政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33988

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/33988

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 113656/144643 (79%)
造訪人次 : 51747431 線上人數 : 596

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/33988

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/33988

題名:	信用衍生性商品評價-馬可夫鏈模型
作者:	林明宗
貢獻者:	廖四郎林明宗
關鍵詞:	信用違約交換第n次信用違約交換馬可夫鏈 CDS credit default swap NTDS n-to-default swaps Markov chain Markov Chain Monte Carlo conditional Markov chain Gibbs sampler
日期:	2006
上傳時間:	2009-09-17 19:02:05 (UTC+8)
摘要:	信用衍生性商品（credit derivatives）是用於移轉信用風險之契約，契約是由保護買方（protection buyer）與保護賣方（protection seller）所簽定，由保護買方支付保險金（可為躉繳或分期支付）以獲得信用的保護，而保護賣方則需在律定之信用事件發生時支付償金予保護買方做為補償。近年來頻傳金融事件，巴塞爾銀行監理委員會（Basel Committee on Banking Supervision）也不得不制定新版的巴塞爾協定以要求銀行強化信用風險控制與分散，而信用衍生性商品亦有助於信用風險的移轉與抵減的功能。本篇針對利用conditional Markov chain來建構信用違約交換與第n次信用違約交換之評價模型，並利用模擬的方式來求算出各商品之利差。藉由現實中的資料取得參數的估計值放入模型內則可以模擬出各種不同的狀況，進而做出避險的策略。此外，本篇亦探討如何利用Gibbs sampler來改良conditional Markov chain的模擬方法，以模擬當信用衍生性商品中的資產組合有傳染效果的情況。
參考文獻:	[1]Barrette, R. and Ewan, J. (2006), BBA Credit Derivatives Report 2006, British Bankers’ Association. [2]Bielecki, T.R., Crepey, S., Jeanblanc, M. and Rutkowski, M. (2006), “Valuation of basket credit derivatives in the credit migrations environment”, Handbook on Financial Engineering, J. Birge and V. Linetsky eds., Elsevier, forthcoming. [3]Bielecki, T.R. and Rutkowski, M. (2002), Credit Risk: Modeling, Valuation and Hedging, Springer-Verlag Berlin Heidelberg New York. [4]Bielecki, T.R. and Rutkowski, M. (2003), “Dependent Defaults and Credit Migrations”, Applicationes Mathematicae, 30, 121-145. [5]Bielecki, T. R., Vidozzi, A. and Vicozzi, L. (2006), “An efficient approach to valuation of basket credit products and options on ratings triggered step-up bonds”, working paper, IIT. [6]Black, F., and Cox, J. (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, Journal of Finance, 31, 351-367. [7]Casella, G. and George, E. I. (1992), “Explaining the Gibbs Sampler”, The American Statistician, 46(3), 167-174. [8]Chance , D. (1990), “Default risk and the duration of zero coupon bonds”, Journal of Finance, 45(1), 265-274. [9]Ethier, S. N. and Kurtz, T.G. (1986), Markov Processes: Characterization and convergence, John Wiley & Sons, Inc. [10]Heath, D., Jarrow, R. and Morton, A. (1992), “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation”, Econometrica, 60, 77-105. [11]Ho, T. and Singer, R. (1982), “Bond indenture provisions and the risk of corporate debt”, Journal of Financial Economics, 10, 175-406. [12]Ho, T. and Singer, R. (1984), “The value of corporate debt with a sinking fund provision”, Journal of Business, 57, 315-592. [13]Huge, B. and Lando, D. (1999), “Swap Pricing with Two-Sided Default Risk in a Rating-Based Model”, European Finance Review, 3, 239-268. [14]Hull, J. and White, A. (2004), “Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives, Vol. 12(2), 8-23 [15]Jarrow, R. A., Lando, D., Turnbull, S. M. (1997), “A Markov Model for the Term Structure of Credit Risk Spreads”, The Review of Financial Studies, 10(2), 481-523. [16]Jarrow, R. and Turnbull, S. M. (1995)“Pricing Derivatives on Financial Securities Subject to Credit Risk”, The Journal of Finance, 50(1), 53-85. [17]Jarrow, R. and Yu, F. (2001), “Counterparty Risk and the Pricing of Defaultable Securities”, The Journal of Finance, 56(5), 1765-1799. [18]Kim, J., Ramaswamy, K. and Sundaresan, S. (1993), “Does default risk in coupons affect the valuation of corporate bond?: A contingent claims model, Financial Management 117-131. [19]Lando, D. (1998), “On Cox Processes and Credit Risky Securities”, Review of Derivatives Research, 2, 99-120. [20]Li, D. X., “On Default Correlation: A Copula Function Approach”, Journal of Fixed Income, 9, 43-54. [21]Merton, R. C. (1974) “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, 2,449-470. [22]Merton, R. C. (1977), “On the pricing of contingent claims and the Modigliani-Miller theorem”, Journal of Financial Economics, 3, 125-144. [23]Ramaswamy, K. and Sundaresan, S. (1986), “The valuation of floating-rate instruments”, Journal of Financial Economics, 17, 251-272. [24]Resnick, S. (1992), Adventures in Stochastic Processes, Birkhauser, Boston. [25]Zagst, R (2002), Interest Rate Management, Springer [26]林晚容，”單一分券違約信用交換與單一分券擔保債權憑證之評價-copula方法”，政治大學經濟研究所碩士論文。
描述:	碩士國立政治大學金融研究所 93352006 95
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0093352006
資料類型:	thesis
顯示於類別:	[金融學系] 學位論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
35200601.pdf		184Kb	Adobe PDF2	984	檢視/開啟
35200602.pdf		215Kb	Adobe PDF2	1090	檢視/開啟
35200603.pdf		215Kb	Adobe PDF2	1230	檢視/開啟
35200604.pdf		218Kb	Adobe PDF2	1073	檢視/開啟
35200605.pdf		253Kb	Adobe PDF2	1280	檢視/開啟
35200606.pdf		416Kb	Adobe PDF2	1701	檢視/開啟
35200607.pdf		468Kb	Adobe PDF2	3476	檢視/開啟
35200608.pdf		358Kb	Adobe PDF2	1203	檢視/開啟
35200609.pdf		273Kb	Adobe PDF2	1014	檢視/開啟
35200610.pdf		221Kb	Adobe PDF2	1296	檢視/開啟
35200611.pdf		274Kb	Adobe PDF2	953	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

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 © - 回饋