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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/59957


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    題名: 考量違約頻率具自我傳染效應之動態違約相關性描述
    作者: 王盈心
    Wang, Ying Hsin
    貢獻者: 江彌修
    Chiang, Mi Hsiu
    王盈心
    Wang, Ying Hsin
    關鍵詞: 信用債權群組
    條件獨立
    動態違約傳染效果
    日期: 2009
    上傳時間: 2013-09-04 10:04:58 (UTC+8)
    摘要: 本文建立動態違約模型，以混合卜瓦松跳躍過程（Mixed Poisson Jump Process）描述單一標的資產動態存活機率，以跳躍來描述信用事件之發生對存活機率下降之影響及衝擊，信用事件分別由系統性因子及非系統性因子驅動，沿用因子聯繫模型條件獨立的概念，假設債權群組內所有標的資產之存活機率在給定系統信用事件發生次數下為條件獨立，以條件違約機率建構債權群組織之聯合損失分配，進一步以隨機變數刻劃信用事件發生頻率，假設非系統信用事件發生頻率為兩參數伽瑪分配；系統信用事件發生頻率分別同為兩參數伽瑪分配，及帕雷圖分配(Pareto Distribution)，反映信用事件發生次數於特定期間內具叢聚性質之不確定性，改變常數設定下信用事件相互獨立之性質，使具備自身傳染性。在不涉及複雜積分及模擬之情況下沿用因子聯繫模型中條件獨立之概念建立聯合損失分配，可廣泛應用於信用資產群組之評價與風險分析，本文以iTraxx Europe 為例進行評價及風險分析。模型中所有參數均可以信用擔保債權之市價予以校準, 並且理論價格與市價十分相近，可合理地評價信用資產群組之價值。
    參考文獻: 1. Allen, L. and Bali, T. G. (2007), ”Cyclicality in catastrophic and operational risk measurements”, Journal of Banking & Finance 31, 1191–1235.
    2. Andersen, L., J. Sidenius, and S., Basu, (2003), ”All Your Hedges in One Basket,” Risk, 16, 67-72.
    3. Black, F. and J. C. Cox, (1976), ”Valuing Corporate Securities:Some Effects of Bond Indenture Provisions,” Journal of Finance 31, 351-367.
    4. CreditRisk+ (1997), Credit Suisse First Boston, ”A CreditRisk Management Framework.” Available at http://www.csfb.com/creditrisk.
    5. Das, S.R., D. Duffie, N. Kapadia and L. Saita, （2007）,” Common Failings: How Corporate Defaults Are Correlated, ” Journal of Finance 62, 93-117.
    6. Davis, M., and Lo, V. (2001), ”Infectious Defaults”, Quantitative Finance 1, 382-387.
    7. Duffie, D. and K. Singleton, (1999), ”Modeling Term Structures of Defaultable Bonds,” Review of Financial Studies 12, 687-720.
    8. Duffie, D. and N. Garleanu (2001), ”Risk and Valuation of Collateralized Debt Obligations,” Financial Analyst’s Journal 57(1),41-59
    9. Duffie, D., A. Eckner, G. Horel and L. Saita,（2009）, ”Frailty Correlated Default, ” Journal of Finance 64, 2089-2123.
    10. Global Fixed Income Reasearch by Standard & Poor’s 2005, ”Annual European Corporate Default Study And Rating Transitions,”
    11. Jan Grandell,” Mixed Poission processes,” Monographs on Statistics and Applied Probability 77, Chapman & Hall
    12. Jarrow, R. and S. Turnbull, (1995), ”Pricing Derivatives on Financial Securities Subject to CreditRisk,”Journal of Finance 50, 53- 85.
    13. Jarrow, R., D. Lando, and S. Turnbull, (1997), ”A Markov Model for the Term Structure of Credit Spread,” Review of Financial Studies 10, 481- 523.
    14. k. Krishnamoorthy,” Handbook of Statistical Distibutions with Applications,” Chapman & Hall/CRC.
    15. K.O.Bowman, L.R.Shenton,” Poperties of Estimators for the Gamma Distribution,” Dekker vol 89.
    16. 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.
    17. Hull, J., and A. White (2006),”Valuing Credit Derivatives Using an Implied Copula Approach,” Journal of Derivatives, 14 8-28.
    18. Hull, J., and A. White (2008), ”Dynamic Models of Portfolio Credit Risk: a Simplified Approach,” Journal of Derivatives
    19. Kay Giesecke.(2003),”A Simple Exponential Model for Dependent Defaults,” Journal of Fixed Income 13(3), 74-83.
    20. Kay Giesecke, Stefan Weber (2003),”Cyclical Correlations, Credit Contagion, and Portfolio Losses,” Journal of Banking & Finance
    21. Laurent, J.P. and J. Gregory, (2003), ”Basket Default Swaps, CDO’s and Factor Copulas,” working paper, ISFA Actuarial School,University of Lyon
    22. Li, D.X. (2000), ”On Default Correlation: A Copula Approach,” Journal of Fixed Income, 9 43-54.
    23. M. Abramowitz, I.E. Stegun,” Handbook of Mathematical Functions with Formulaa,Graphs and Mathematical Tables,”U.S. Department of Commerce, National Bureau of standards Applied Mathematics Series 55
    24. Schmutz, Markus (1998), ”The Pareto Model in Property Reinsurance – Formulas and Applications , ” Swiss Reinsurance Company, Zurich.
    描述: 碩士
    國立政治大學
    金融研究所
    96352010
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096352010
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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