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    政大機構典藏 > 商學院 > 統計學系 > 學位論文 >  Item 140.119/67471
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67471


    Title: 探討合成型抵押擔保債券憑證之評價-非大樣本一致性資產組合
    Pricing the Synthetic CDOs - non Large Homogeneous Portfolio
    Authors: 許義欣
    Contributors: 劉惠美
    許義欣
    Keywords: 合成型抵押擔保債券憑證
    單因子關聯結構模型
    常態分配
    NIG分配
    Large Homogeneous Portfolio
    Date: 2013
    Issue Date: 2014-07-14 11:29:40 (UTC+8)
    Abstract: 在評價合成型抵押擔保債券憑證時,需考慮多個標的資產間之違約相關性。根據過去評價合成型抵押擔保債券的文獻研究,發展高斯分配等單因子關聯結構模型,在給定LHP假設之下,執行各分券評價時,僅有在權益分券(equity tranche)得到好的配適結果,還會造成相關性微笑曲線(correlation smile)等問題。文獻研究,單因子關聯結構模型若能加入厚尾度或偏斜性能夠改善以上問題,且對於分券評價時也會有較好的效果,像是Kalemanova et al. (2007)提出應用LHP假設之單因子NIG關聯結構模型,或是Dezhong et al. (2006)提供之單因子關聯結構延伸模型,來評價抵押擔保債權憑證。進一步發現,全世界主要的信用違約指數的標的資產個數不一,最少有14個標的資產(CDX.EM),最多有125個標的資產(iTraxx Europe),事實上標的資產個數均不多,而過去文獻常建立在大樣本假設下進行抵押擔保債券之評價,本文研究目的在於,針對單因子高斯關聯結構模型,建立單因子高斯關聯結構延伸模型,假設在非大樣本性質下,評價合成型抵押擔保債券憑證,嘗試觀察是否有較佳的估計結果,改善相關性微笑曲線的現象。本文將利用常態分配、NIG分配以及非大樣本之常態分配作為不同的單因子關聯結
    構模型,藉由絕對誤差極小化方法,針對不同商品結構的合成型抵押擔保債券評
    價,並進行模型比較分析。實證結果顯示,非大樣本之常態分配關聯結構模型與LHP假設下的單因子高斯關聯結構模型有類似的評價結果,但在近兩年(2012年、2013年)的實證分析結果顯示,非大樣本之常態分配關聯結構模型於前四分券評價結果上符合同質性假設,即各個資產對共同因子的相關性近乎相同。
    Reference: 1.Andersen, L., and Sidenius, J. (2004 winter). “Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings.” Journal of Credit Risk, Vol. 1, pp. 29-71.
    2.Amato, J.D. and Gyntelberg, J. (March 2005). CDS Index Tranches and The Pricing of Credit Risk Correlations. BIS Quarterly Review.
    3.Barndorff-Nielsen, O.E. (1997). “Normal Inverse Gaussian Distributions and Stochastic Volatility Modeling.” Scandinavian Journal of Statistics, Vol. 24, pp.1-13.
    4.Black, Fischer and John C. Cox, "Valuing Corporate Securities: Some Effects of Bond Indenture Provisions", Journal of Finance, Vol. 31, No. 2, (May 1976), pp. 351-367
    5.Burtschell, X., Gregory, J. and Laurent, L.-P. (April 2005). A Comparative Analysis of CDO Pricing Models. Working paper.
    6.Dezhong, W. Rachev S.T., Fabozzi F.J. (October 2006). Pricing Tranches of a CDO and a CDS Index: Resent Advances and Future Research. Working paper.
    7.Dezhong W., Rachev S.T., Fabozzi F.J. (November 2006). Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models. Working paper.
    8.Hull, J. and White, A. (winter 2004) “Valuation of a CDO and an n-th to Default CDS without Monte Carlo Simulation.” The Journal of Derivatives, Vol. 12, pp. 8-23.
    9.Kalemanove, A., Schmid, B., and Werner, R. (spring 2007). “The Normal Inverse Gaussian Distribution for Synthetic CDO pricing.” The Journal of Derivatives, Vol. 14, pp. 80-93.
    10.Li, D.X. (April 2000). On Default Correlation: A Copula Function Approach. Working Paper.
    11.Vasicek, O. (2002). “Loan Portfolio Value.” Risk, Vol. 12, pp. 160-162.
    12.陳松男 (民98)。固定收益證券與衍生產品。台北市:新陸書局。
    13.邱嬿燁 (民97)。探討單因子複合分配關聯結構模型之擔保債權憑證之評價。國立政治大學統計學系碩士論文,台北市。
    14.林聖航 (民101)。探討合成型抵押擔保債券憑證之評價。國立政治大學統計學系碩士論文,台北市。
    Description: 碩士
    國立政治大學
    統計研究所
    101354019
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101354019
    Data Type: thesis
    Appears in Collections:[統計學系] 學位論文

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