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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49667
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49667


    Title: 基於非齊次卜瓦松過程之動態違約相關性描述及其應用
    On The Application of Inhomogeneous Poisson Arrivals in Default Intensity Modelling: Dynamic Default Correlations
    Authors: 張宇賢
    Contributors: 江彌修
    張宇賢
    Keywords: 非齊次卜瓦松過程
    違約關聯性
    信用擔保債權
    Date: 2008
    Issue Date: 2010-12-08 16:17:37 (UTC+8)
    Abstract: 本文假設信用事件為非致命性 (non-fatal),其發生為外生非齊次卜瓦松過程 (Inhomogeneous Poisson Process)。當信用事件發生時,導致債權群組之標的資產違約機率同時上升,與市場上違約叢聚現象 (clustering effect)相似。本研究允許信用事件發生之頻率為系統及非系統性風險因素,且服從三參數伽瑪分配。進而提供一可校準的動態違約相關性模型,藉由對於信用事件發生頻率與信用事件影響幅度之刻劃,更能與市場報價貼近。本研究並以信用擔保債權為例,驗證本模型於評價及校準上之可行性,並對遠期信用擔保債權進行評價與敏感度分析。根據市場報價校準出之參數可反應目前信用市場上對於債權群組之標的資產間違約關聯性之看法。當模型中之參數變動時,對於違約關聯性之影響,亦可觀察權益分券與其他分券之合理信用價差產生之變化。
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    Brigo, Damiano, Pallavicini, Andrea, and Torresetti, Roberto (2006),“Calibration of CDO tranches with the dynamical generalized-poisson loss model”, Risk, May, 70–75.
    Collin-Dufresne, Pierre, Goldstein, Robert, and Helwege, Jean (2003),“Is credit event risk priced? modeling contagion via the updating of beliefs”, Working paper, Haas School, University of California, Berkeley.
    Das, Sanjiv R., Duffie, Darrell, Kapadia, Nikunj, and Saita, Leandro(2007), “Common failings: How corporate defaults are correlated”, Journal of Finance, 1, 93–117.
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    Description: 碩士
    國立政治大學
    金融研究所
    96352032
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096352032
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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