要的因素為股市陷於空頭市場。當景氣復甦緩慢，利率維持低檔，而閒置資金浮濫之際，投資人亟需資金運用之出口，而新金融商品因為其產品特性，遂取代傳統的投資模式，成為投資人趨之所騖的投資工具。結構型商品的吸引力存在於其契約的彈性，經由財務工程的專業設計能力，可針對市場行情與投資人屬性量身訂作契約。　　本文針對在目前在國內較少見的兩種結構型商品評價與分析：其一為信用連動債券，利用Hull&White利率三元樹並加上信用價差所隱含的違約機率的概念來作為此商品評價的方法。其二為股權連結式目標贖回保本債券，此商品隱含了極小值選擇權及目標贖回選擇權，為一路徑相依的選擇擇權。本文利用多資產蒙地卡羅模擬法來評價此商品。最後對這兩種商品進行敏感度分析，並提出這些商品的優缺點。
Reference:	中文部份：陳松男，結構型金融商品之設計及創新(二)，新陸書局，民國九十四年二月初版陳松男，結構型金融商品之設計及創新，新陸書局，民國九十一年一月初版陳松男，金融工程學，華泰文化，民國九十一年一月初版陳威光，選擇權理論、實務與應用，智勝出版社，民國九十一年三月初版施宜君，「信用風險之評價與應用」，國立政治大學金融研究所碩士論文，民國九十年蔡豐澤，「信用衍生性商品之評價：違約與回復率模型之應用」，國立台灣大學財務金融研究所碩士論文，民國八十九年六月。英文部份： Boyle “options: A Monte Carlo Approach,”Journal of Financial Economics 4, 1997, pp.323-338. Duffie, D. and K. Singleton, “Modeling term structure of defaultable bonds”, Working Paper, Graduate School of Business, Stanford University, 1997. Hull,J., and A.White. ”Numerical Procedures for Implementing Term Structure ModelsⅠ: Single-Factor Models.” Journal of Derivatives, 2, 1(Fall 1994a), pp.7-16. Li, D. “Constructing a Credit Curve,” Risk November, 1998, pp.40-44.
Description:	碩士國立政治大學金融研究所 92352025 93
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0923520252
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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