政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/76860
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113324/144300 (79%)
Visitors : 51112094      Online Users : 864
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/76860


    Title: 時間數列模型應用於合成型抵押擔保債務憑證之評價與預測
    Time series model apply to price and predict for Synthetic CDOs
    Authors: 張弦鈞
    Chang, Hsien Chun
    Contributors: 劉惠美
    陳麗霞
    Liu, Hui Mei
    Chen, Li Hsia
    張弦鈞
    Chang, Hsien Chun
    Keywords: 合成型抵押擔保債務憑證
    單因子關聯結構模型
    NIG分配
    動態評價模型
    synthetic CDOs
    one factor copula model
    NIG distribution
    Dynamic model
    Date: 2015
    Issue Date: 2015-07-27 11:21:42 (UTC+8)
    Abstract: 根據以往探討評價合成型抵押擔保債務憑證之文獻研究，最廣泛使用的方法應為大樣本一致性資產組合(large homogeneous portfolio portfolio；LHP)假設之單因子常態關聯結構模型來評價，但會因為常態分配的厚尾度及偏斜性造成與市場報價間的差異過大，且會造成相關性微笑曲線現象。故像是Kalemanova et al.在2007年提出之應用LHP假設的單因子Normal Inverse Gaussian(NIG)關聯結構模型以及邱嬿燁(2007)提出NIG及Closed Skew Normal(CSN)複合分配之單因子關聯結構模型(MIX模型)皆是為了改善其在各分劵評價時能達到更佳的評價結果
    ，然而過去的文獻在評價合成型抵押擔保債務憑證時，需要將CDS價差、各分劵真實報價之資訊導入模型，並藉由此兩種資訊進而得到相關係數及報價，故靜態模型大多為事後之驗證，在靜態模型方面，我們嘗試使用不同概念之CDS取法以及相對到期日期數遞減之概念來比較此兩種不同方法與原始的關聯結構模型進行比較分析，在動態模型方面，我們應用與時間序列相關之方法套入以往的評價模型，針對不同商品結構的合成型抵押擔保債券評價，並由實證分析來比較此兩種模型，而在最後，我們利用時間序列模型來對各分劵進行預測。
    Reference: 1. Brigo, D., Pallavicini, A., Torresetti, R.(2007).“Default correlation,cluster
    dynamics and single names:The GPCL dynamical loss model.”Journal of
    Finance, pp.23-27
    2. Burtschell, X.,Gregory, J.,Laurent, J.P.(2009).“A comparative analysis of CDO
    pricing models under the factor copula framework. ”The Journal of Derivatives,
    Vol. 16,No. 4,pp. 9-37.
    3. Duffie, D., Garleanu, N.(2001).“Risk and valuation of Collateralized
    Debt Obligations.”Financial Analysts Journal, pp.41-59.
    4. Dezhong W., Rachev S.T., Fabozzi F.J.(2006). Pricing tranches of a CDO and a
    CDS index: Recent advances and future research. Working Paper.
    5. Hull, J and White, A. (2000). “Valuing credit default swaps I : No
    counterparty default risk. ”Working Paper.
    6. Hull, J and White, A. (2004).“Valuation of a CDO and an n-th to Default
    CDSwithout Monte Carlo Simulation.”The Journal of Derivatives, Vol. 12, pp. 8-23.
    7. Hull, J and White, A. (2008).“Dynamic models of portfolio credit risk:A
    simplified approach.”Journal of Derivatives, Vol. 15,pp.9-28.
    8. Kalemanove, A., Schmid, B., and Werner, R. (2007). “The Normal Inverse
    GaussianDistribution for Synthetic CDO pricing. ”The Journal of Derivatives,
    Vol. 14, pp. 80-93.
    9. Luscher, A. (2005).“Synthetic CDO pricing using the double normal inverse
    Gaussian copula with stochastic loadings”. Master’s thesis in Zürich University.

    10. Li, D.X. (1999).“On Default Correlation: A Copula Function Approach.”
    Working Paper.
    11. Laurent, J.P., Gregory, J.(2003).“Basket default swaps,CDOs and factor
    Copulas.”Journal of Risk , Vol. 7, pp. 103-122.
    12. Lamb, R., Perraudin, W.(2006).“Dynamic loan loss distributions:
    Estimation and implications. ” Working Paper.
    13. Lamb, R., Perraudin, W., Landschoot, A.V.(2009).“Dynamic pricing Synthetic
    Collateralized Debt Obligations. ”Working Paper.
    14. Ole E. Barndorff-Nielsen. (1997).“Normal Inverse Gaussian distributions and
    Stochastic volatility modeling. ”Scandinavian Journal of Statistics,Vol. 24,
    No. 1,pp. 1-13.
    15. Schonbucher, P.J.(2002).“Taken to the limit: Simple and not simple loan loss
    Distributions.”Working Paper.
    16. Vasicek, O. (2002).“The distribution of loan portfolio value.”RISK, Vol. 15,
    No. 12, pp. 160-162.
    17. Vasicek, O. (1991).“Limiting loan loss probability distribution.”KMV
    Corporation.
    18. 林聖航(民101)。探討合成型抵押擔保債劵憑證之評價。
    國立政治大學統計學系碩士論文，台北市。
    19. 林恩平。因子相關性結構模型之下合成型擔保債權憑證之評價與避險。
    國立政治大學金融研究所碩士論文，台北市。
    20. 何殷如。全面解讀信用違約交換(CDS)。立法院預算中心。
    21. 邱嬿燁(民97)。探討單因子復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。
    Description: 碩士
    國立政治大學
    統計研究所
    102354013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102354013
    Data Type: thesis
    Appears in Collections:[Department of Statistics] Theses

    Files in This Item:

    File SizeFormat
    401301.pdf1471KbAdobe PDF290View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback