政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/63903

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51720111 Online Users : 610

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/63903

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/63903

Title:	The Valuation of Special Purpose Vehicles by Issuing Structured Credit Linked Notes
Authors:	Chang, Chia-Chien;Wang, Chou-Wen;Liao,Szu-Lang 張嘉倩;王昭文;廖四郎
Contributors:	金融系
Date:	2009-02
Issue Date:	2014-02-17 17:48:40 (UTC+8)
Abstract:	With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values of structured CLNs issued by an SPV are higher than the ones issued by the protection buyer. When the credit quality of the reference obligation and protection buyer becomes worse or the leverage effect is higher, it is a superior solution for the structured CLNs issued through an SPV. Third, the empirical results of credit spreads do not incorporate the correlation coefficient of spot rate and market index into their regression models and show that they are positively correlated with the volatilities of spot rate and return on market index; however, we find that the relationship among them depends on the sign of correlation coefficient of spot rate and equity index market. Finally, using the differences in the maturities of the note and the reference obligation as the proxy for basis risk measure, we demonstrate that the purpose of the SPV is not used to eliminate the basis risk but the credit risk of protection buyer.
Relation:	Applied Financial Economics, 19(3), 227-256
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/09603100701765190
DOI:	10.1080/09603100701765190
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
227-256.pdf		288Kb	Adobe PDF2	1124	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...