English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51717365      Online Users : 537
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50850
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/50850


    Title: 斷續性跨期違約傳染模型之建構及其應用
    A Discrete-Time Inter-Temporal Default Contagion Model and Its Applications
    Authors: 林國瑞
    Contributors: 江彌修
    林國瑞
    Keywords: 違約傳染
    Date: 2010
    Issue Date: 2011-09-29 16:50:38 (UTC+8)
    Abstract: 本文以Cousin, Dorobantu and Rullière (2010)的模型為基礎,將由總體因素造成的直接違約相關性和傳染現象同時納入資產違約相關性的來源,進而求算債權群組損失分配和債權群組各期預期損失,並用於評價擔保債權信用憑證和分析其風險特徵。
    本文並對合成型的擔保信用憑證作評價以及敏感度分析,發現當單一資產直接違約機率的期望值增加時,會使得各分劵的信用價差上升。當傳染機率 上升時,也會使各分券的信用價差上升。但當直接違約機率的變異數 增加時,對各分券的影響則不一致,因為 上升代表直接違約相關性 上升,故使債權群組損失分配產生厚尾性,資產共同存活和共同違約的機率增加。因為權益分券原先即預期遭受不小的損失,分券價差主要受資產同時存活機率的影響,故 上升時,同時存活機率的上升使權益分券信用價差下降,而先償分券原先預期幾乎不會遭受損失,分券價差主要受資產同時違約機率的影響,故 上升時,同時違約機率的上升使先償分券信用價差下降。故我們可看出直接違約相關性 和傳染發生機率對於各分券信用價差的影響並不相同,故金融海嘯時期市場標準模型-高斯因子結構模型的失效可能原因之一為沒有考慮傳染效應。
    本文最後以模型的參數對市場報價做校準,可發現信用危機後,模型的校準效果較好,故此違約傳染模型可用來描述信用危機後的信用風險市場。也發現信用危機後,資產直接違約的機率的期望值及變異數皆上升,故此違約傳染模型的參數能捕捉到此現象。
    Reference: 1. Andersen, L., J. Sidenius, and S., Basu, 2003, “All Your Hedges in One Basket,” Risk, 16, 67-72
    2. Areski, C. , D. Rullière, and D., Dorobantu, 2010, “An Extension of Davis and Lo’s Contagion Model,” (working paper, University of Leon).
    3. Azizpour, S., Giesecke, K., 2008, “Self-exciting corporate defaults: contagion vs. frailty,” (working paper, Stanford University).
    4. Black, F. and J. C. Cox, 1976, “Valuing corporate securities:effects of bond indenture provisions,” Journal of Finance 31, 351-367.
    5. Das, S.R., Duffie, D., Kapadia, N., Saita, L., 2007, “Common failings: how corporate defaults are correlated,” Journal of Finance 62(1), 93-117
    6. Duffie, D. and K. Singleton, 1999, “Modeling term structures of defaultable bonds,” Review of Financial Studies 12, 687-720
    7. Barro, D. and A. Basso, 2010, “Credit contagion in a network of firms with spatial interaction,” European Journal of Operation Research, 205, 459-468
    8. Egloff, D., Leippold, M. and Vanini, P., 2007 ,”A simple model of credit contagion,” Journal of Banking & Finance, Elsevier, vol. 31(8), 2475-2492
    9. Graziano, G. and Rogers, C., 2006, “Pricing k-th to default swaps under default contagion, the matrix-analytic approach,” Journal of Computational Finance ,12(1), 49-78.
    10. Hull, J. and A. White, 2004, “Valuation of a CDO and nth to Default CDS without Monte Carlo Simulation,” Journal of Derivatives, 12 8-23
    11. Hull, J. and A. White, 2008, “Dynamic Models of Portfolio Credit Risk: a Simplified Approach,” Journal of Derivatives, 15,9-28
    12. Laurent, J.P. and J. Gregory, 2003, “Basket default swaps, CDO’s and factor copulas,” ( working paper, ISFA Actuarial School, University of Lyon)
    13. Li, D.X., 2000, “On Default Correlation: A Copula Approach,” Journal of Fixed Income, 9 43-54
    14. Serafin, M.J., O.P. Perez, F.A. Embriz and F. Dey, 2010, “Systemic Risk, Financial Contagion and Financial Fragility,” Journal of Economic Dynamics & Control, 34, 2358-2374
    15. Merton, R., 1974, “On the Pricing of Corporate Debt:The Risk Structure of Interest Rates,” Journal of Finance, 29 449-470.
    16. Jarrow, R., and Yu, F., 2001, “Counterparty risk and the pricing of defaultable securities,” Journal of Finance, 56, 1765-1799
    17. Jarrow, R. and S. Turnbull, 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, 50, 53-85.
    18. Jarrow, R., D. Lando, and S. Turnbull, 1997, “A Markov Model for the Term Structure of Credit Spread,” Reviw of Financial Studies 10,481-523.
    19. Jorion, P and Zhang, G., 2009, “Credit contagion from counterparty risk.” Journal of Finance, 64, 2053-2087
    20. Kraft, H., Steffensen, M., 2007, “Bankruptcy counterparty risk, and contagion,” Review of Finance, 11, 209-252.
    21. R sch, D., Winterfeldt, B., 2008, “Estimating credit contagion in a standard factor model,” Risk, August 2008, S. 78-82
    22. Sakata, A., Hisakado, M., Mori, S., 2007, “Infectious Default Model with Recovery and Continuous Limits,” Journal of the Physical Society of Japan, Vol. 76, No. 5.
    23. Sch nbucher, P., Schubert, D., 2001, “Copula Dependent Default Risk in Intensity Models,” (working paper, Bonn University)
    24. Sch nbucher, P.J., 2006, “Portfolio Losses and The Term-Structure of Loss Transition Rates: a New Methodology for The Pricing of Portfolio Credit Derivatives,” (working paper, ETH Z rich.)
    25. Van der Voort, M., 2006, “An Implied Loss Model,” (working paper, Bonn University)
    26. Yu, F., (2007),”Correlated Defaults in Intensity-Based Models.” Mathematical Finance 17(2), 155-173
    Description: 碩士
    國立政治大學
    金融研究所
    98352021
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0098352021
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML2238View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback