政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34024
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34024


    Title: 結構型金融商品之評價與分析--以雪球型利率連動票券與多標的信用連動債券為例
    Authors: 黃昭能
    Huang,Chao-Neng
    Contributors: 陳松男
    黃昭能
    Huang,Chao-Neng
    Keywords: 結構型商品
    LIBOR利率市場模型
    一籃子信用違約交換
    Structure Note
    LIBOR Market Model
    Credit Default Swap of Basket Type
    Date: 2004
    Issue Date: 2009-09-17 19:07:24 (UTC+8)
    Abstract: 本論文針對市面上發行的兩檔結構型商品：『十年期美元計價雪球型利率連動票券』與多標的信用連動債券-『啄利信用連動債券』進行分析。分別利用LIBOR利率市場模型（LIBOR Market Model）來評價利率連動票券，以及Kijima與Muromachi（2000）評價一籃子信用違約交換的方法來評價信用連動債券。計算出合理價值後，再因應不同的經濟環境作敏感度分析。
    Reference: 中文部份：
    1.陳松男(2002)，「金融工程學」，華泰書局。
    2.陳松男(2004)，「結構型金融商品之設計及創新」，新陸書局。
    3.陳松男(2005)，「結構型金融商品之設計及創新(二)」，新陸書局。
    4.陳威光，新金融商品個案集Ι，智勝文化，民國九十二年二月初版。
    5.劉威翰，財金風險管理，智勝文化，民國九十三年三月初版。
    6.張欽堯，利率連動債券之評價與分析─BGM模型，政大金融研究所碩士論文，民國九十三年六月。
    7.黃珮菁，路徑相依利率結構型債券之評價，政大金融研究所碩士論文，民國九十三年六月。
    8.陳俐芊，利率交換選擇權及固定期限交換利率利差連動債券之設計及分析，政大金融研究所碩士論文，民國九十二年七月。
    英文部份：
    1.Brigo, D., and F. Mercurio. 2001. Interest Rate Models: Theory and Practice. New York: Springer-Verlag.
    2.Hull J. C.. 2002. Options, Futures, and Other Derivatives. Prentice Hall.
    3.Li, D.X. (2000), “On default correlation: A copula function approach,” The RiskMetrics Group working paper ,pp. 99-07.
    4.Michel Crouhy, Dan Galai and Robert Mark (1998), ”Credit Risk Revisited”, Credit Risk: Models and Management, pp.137-145.
    5.Masaaki Kijima, and Yukio Muromachi (2000), ”Credit Events and the Valuation of Credit Derivatives of Basket Type”, Review of Derivatives Research, 4, pp.55-79.
    6.Masaaki Kijima (2001), ”A Gaussian Term Structure Model of Credit Spreads and Valuation of Credit Spread Options”, Kyoto University Economics Review, 70, pp.13-30.
    7.Rebenato, R. 1999. Volatility and Correlation. Chichester, UK: John Wiley & Sons.
    Description: 碩士
    國立政治大學
    金融研究所
    92352030
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923520301
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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