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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


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49670


    題名: 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
    作者: 謝伊婷
    Hsieh, Yi-Ting
    貢獻者: 江彌修
    謝伊婷
    Hsieh, Yi-Ting
    關鍵詞: 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
    日期: 2007
    上傳時間: 2010-12-08 16:21:12 (UTC+8)
    摘要: 　　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。
    參考文獻: Baheti, P., Mashal, R., Naldi, M., and Schloegl., 2005, “Squaring factor copula models”, Risk, 18(6), 73-76.
    Black, F. and Cox, J. C., 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, 31, 351-367.
    Geske, R., 1979, “The Valuation of Compound Options”, Journal of Financial Economics, 7, 63-81.
    Gibson, M., 2004, “Understanding the risk of synthetic CDOs”, FEDS Discussion Papers, No. 2004-36, Board of Governors of the Federal Reserve System.
    Hull, J. and White, A., 2004, “Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, 2, 8-23.
    Jarrow, R. and Turnbull, S., 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, 50, 53-96.
    Jarrow, R. and Yu, F., 2001, “Counterparty Risk and the Pricing of Defaultable Securities”, Journal of Finance, 56, 53-86.
    Jarrow, R. A., Lando, D., and Turnbull, S. M., 1997, “A Markov Model for the Term Structure of Credit Risk Spreads”, Review of Financial Studies, 10, 481-523.
    Jones, P., Mason, S., and Rosenfeld, E., 1984, “Contingent Claim Analysis of Corporate Capital Structures: An Empirical Investigation”, Journal of Finance, 39, 611-625.
    Laurent, J. P. and Gregory, J., 2003, “Basket Default Swaps, CDOs and Factor Copulas”, ISFA Actuarial School, University of Lyon, Working Paper.
    Li, D., 2000, “On Default Correlations: a Copula Approach”, Journal of Fixed Income, 9, 43-54.
    Merton, R., 1974, “On the Pricing of Corporate Debt: the Risk Structure of Interest Rates”, Journal of Finance, 29, 449-470.
    Schönbucher, P. J. and Schubert, D., 2001, “Copula-Dependent Default Risk in Intensity Models”, Working Paper, Department of Statistics, Bonn University.
    Sklar, A., 1959, “Fonctions de Repartition a n Dimensions et leurs Marges”, Publ. Inst. Stat. Univ, Paris, 8, 229-231.
    Zhou, C., 2001, “The Term Structure of Credit Spreads with Jump Risk”, Journal of Banking & Finance, 25, 2015-2040.
    描述: 碩士
    國立政治大學
    金融研究所
    95352023
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0953520231
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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