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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/54587
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54587


    Title: 固定比例投資組合保險策略之模擬分析
    Simulation Analysis on CPPIs
    Authors: 陳冠宇
    Contributors: 江彌修
    陳冠宇
    Keywords: 固定比例投資組合保險
    Date: 2011
    Issue Date: 2012-10-30 11:24:18 (UTC+8)
    Abstract: 本篇論文利用CPPI策略模擬信用衍生性商品,進行信用CPPI投資組合淨值分析,並且做其風險衡量和敏感度分析。本篇論文採用Variance Gamma模型,模擬信用價差動態,並且利用Gaussian Copula模擬信用違約的時間點,結合價差動態和信用違約的兩個模型,探討CPPI策略下的投資組合淨值分析與風險探討。
    在本文可以看到以下重要結果,首先是模擬信用CPPI的過程,根據CPPI策略底下的拆解項,分析影響策略績效的情形。第二點是CPPI缺口風險的分析探討,列出可能造成缺口風險的原因。第三點為利用不同的目標乘數,模擬信用CPPI資產組合淨值的表現,可以發現在目標乘數比較低的時候,藉由蒙地卡羅模擬,平均CPPI投資組合淨值下來表現較好,反而目標乘數越大,投資組合淨值表現越不好。第四點為敏感度分析,在價差模型中的峰態係數變動下,影響CPPI投資組合淨值較大,峰態係數越大,會導致投資組合淨值表現越差。
    Reference: 參考文獻

    Cipollini, A., 2008, “Capital Protection: Modeling the CPPI Portfolio”, Working Paper, Fixed Income and Relative Value Research, Deutsche Bank AG (London).

    Cont, R. and Tankov, P., 2007, “Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices”, Columbia University Center for Financial Engineering
    Financial Engineering Report No. 2007-10.

    Garcia, J., Goossens, S. and Schoutens, W., 2007, “Let’s Jump Together Pricing of Credit Derivatives: From Index Swaptions to CPPIs”, SSRN Working Paper Series.

    Jessen, C., 2010, “Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage”, Working Paper, 23rd Australasian Finance and Banking Conference 2010 paper.

    Jin, W. and Whetten, M., 2005, “Anatomy of Credit CPPI”, Working Paper, Nomura Fixed Income Research.

    Joossens, E. and Schoutens, W., 2008, “An Overview of Portfolio Insurances: CPPI and CPDO”, JRC Scientific and Technical Reports.

    Khuman, A. and Constantinou, N., 2009, “How Does CPPI Perform Against the Simplest Guarantee Strategies”, Working Paper, Centre for Computational Finance and Economic Agents (CCFEA).

    Linden, A., Lecointe, C. H. and Segger, H., 2006, “Rating Credit CPPI and CPDO”, Working Paper, Global Criteria Report, Derivative Fitch.

    Ma, Q. P., 2008, “Sub-optimality of Threshold and Constant Proportion Portfolio Insurance Strategies in Defined Contribution Pension Plans”,
    DISCUSSION PAPER PI-0819.

    O’Kane, D. and Turnbull S., 2003, “Valuation of Credit Default Swaps”, QCR Quarterly, vol. 2003-Q1/Q2.

    Prigent, J. L. and Tahar, F., 2005, “CPPI with Cushion Insurance”, Working Paper, THEMA University of Cergy-Pontoise.

    Yueh, M. L., 2010, “An Empirical Analysis of CPPI Strategies for Credit Index Tranches”, Journal of Fixed Income; Spring 2010; 19, 4; ProQuest pg. 22.
    Description: 碩士
    國立政治大學
    金融研究所
    99352025
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099352025
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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