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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50851


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    题名: 跳躍擴散模型下固定比例債務債券評價,風險構面及避險分析
    The Pricing, Credit Risk Decomposition and Hedging Analysis of CPDO Under The Jump Diffusion Model
    作者: 王聖元
    Wang , Sheng Yuan
    贡献者: 江彌修
    Chiang, Mi Hsiu
    王聖元
    Wang , Sheng Yuan
    关键词: 信用衍生性商品
    固定比例債務債券
    跳躍擴散模型
    信用風險
    蒙地卡羅模擬法
    credit derivatives
    Constant Proportion Debt Obligations
    Jump Diffusion Process
    credit risk
    Monte Carlo Simulation
    日期: 2010
    上传时间: 2011-09-29 16:50:38 (UTC+8)
    摘要: 信用衍生性商品在市場上交易漸趨熱絡，創新速度更是一日千里，市場上琳琅滿目的信用衍生性商品，投資人要如何審慎客觀評估風險後再檢視自身能承擔的風險後投資，諸如此類的議題在近幾年備受關注。尤其在2007金融海嘯之後，所有信用衍生性產品也無一倖免，信用評等公司對信用衍生性產品的評價，也備受挑戰，因此，辨識風險以及驅避風險在後金融海嘯時期，已是一刻不容緩之待解決問題。固定比例債務債券(Constant Proportion Debt Obligations; CPDO)亦是金融海嘯前一年所發明的創新信用衍生性商品，由於其高收益特性以及強調極低投資風險，吸引了許多投資人爭相購買，但金融海嘯時期，也是付之一炬。為了使投資人更了解此商品的風險，本研究運用在跳躍擴散模型假設下，存在封閉解的雙出場障礙式選擇權複製此商品的風險因子，並且為了描述此商品具有動態調整槓桿的時間相依(Time Dependent)性質，加入了蒙地卡羅模擬法，捕捉任意時點上，投資人面臨的風險，將風險因子拆解選擇權後，也更能讓投資人能以投資選擇權的知識運用到此商品來操作。最後，為了使投資人趨避諸如金融海嘯時期的風險，本研究也用選擇權的Delta 避險策略，替商品虛擬一現貨市場，並模擬出其避險之績效。
    The increasing trading volumes and innovative structures of credit derivatives have attracted great academic attention in the quantification and analysis of their complex risk characteristics. The pricing and hedging issues of complex credit structuers after the 2009 financial crisis are especially vital, and they present great challegens to both the academic community and industry practitioners. Constant Proportion Debt Obligations (CPDOs) are one of the new credit-innovations that claim to provide risk-adverse investors with fixed-income cash flows and minimal risk-bearing, yet the cash-outs events of such products during the crisis unfolded risk characteristics that had been unseen to investors. This research focuses on the pricing risk quantification, and dynamic hedging issues of CPDOs under a Levy jump diffusion setting. Based on decomposing the product`s risk structure, we derive explicit closed-form solutions in the form of time-dependent double digital knock-out barrier options. This enables us to explore, in terms of the associated hedging greeks, the embeded risk characteristics of CPDOs and propose feasible delta-netral strategies that are feasible to hedge such products. Numerical simulations are subsequently performed to provide benchmark measures for the proposed hedging strategies.
    參考文獻: Baydar, E., Di-Graziano, G. and Korn, R., 2009, “Theoretical solution versus industry standard: Optimal leverage function for CPDOs”, Bl¨atter DGVFM , 30: 15–29.
    Carr, P. and Chou, A., 2002, “Hedging complex barrier options”, Working Paper,
    Morgan Stanley and MIT Computer Science
    Collin-Dufresne, P., Goldstein, R. and Martin, J., 2001, “The Determinants of Credit Spread Changes”, Journal of Finance, Vol. 56, No. 6, 2177-2207.
    Collin-Dufresne, P., Goldstein, R. and Helwege, J., 2010, “Is Credit Event Risk Priced? Modeling Contagion via The Updating of Beliefs”, NBER Working Paper Series, 1-48.
    Cont, R. and Jessen, C., 2008, “Constant Proportion Debt Obligations(CPDOs)”, Journal of Financial Risks International Forum, March 27-28.
    Cont, R. and Tankov, P., 2009, “Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices”, Mathematical Finance, Vol. 19, Issue 3, 379-401.
    Das, S. R., Duffie, D., Kapadia, N. and Saita, L., 2007, “Common Failings: How Corporate Defaults are Correlated”, Journal of Finance, 62(1), 93-117.
    Dorn, J., 2010, “Modeling of CPDOs – Identifying optimal and implied leverage”, Journal of Banking & Finance, 34, 1371-1382.
    Duffie, D. and Lando, D., 2001, “Term Structures of Credit Spreads with Incomplete Accounting Information”, Econometrica, Vol. 69, Issue 3, 633-664.
    Duffie, D., Eckner, A., Horel, G. and Saita, L., 2009, “Frailty Correlated Default”,
    Journal of Finance , 64, 2087–2122.
    Hull, J. and White, A., 2001, “Valuing Credit Default Swaps II：Modeling Default Correlations,” Journal of Derivatives, 8, No.3, 12-22.
    Jarrow, R. and Yu, F., 2001, “Counterparty Risk and the Pricing of Defaultable Securities”, Journal of Finance, vol. LVI, NO.5, 1765-1799.
    Jorion, P. and Zhang, G., 2007, “Good and Bad Credit Contagion: Evidence
    from Credit Default Swaps”, Journal of Financial Economics, Vol. 84, 860-833.
    Jorion, P. and Zhang, G. 2009, “Credit Contagion from Counterparty Risk”, Journal of Finance Volume 64: Issue 5, 2053-2087.
    Jossens, E. and Schoutens, W., 2007, “An Overview of Portfolio Insurances:
    CPPI and CPDO”, JRC Scientific and Technical Reports , 1-34.
    Kou, S. G., 2002, “A Jump Diffusion Model for Option Pricing”, Columbia University working paper
    Torresetti, R. and Pallavicini, A., 2009, “Stressing Rating Criteria Allowing for Default Clustering”, Credit Derivatives Structuring-Global Markets-BBVA, 1-51.
    Dominion Bond Rating Service, 2007, “CPDOs Laid Bare: Structure, Risk and Rating Sensitivity”, 1-40
    描述: 碩士
    國立政治大學
    金融研究所
    98352023
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0098352023
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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