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    题名: 基於非齊次卜瓦松過程之動態違約相關性描述及其應用
    On The Application of Inhomogeneous Poisson Arrivals in Default Intensity Modelling: Dynamic Default Correlations
    作者: 張宇賢
    贡献者: 江彌修
    張宇賢
    关键词: 非齊次卜瓦松過程
    違約關聯性
    信用擔保債權
    日期: 2008
    上传时间: 2010-12-08 16:17:37 (UTC+8)
    摘要: 本文假設信用事件為非致命性 (non-fatal)，其發生為外生非齊次卜瓦松過程 (Inhomogeneous Poisson Process)。當信用事件發生時，導致債權群組之標的資產違約機率同時上升，與市場上違約叢聚現象 (clustering effect)相似。本研究允許信用事件發生之頻率為系統及非系統性風險因素，且服從三參數伽瑪分配。進而提供一可校準的動態違約相關性模型，藉由對於信用事件發生頻率與信用事件影響幅度之刻劃，更能與市場報價貼近。本研究並以信用擔保債權為例，驗證本模型於評價及校準上之可行性，並對遠期信用擔保債權進行評價與敏感度分析。根據市場報價校準出之參數可反應目前信用市場上對於債權群組之標的資產間違約關聯性之看法。當模型中之參數變動時，對於違約關聯性之影響，亦可觀察權益分券與其他分券之合理信用價差產生之變化。
    參考文獻: Black, Fischer and Cox, John C. (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, Journal of Finance, 31, 351–367.
    Brigo, Damiano, Pallavicini, Andrea, and Torresetti, Roberto (2006),“Calibration of CDO tranches with the dynamical generalized-poisson loss model”, Risk, May, 70–75.
    Collin-Dufresne, Pierre, Goldstein, Robert, and Helwege, Jean (2003),“Is credit event risk priced? modeling contagion via the updating of beliefs”, Working paper, Haas School, University of California, Berkeley.
    Das, Sanjiv R., Duffie, Darrell, Kapadia, Nikunj, and Saita, Leandro(2007), “Common failings: How corporate defaults are correlated”, Journal of Finance, 1, 93–117.
    Das, Sanjiv R., Laurence, Freed, Geng, Gary, and Kapadia, Nikunj(2006), “Correlated default risk”, Journal of Fixed Income, 16, 7–32.
    Davis, Mark and Lo, Violet (2001), “Infectious default”, Quantitative Finance, 1, 382–387.
    Giesecke, Kay (2003), “A simple exponential modell for dependent defaults”, Journal of Fixed Income, 13, 74–83.
    Hull, John, Predescu, Mirela, and White, Alan (2005), “The valuation of correlation-dependent credit derivatives using a structural model”, Working Paper, University of Toronto.
    Hull, John and White, Alan (2004), “Valuation of a CDO and nth to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12, 8–23.
    Hull, John and White, Alan(2006), “Valuing credit derivatives using an implied copula approach”, Journal of Derivatives, 14, 8–28.
    Hull, John and White, Alan(2008), “Dynamic model of portfolio credit risk: A simplified approach”, Journal of Derivatives, 15(Summer), 9–28.
    Jarrow, Robert A., Lando, David, and Turnbull, Stuart M. (1997), “A Markov model for the term structure of credit risk spreads”, Review of Financial Studies, 10, 481–523.
    Jarrow, Robert A. and Turnbull, Stuart M. (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50, 52–96.
    Jorion, Philippe and Zhang, Gaiyan (2007), “Good and bad credit contagion: Evidence from credit default swaps”, Journal of Financial Economics, 84, 860–883.
    Laurent, Jean-Paul and Gregory, Jon (2005), “Basket default swaps, CDOs and factor copulas”, Working Paper, ISFA Actuarial School, University of Lyon.
    Li, David (2000), “On default correlations: a copula approach”, Journal of Fixed Income, 9, 43–54.
    Merton, Robert C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, 29, 449–470.
    Ruohonen, Matti (1987), “On a model for the claim number process”, Astin Bulletin, 18(1), 57–68.
    Servigny, Arnaud de and Renault, Olivier (2002), “Default correlation: Empirical evidence”, Working Paper, Standard and Poor’s.
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    描述: 碩士
    國立政治大學
    金融研究所
    96352032
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096352032
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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