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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36587


    Title: Default Risk Management of Credit Derivatives with HJM Model
    Authors: 胡伯聖
    Hu, Bo-shen
    Contributors: 胡聯國
    胡伯聖
    Hu, Bo-shen
    Keywords: Default Risk
    Credit Derivatives
    Date: 2002
    Issue Date: 2009-09-18 18:55:01 (UTC+8)
    Abstract: 債券信用風險的規避,一直以來是學者有興趣研究的課題,本篇研究以HJM模型去衡量信用風險, 透過市場資料的輸入,去衡量違約程度,並對信用風險相關之衍生性金融商品作出適當的評價,以求規避信用風險.
    Abstract
    In this study, we combine credit valuation approaches developed by Jarrow＆Turnbull (1995)、Duffie＆Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as defaultable yield rate and its volatility to measure credit risk, however, because of the close form in our model, the comparative static analysis for parameters can be done. At last, after introducing the survivor probability measure, we can extend to price default related derivatives.
    Reference: Reference
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    90351030
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090351030
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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