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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49663


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    題名: 擔保債權憑證選擇權之評價與分析--動態違約傳染模型之應用
    作者: 曾彥盛
    貢獻者: 廖四郎
    曾彥盛
    關鍵詞: 動態違約傳染模型
    擔保債權憑證
    遠期生效擔保債權憑證
    擔保債權憑證選擇權
    日期: 2007
    上傳時間: 2010-12-08 16:10:27 (UTC+8)
    摘要: 自2007年爆發次級房貸風暴後，造成許多原本信用良好的企業出現財務危機，甚至倒閉，引發一連串公司間違約傳染的連鎖效應。因此，公司間或是產業間之榮枯是相互關聯的，且均會受到違約傳染和總體經濟因素的影響。另外，近年來新型態的信用衍生性商品逐漸發展起來，例如：遠期生效擔保債權憑證、擔保債權憑證選擇權等，這些商品與以往不同的地方，是與時間有著強烈的相關性，而以往評價常用的單因子相關模型，因其無法描述損失分配的期間結構，造成無法評價與時間高度相關的信用衍生性商品。是以，許多學者開始研究動態的信用違約模型，藉此描述損失分配的期間結構。因此，本研究結合違約傳染效果與動態信用違約模型，假設個別公司存活機率之對數轉換服從跳躍過程，並將資產池內的資產分為傳染公司與被傳染公司，發展出容易執行與從市場資料校準參數的動態違約傳染模型。之後利用市場上的資料校準模型參數，並說明次級房貸風暴發生前後，參數改變的結果。
    結果反應出發生次級房貸風暴後，傳染效果與總體經濟因素的變數明顯的變大，且損失分配的重心明顯的向右方移動，與事實一致。除此之外，利用校準出的參數評價遠期生效擔保債權憑證與擔保債權憑證選擇權，並分析參數改變對於擔保債權憑證選擇權的變化，發現傳染效果和跳躍高度與擔保債權憑證選擇權是反向關係，而回復率與擔保債權憑證選擇權是正向關係。最後計算擔保債權憑證選擇權之避險參數，提供避險者避險決策的依據。
    參考文獻: Andersen, L. (2006), “Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence,” Working Paper, Bank of America.
    Ang, A. and J. Chen, (2002), “Asymmetric Correlations of Equity Portfolios,” Journal of Financial Economics, 63, 443-494
    Bennani, N, (2005), “The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Risk,” Working Paper, The Royal Bank of Scotland.
    Black, F., (1976), “The Pricing of Commodity Contracts,” Journal of Financial Economics, 3, 167-179.
    Brigo, D., A. Pallavicini and R. Torresetti, (2007), “Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model,” Risk 20, 70-75.
    Davis, M. and V. Lo (2001), “Infectious defaults,” Quantitative Finance, 1, 382-387.
    Duffie, D. and N. Gârleanu (2001), “Risk and the Valuation of Collateralized Debt Obligations,” Finance Analysis Journal 57(1), 41-59.
    Giesecke, K. and S. Weber, (2006), “Credit contagion and aggregate losses,” Journal of Economic Dynamics & Control 30 , 741-767.
    Herbertsson, A. and H. Rootzén, (2006), “Pricing k-th-to-default Swaps Under Default Contagion: The matrix-analytic approach,” Working Paper.
    Hull, J. and A. White, (2004), “Valuation of a CDO and nth to Default CDS without Monte Carlo Simulation,” Journal of Derivatives, 12, 8-23.
    Hull, J. and A. White, (2006), “Valuing Credit Derivatives Using an Implied Copula Approach,” Journal of Derivatives, 14, 8-28.
    Hull, J. and A. White, (2007a), “Forward and European Options on CDO Tranches,” Journal of Credit Risk, 3, 63-73.
    Hull, J. and A. White, (2007b), “Dynamic Models of Portfolio Credit Risk: A Simplified Approach,” Working Paper, Joseph L. Rotman School of Management University of Toronto.
    Jarrow, R. and S. Turnbull, (1995), “Pricing derivaties on financial securities subject to credit risk,” Journal of Finance, 50, 53-85.
    Jarrow, R. and F. Yu, (2001), “Counterparty risk and the pricing of defaultable securities,” The Journal of Finance 56, 1765-1799.
    Li, D.X. (2000), “On Default Correlation: A Copula Function Approach,” Journal of Fixed Income 9 , 43-54.
    Longstaff, F. and A. Rajan, (2006), “An Empirical Analysis of the Pricing of Collateralized Debt Obligations,” Working Paper, UCLA.
    Merton, R., (1974), “On the pricing of corporate debt: The risk structure of interest rates,” Journal of Finance, 29, 449-470.
    Rösch, D. and B. Winterfeldt, (2007), “Estimating Credit Contagion in a Standard Factor Model,” Working Paper, University of Regensburg.
    Schönbucher, P., (2003), “Information-Driven Default Contagion,” Working Paper, ETH Zurich.
    Schönbucher, P., (2005), “Portfolio Losses and the Term Structure of Loss Transition Rates: A New Methodology for Pricing Portfolio Credit Derivatives,” Working Paper, ETH Zurich.
    Servigny, A. and O. Renault, (2002), “Default Correlation: Empirical Evidence,” Working Paper, Standard and Poors.
    Sidenius, J., V. Piterbarg and L. Andersen, (2004), “A New Framework for Dynamic Credit Portfolio Loss Modeling,” Working Paper, Bank of America.
    Walker, M., (2007), “CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions,” Working Paper.
    陳文萱，(2007)，「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」，國立政治大學金融所碩士論文。
    陳欣怡，(2007)，「考慮違約傳染效應下合成型擔保債權憑證之評價與避險」，國立政治大學金融所碩士論文。
    描述: 碩士
    國立政治大學
    金融研究所
    95352010
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095352010
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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