政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/77016

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/77016

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政大典藏 > College of Commerce > Department of Money and Banking > NSC Projects > Item 140.119/77016

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77016

Title:	模型不確定性下信用投資組合之風險度量、控管、及其避險成效分析
Other Titles:	On the Risk Quantification, Management, and Hedging Analysis of a Portfolio of Credit Entities under Model Uncertainty
Authors:	江彌修
Contributors:	金融系
Keywords:	信用投資組合;微粒化調整;動態違約強度模型;集中度風險;風險極小化避險;參數不確定性;極大化熵
Date:	2013
Issue Date:	2015-07-28 15:10:40 (UTC+8)
Abstract:	在本研究計畫中我們探究信用投資組合於模型不確定下：一、系統及非系統性風險的量化與分析，二、風險的沖銷及避險成效分析，以及三、參數不確定性之於商品評價及風險衡量指標的影響。我們首先嘗試建立連貫性的風險衡量指標 (coherent risk measures)來探究模型不確定下，系統風險與非系統風險之於信用投資組合的影響，並藉由量化一投資組合之微粒化調整(Granularity Adjustment) 以衡量其資產集中度風險(concentration risk)。在評價模型的建構上，我們將引進考量具雙重風險構面的價差違約模型(spread-loss models)，以確認系統及非系統性風險之於信用衍生性商品評價上所扮演的角色，並探究模型不確定性之於評價及風險衡量指標上所呈現的意涵。在風險的沖銷及避險分析上，本研究於考量雙重風險構面下，將藉由建立動態風險極小化避險策略(risk-minimizing hedge)，以延拓實務界所例行採用的DVO1(dollar value of one basis point)避險衡量指標，並嘗試具雙重風險構面之投資組合下方風險(downside risk)衡量指標。最後本研究計畫探究參數不確定性之於評價及風險控管上的影響。我們將嘗試以Löffler (2003)的無母數拔靴法及Tarashev(2010)的貝氏推論方法來量化參數不確定性的影響，並藉由極大化熵原理(maximum entropy)以提供模型於參數不定性下的最適化衡量。
Relation:	計畫編號NSC102-2410-H004-061
Data Type:	report
Appears in Collections:	[Department of Money and Banking] NSC Projects

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