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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49670
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49670


    Title: 複合型保護層信用擔保債權憑證之評價與風險分析:機率杓斗法則之延伸
    On the valuation and risk characteristic of synthetic CDOs with compound protection layers: extending probability bucketing algrithm
    Authors: 謝伊婷
    Hsieh, Yi-Ting
    Contributors: 江彌修
    謝伊婷
    Hsieh, Yi-Ting
    Keywords: 信用擔保債權憑證
    高斯單因子繫聯結構模型
    機率杓斗法則
    避險比例
    違約價值
    Date: 2007
    Issue Date: 2010-12-08 16:21:12 (UTC+8)
    Abstract:   以往投資人認為透過『附加保護層』的保護機制,損失不易流通至主擔保債權憑證,潛在損失較低;又因包含龐大之標的債權,投資人也認為該投資風險分散程度較高,風險暴露程度較低。然而,2007年7月發生次級房貸風暴,導致複合型保護層信用擔保債權憑證各分券投資人產生鉅額損失,方了解於保護層的面紗之下,隱含了不為人知的風險。
      因此,本研究目的發展合成型複合型保護層信用擔保債權憑證之評價模型,以雙層信用擔保債權為例,『由下而上』依序建構標的債權群組,至主擔保債權憑證之總損失機率分配;並透過直觀的考慮所有損失的可能組合,使估計之合理信用價差更為精確,不僅解決以往評價雙層擔保債權憑證的維度限制,計算子分券數目為二以上的情形,更能將此模型推廣至所有複合型保護層信用擔保債權憑證之評價,適合實務應用。
      除此之外,本研究亦希望透過實務界常用之風險衡量指標,揭開保護層之厚重面紗,探討複合型保護層信用擔保債權憑證所隱含之風險,提供投資人參考。透過與一般信用擔保債權憑證之風險特性,探討『附加保護層』機制是否真能提升風險分散程度,抑或反而有損失累積的效果。最後,本研究也藉由風險衡量指標,分析資產重疊程度由低至高時,對對雙層信用擔保債權憑證風險的影響,了解風險是否會隨其資產重疊度增加而增加。
    Reference: Baheti, P., Mashal, R., Naldi, M., and Schloegl., 2005, “Squaring factor copula models”, Risk, 18(6), 73-76.
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    Description: 碩士
    國立政治大學
    金融研究所
    95352023
    96
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0953520231
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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