政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/31250
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31250


    Title: 擔保債權憑證選擇權之評價與避險：跨期因子相關結構性模型之運用
    On the pricing and risk characteristics of options on CDO tranches
    Authors: 陳文萱
    Chen,Wen Hsuan
    Contributors: 江彌修
    陳文萱
    Chen,Wen Hsuan
    Keywords: 擔保債權憑證選擇權
    跨期因子相關結構性模型
    CDO
    Options on CDO tranches
    Correlation Term structure
    Date: 2006
    Issue Date: 2009-09-14 09:36:31 (UTC+8)
    Abstract: 這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後，我們發現遠期生效擔保債權憑證與其選擇權對跨期損失相關性有高度敏感性。
    This article tries to find the term-structure of credit spread and portfolio loss distribution to price an option on CDO tranche. Our solution is based on a multiple period of factor copula model proposed by Andersen to fit the dynamic credit spread process by considering inter-temporal loss correlations through time. We also extend the model of valuing European options on CDO tranches presented by Hull and White and discuss the Greeks of the option formula. We numerically test the dependence of forward-starting CDOs on the correlation of loss across time. With the results, we price the options on CDO tranches. Finally, we find forward-starting CDOs and options on CDO tranches can have strong sensitivity to inter-temporal loss correlation.
    Reference: Albanese, C, O Chen and A Dalessandro, 2005, “Dynamic Credit Correlation Modeling”, http://www.defaultrisk.com/pp corr 80.htm
    Ameur, H. B., Brigo, D., and Errais, E. 2006, “A Dynamic Programming Approach for Pricing CDS and CDS Options”, http://www.defaultrisk.com/pp_crdrv108.htm
    Andersen, Leif, September 2006, “Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence”, http://www.defaultrisk.com/pp model144.htm
    Bennani, N, 2005, “The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Derivatives”, http://www.defaultrisk.com/ppcrdrv 95.htm
    Hull, J and A White, 2006a, “Forwards and European Options on CDO Tranches”, http://www.defaultrisk.com/pp cdo 06.htm
    Hull, J and A White, 2006b, “Dynamic Models of Portfolio Credit Risk: A Simplified Approach”, http://www.defaultrisk.com/pp model152.htm
    Jackson, Ken and Wanhe Zhang, February 2007, “Valuation of Forward Starting CDOs”, http://www.defaultrisk.com/pp cdo 15.htm
    Li, D.X. 2000, “On Default Correlation: A copula Function Approach”, Working Paper, the RiskMetrics Group.
    Schonbucher P. J.(2005), “Portfolio Losses and the Term Structure of Losses Transition Rates: A New Methodology For the Pricing of Portfolio Credit Derivatives”, Working Paper, Department of Mathematics, ETH Ziirich.
    Sidenius, J, V Piterbarg, and L Andersen, November 2005, “A New Framework for Dynamic Credit Portfolio Loss Modelling”, defaultrisk.com/pp model 83.htm
    Sidenius, Jakob, 2006, “On the Term Structure of Loss Distributions – a Forward Model Approach”, http://www.defaultrisk.com/pp model151.htm
    Walker, Michael, 2005, “CDO Models – Towards the Next Generation: Incomplete Markets and Term Structure”, http://www.physics.utoronto.ca/˜qocmp/nextGenDefaultrisk.pdf
    Walker, Michael B., 2006, “CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions”, http://www.physics.utoronto.ca/˜qocmp/walkerfinance.php
    Description: 碩士
    國立政治大學
    金融研究所
    94352005
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0943520051
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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