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| Title: | 固定比例債務憑證之研究:考量動態價差與信用傳染模型
A study on CPDOs: considering dynamic spread movements and credit contagion |
| Authors: | 陳哲偉 |
| Contributors: | 江彌修
陳哲偉 |
| Keywords: | 信用風險
信用傳染
固定比例債務憑證
信用指數 |
| Date: | 2011 |
| Issue Date: | 2012-10-30 11:24:16 (UTC+8) |
| Abstract: | 本研究以 Variance-Gamma 動態信用價差模型與 Giesecke et al. (2011) 之動態違
約傳染模型為基礎, 同時利用 Dorn (2010) 之固定比例債務憑證評價公式, 分析利用不同
時期下 iTraxx Europe 市場報價進行校準下, 固定比例債務憑證評價與風險分析結果有
何變動。
研究結果發現, 在僅考慮價差風險下利用金融風暴前之信用指數市價校準, 此商品所
得評價結果低於原先承諾之票面利息, 但所得風險程度仍高於以往部分文獻與發行商原先
宣稱之低風險。 而在考慮至今包含金融風暴時期之信用指數市價校準下, 則顯露出此商品
不管是評價或風險表現皆迅速變差, 代表以往部分文獻與發行商可能因無法預期信用指數
市場會有大幅度波動下, 而低估了固定比例債務憑證之風險。
同時考慮價差風險與違約風險下, 利用至今包含金融風暴之信用指數市價校準後, 可
得到固定比例債務憑證評價結果遠高於其所承諾之票面利息, 同時此產品違約機率等風險
指標皆顯示相當高之違約與損失可能性, 代表固定比例債務憑證在考慮較為波動之信用市
價校準, 同時考慮較為完整之風險面後, 呈現出相當高之風險程度, 並不如原先發行機構
所承諾之高報酬低風險之產品。 |
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| Description: | 碩士
國立政治大學
金融研究所
99352020
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0099352020 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
|
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