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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/51673


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    題名: 狀態相依公司信用模型下之信用違約交換評價
    Credit default spread valuation under the state-dependent corporate credit model
    作者: 梁瀞文
    Liang, Ching Wem
    貢獻者: 廖四郎
    Liao, Szu Lang
    梁瀞文
    Liang, Ching Wem
    關鍵詞: 信用違約交換
    系統風險
    獨特性風險
    狀態空間模型
    Variance Gamma 過程
    credit default swaps
    systematic risk
    idiosyncratic risk
    state-space model
    ;Variance Gamma process
    日期: 2010
    上傳時間: 2011-10-14 13:40:40 (UTC+8)
    摘要: 違約事件受到系統性風險與獨特性風險的綜合影響。本研究建構一狀態相依公司信用模型，該模型能反映出系統環境對市場造成的影響與個別公司獨特因子帶來的個別衝擊。
    本模型透過從總體環境中萃取出的狀態變數來捕捉系統性變化，另外透過Variance Gamma過程來描繪個別公司的獨特因子帶來的影響。Variance Gamma過程可藉由調整分配的鋒態及偏態來調整布朗運動無法反映出的分配，以更貼近真實的市場訊息。
    與縮減試模型相較之下，本模型無需參考信評機構的信用評等資訊，僅依賴市場上公開且透明的資訊，並且與結構式模型相同的是其富有經濟意涵。我們可以透過本模型來同時生成公司流動性危機發生機率與預期流動性危機造成的損失，進而利用本模型評價出個別公司信用違約交換的價格。


    關鍵字：信用違約交換；系統風險；獨特性風險；狀態空間模型；Variance Gamma 過程
    Systematic and idiosyncratic risks are thought to affect the default events. This study develops a state-dependent corporate credit model that reflects both systematic movement and idiosyncratic shocks. To capture the systematic movement, the model extracts state factors from macroeconomics data. For the idiosyncratic part, the model applied Variance Gamma Process in depicting the potential variable of the firm by altering the distribution’s skewness and kurtosis. The model contains abundant economic significance as structural-form model does. Comparing to the reduced-form model, it does not rely on the information provided by rating agency but use information that is transparent and public. One can generate a firm’s probabilities of liquidity crisis and expected liquidity shortfalls endogenously and concurrently by employing the model. Credit derivative such as Single-name CDS can be priced under the model.
    參考文獻:  Black, F. and J. C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance 31, 351-367.
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     Cariboni, J. and W. Schoutens. Pricing credit default swaps under Lévy models. Journal of Computational Finance, 10:1–21, 2007.
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     Hull, J. The Credit Crunch of 2007: What Went Wrong? Why? What Lessons Can Be Learned?, Working paper ,2009
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     Jarrow, R. A., D., Lando and S.M., Turnbull, 1997, "A Markov Model for the Term Structure of Credit Risk Spreads", Review of Financial Studies 10, 481-523.
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     Kim, C. J. and C. R. Nelson. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications. The MIT Press, 1999.
     Liao, H.H., T.K. Chen and C.W. Lu, 2009, “Internal Liquidity Risk in Corporate Bond Yield Spreads - Bond and Market Level Evidences”, Working Paper, National Taiwan University.
     Litterman, Robert and T. Iben, 1991, “Corporate Bond Valuation and the Term Structure of Credit Spreads”, Journal of Portfolio Management 17, 52-64.
     Madan, D. B. and W. Schoutens. Break on through to the single side. In Statistics Technical Report, 2007.
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     Merton, R.C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance 29, 449-470.
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     Ross, S. A. The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13: 341–360, 1976.
     Schoutens, W. Lévy Process in Finance: Pricing Financial Derivatives. Wiley, 2003.
     Shreve, S. E. Stochastic Calculus for Finance II: Continuous-Time Models. Springer, 2008.
     Wang, D., Rachev, S. T., and Fabozzi, F. J., Pricing of Credit default index swap tranches with one-factor heavy-tailed copula models, Journal of Empirical Finance 16:201-215, 2009
     Wang, S.W. Joint Pricing of CDS Spreads with Idiosyncratic and Systematic Risks, Master Thesis, National Chengchi University, 2009
     Wu, L. and F. X. Zhang. A no-arbitrage analysis of macroeconomic determinants of the credit spread term structure. Management Science, 54:1160–1175, 2008.
     Wu, Y. C., Liao, S. L., and Lin, S. K. Option Pricing under Lévy Processes and GARCH-Lévy Processes: An Empirical Analysis on TAIEX Index Options, Journal of Management & Systems 16- 4:49-74 ,2009
    描述: 碩士
    國立政治大學
    金融研究所
    97352009
    99
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0097352009
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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