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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/64337


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64337


    Title: 在Variance Gamma分配下信用連結債券評價模型
    Valuation of a Credit Linked Note on the Implementation of the Variance Gamma Distribution
    Authors: 宋彥傑
    Song, Yen Jieh
    Contributors: 廖四郎
    Liao, Szu Lang
    宋彥傑
    Song, Yen Jieh
    Keywords: 信用連結債券
    Variance Gamma分配
    Copula模型
    credit-linked notes
    Variance Gamma distribution
    Copula model
    Date: 2012
    Issue Date: 2014-03-03 15:33:22 (UTC+8)
    Abstract: 本論文在Li(2000)的Gaussian Copula的背景之下，將資產價值服從常態分配的假設改為服從Variance Gamma分配，利用Copula模型模擬債權群組內各個標的資產的違約時點，並利用蒙地卡羅抽取亂數的方法，取平均之後求得信用連結債券所連結的資產債權組合價值。除此之外，本論文比較假設資產價值服從常態分配、Student t分配和Variance Gamma分配下，計算求得的資產池價值。實證結果顯示，假設服從Variance Gamma分配最接近市場的真實違約資料。這是由於Variance Gamma分配具備Student t分配的厚尾性質，能有效捕捉常態分配缺少的尾端損失機率，並可調整偏態係數和峰態係數，可以求出更接近市場價值的評價結果。最後，在敏感度分析方面，改變影響資產池價值的兩大因子：平均違約回收率和資產間相關係數。結果顯示，當平均違約回收率高於0.7時，相關係數越高的債權群組，其資產池價值亦越高。若平均違約回收率越低且資產間相關係數越高的話，越容易出現一起違約的現象，因此資產池價值會下降。因此投資人在挑選信用連結債券時，應注意所連結的標的資產群組內資產報酬的相關性，最好避免相關性高的資產群組，以免金融海嘯來臨的時候，多個資產同時違約的情形發生。
    Reference: 1. Duan, J.C.(2010), “Clustered Defaults”, Working Paper, National University of Singapore, p. 87-91
    2. Duffie, D. and N. Garleanu (2001), “Risk and valuation of collateralized debt obligations”, Finance Analysis Journal, Vol 57, p. 41-59
    3. Hwang, R.-C. (2012), “A varying-coefficient default model. International Journal of Forecasting”, Vol 28, p. 675-688.
    4. Hull, John and White, Alan (2004), “Valuation of a CDO and nth to default CDS without Monte Carlo simulation”, Journal of Derivatives, Vol 12, p. 8–23.
    5. Li, David (2000), “On default correlations: a copula approach”, Journal of Fixed Income, Vol 9, p. 43–54
    6. Longstaff, F., S. Mithal, and E. Neis (2004), “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market”. Working Paper.
    7. Thomas Moosbrucker (2006), “Pricing CDOs with Correlated Variance Gamma Distributions.” Working paper.
    Description: 碩士
    國立政治大學
    金融研究所
    100352013
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G1003520131
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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