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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49006


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    題名: 離散型動態回復率模型之建構與應用
    Discrete dynamic recovery rate modeling and its application
    作者: 邵惠敏
    Shao, Hui Min
    貢獻者: 江彌修
    邵惠敏
    Shao, Hui Min
    關鍵詞: 動態回復率
    合成型擔保債權憑證
    損失分配
    系統性風險
    dynamic recovery rate
    CDO
    loss distribution
    systematic risk
    日期: 2009
    上傳時間: 2010-12-08 01:56:52 (UTC+8)
    摘要: 本文主要研究動態回復率之建構。並搭配使用機率勺斗法，將資產之離散損失分配建構出合成型擔保債權憑證分劵損失分配。歸納出離散動態回復率對合成型擔保憑證分劵之風險承擔與信用價差變化。本文發現在動態回復率中，即使在相同條件下有一樣預期損失，能使其債權群組損失分配之標準差較固定回復率小，且可使投資組合巨額損失部份產生厚尾分配現象。動態回復率對各分劵面臨共同存活與違約機率具有緩和或增強分劵承擔風險之作用。在單因子高斯連繫結構靜態違約下，透過隨機回復率能增加動態系統性風險因子之描繪。類似於將系統風險因子分配由標準常態分配改成t分配或是債權群組間違約相關係提高。
    參考文獻: 江彌修、岳夢蘭、林恩平，2009，「條件獨立假設下合成型擔保債權憑證之評價與避險」，《財務金融學刊》第17期，1-40
    江彌修、岳夢蘭、李蕙君，2008，「雙層保護合成型擔保債權憑證之評價與風險特徵研究」，《經濟論文》第36卷第3期，277-314
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    描述: 碩士
    國立政治大學
    金融研究所
    97352007
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097352007
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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