政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/53164
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/53164


    Title: 具複合保護層之擔保債權憑證研究
    Other Titles: On the Pricing and Hedging of CDOS with Compount Protection Layers
    Authors: 江彌修
    Contributors: 國立政治大學金融系
    行政院國家科學委員會
    Keywords: 複合保護層擔保債權憑證（CDO-squared）;Conditional Indepdence (條件式獨立)
    Date: 2008
    Issue Date: 2012-06-25 15:16:44 (UTC+8)
    Abstract: 複合保護層擔保債權憑證屬於證券化商品之再衍生，產品複雜程度較一般證券化商品為甚，不易為一般投資大眾所瞭解。其複合保護層的商品結構設計不僅提供了投資人雙重的保護效果，更提高標的資產的風險分散程度，乍看之下本商品的風險暴露程度似乎較其他信用衍生性商品為低，然而，投資複合保護層擔保債權憑證所能獲得之較高的收益水準暗示我們，基於高風險高報酬的基本投資原則，複合保護層擔保債權憑證勢必較一般信用衍生信商品承受較高之風險，投資人在資訊不對稱之情況下，容易對市場上交易員之報價提出準確性與誠實性之質疑，而此亦為發展複合保護層擔保債權憑證之一大難題。欲達成擴增市場交易量之目的，唯有進一步提升該商品相關資訊透明度，尤其一套公開可信賴的評價模型與風險控管方法之發展，將是解決此問題之最佳途徑。本研究欲提供複合保護層擔保債權憑證之合理信用價差的求算，並對此商品之風險特徵給予分析探討，以期瞭解複合保護層擔保債權憑證獨特之信用風險移轉本質及程度。
    Relation: 基礎研究
    學術補助
    研究期間:9708~ 9807
    研究經費:467仟元
    Data Type: report
    Appears in Collections:[Department of Money and Banking] NSC Projects

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