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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/85395


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    題名: 信用風險之評價與應用
    Valuation and Application of Credit Risk
    作者: 施宜君
    Shih, Yi-Chun
    貢獻者: 陳松男
    Chen, Son-Nan
    施宜君
    Shih, Yi-Chun
    關鍵詞: 信用風險
    信用衍生性商品
    違約強度模型
    Credit Risk
    Credit Derivatives
    Intensity Model
    日期: 2001
    上傳時間: 2016-04-18 16:27:49 (UTC+8)
    摘要: 信用風險對銀行、債券發行者及債券投資者而言是個很重要的考量，因此信用風險的管理成為一個很重要的課題。但管理信用風險的傳統方法，對控制信用風險都只能解決部分的問題。信用衍生性商品便應運而生。
    Credit risk is an important consideration for banks, bond issuers, and bond investors. The conventional methods of managing credit risk, such as diversification, bank loan sales, and asset securitization, offer only a partial solution to controlling credit risk exposure. In recent years, the growing market for credit derivatives has provided powerful new tools for managing credit risk that can be less costly and more effective than traditional methods.
    參考文獻: 【中文部分】
    1. 陳松男，「信託及投資銀行業務研究」，民國九十年。
    2. 張如淵，「信用衍生性商品之介紹與設計」，國立中央大學財務管理研究所碩士論文，民國八十八年六月。
    3. 蔡豐澤，「信用衍生性商品之評價：違約與回復率模型之應用」，國立台灣大學財務金融研究所碩士論文，民國八十九年六月。
    【英文部分】
    1. Ammann, Manuel, Pricing Derivative Credit Risk , Springer ,1999.
    2. Arvanitis, Gregory and Laurent, “Building Models for Credit Spreads”, Journal of Derivatives, Spring 1999, 27-43.
    3. Brzezniak, Zdzislaw and Tomasz Zastawniak, “Markov Chains”, Chapter 5, Basic Stochastic Processes, Springer,1999.
    4. Carty, Lea V. “Corporate Credit-Risk Dynamics”, Financial Analysts Journal, July/August 2000, 67-81.
    5. Chen, Derek H., Harry H. Hung, Rui Kan, Ashok Varikooty and Henry N. Wang,“Modelling and Managing Credit Risk”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 97-115.
    6. Das S. and T. Tufano, “Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic”, Journal of Financial Engineering, vol. 5, 1996, 161-198.
    7. Das, S. “Credit Derivatives”, Journal of Derivatives, Spring 1995, 7-23.
    8. Das, Satyajit, Credit Derivatives: Trading & Management of Credit & Default Risk, John Wiley & Sons Pte Ltd ,1998.
    9. Francis, Jack Clark, Joyce A. Frost and J. Gregg Whittaker, Handbook of Credit Derivatives, McGraw-Hill,1999.
    10. Gupton, G.M., Finger, C. and Bhatia, M., CreditMetricsTM-Technical Document, J.P. Morgan & Co. Incorporated., 1997.
    11. Hull, John C. “Credit Risk”, Chapter 23, Options, Futures & Other Derivatives, Prentice Hall(Fourth Edition).
    12. Jarrow & Turnbull, “Credit Risk”, Chapter 18, Derivative Securities, South Western College Publishing,1996.
    13. Jarrow and Turnbull, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, 1995, vol 50, 53-86.
    14. Jarrow, Lando and Turnbull, “A Markov Model for the Term Structure of Credit Risk Spread”, The Review of Financial Studies, Summer 1997, vol 10, No.2, 481-523.
    15. Jarrow, Rober A. and Donald R. van Deventer, “Integrating Interest Rate Risk and Credit Risk in ALM”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 87-96.
    16. Kijima and Komoribayashi, “A Markov Chain Model for Valuing Credit Risk Derivatives”, The Journal of Derivatives, Fall 1998, 97-108.
    17. Tavakoli, Janet M., Credit Derivatives: A Guide to Instruments and Applications, John Wiley & Sons, Inc.,1998.
    18. Wilson, Thomas “Portfolio Credit Risk(Ⅰ)”, Risk, September 1997, vol. 10, No. 9, 111-117.
    19. Wilson, Thomas “Portfolio Credit Risk(Ⅱ)”, Risk, October 1997, vol. 10, No. 10, 56-61.
    描述: 碩士
    國立政治大學
    金融研究所
    88352012
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001538
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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