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| 题名: | 擔保貸款憑證之評價：使用Factor Copula方法
Using Factor Copula Method to Price Collateralized Loan Obligation |
| 作者: | 吳佳璇 |
| 贡献者: | 林士貴
蔡政憲
吳佳璇 |
| 关键词: | 關聯函數
因子關聯函數
單因子模型
擔保債權憑證
擔保貸款憑證
Copula
One factor model
Factor copula
CDO
CLO |
| 日期: | 2018 |
| 上传时间: | 2018-07-03 17:26:46 (UTC+8) |
| 摘要: | 擔保債權憑證在1996後蓬勃發展，但卻在2008年成為全球金融風暴的問題之一，在沉寂幾年後近幾年來德意志銀行（Deutsche Bank）、高盛集團（Goldman Sachs）、摩根大通（JP Morgan）、法國興業銀行（Societe Generale）及花旗銀行（Citi Bank）等都曾嘗試復推擔保債權憑證商品，顯示這類商品其對於買賣方皆是吸引人的。隨著擔保債權憑證發行量的攀升，此商品的評價更顯其重要，本文使用因子關聯函數模型（Factor Copula），其優點為計算快速，並加入市場因子來當客觀標準，避免關聯函數法應用在不同市場資產情況下的不合理假設。實證部分以Venture在2016年發行的擔保貸款憑證為例，進行評價求得分券之公平溢酬，並針對評價過程提出可改善的地方。
The Collateralized Debt Obligation（CDO） boomed after 1996, but it became one of the problems of the global financial crisis in 2008. After a few years of silence, Deutsche Bank, Goldman Sachs, JPMorgan, France Societe Generale and Citi Bank have tried to reintroduce CDO, showing that CDO are attractive to buyers and sellers. With the increase in the issuance of CDO, the pricing of this commodity is even more important. This paper uses Factor Copula model, which has the advantages of fast calculation, adds market factors as objective criteria, and avoid the unreasonable assumption that the correlation function method is applied to different market assets. The empirical part uses the CLO issued by Venture in 2016 as an example to evaluate the fair premium of the tranche, and propose improvements to the pricing process. |
| 參考文獻: | [1] 林彥儒(2015)。Copula模型在信用連結債券的評價與實證分析。未出版之博（碩士）論文，國立政治大學，金融學系研究所，台北市。
[2] 段登宇(2008)。擔保債權憑證CDO之訂價與分析－單因子模型及機率水桶法之應用未出版之博（碩士）論文，世新大學，財務金融學系，台北市。
[3] 廖四郎、李福慶，(2005)。擔保債權憑證之評價－Copula分析法。
[4] 蔡宗翰，(2006)。抵押債權憑證之評價：Factor Copula 與JLT模型之應用。未出版之博（碩士）論文，國立清華大學，統計學研究所，新竹市。
[5] 戴嘉雄，(2006)。擔保債權憑證之信用價差評價－ Copula分析法。未出版之博（碩士）論文，國立中山大學，財務管理學系碩士在職專班，高雄市。
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| 描述: | 碩士
國立政治大學
金融學系
105352031 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0105352031 |
| 数据类型: | thesis |
| DOI: | 10.6814/THE.NCCU.MB.006.2018.F06 |
| 显示于类别: | [金融學系] 學位論文
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