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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/74307
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/74307


    Title: 具信用風險之跨通貨權益交換評價模型
    Cross-Currency Equity SWAP Pricing Models with Credit Risk
    Authors: 林鈞培
    Contributors: 廖四郎
    Liao, Szu Lang
    林鈞培
    Keywords: 權益交換
    信用風險
    equity SWAP
    credit risk
    Date: 2014
    Issue Date: 2015-04-01 10:13:09 (UTC+8)
    Abstract: 由於交換合約為店頭市場交易,故其違約風險的考量為一重要因素。本文依據Wang and Liao(2003)對於權益交換的研究,以及Hübner(2001)對於信用風險的設定,將之結合,在完全市場的假設下,不考慮交易成本以及賦稅影響下,推導出考慮信用風險後的一般化權益交換評價模型,對於各類型的權益交換評價,只需將本文模型假設簡化即可運用。而依據本文推導結果在跨通貨的權益交換模型中,較無跨通貨的權益交換模型多了一個匯率風險調整項,另外在考慮信用風險之後,則會再多出一信用風險調整項。
    Reference: 一、 中文部分
    1. 廖四郎、王銘杰、徐守德,『股酬交換的一般化評價模式』,亞太經濟管理評論,第四卷,第一期,2000年9月,p.73-95
    2. 姜碧嘉(2001),隨機利率下之資產交換-跨通貨股酬交換與利率交換的評價與避險,政治大學金融所碩士論文。
    3. 廖政芳(2002),信用風險下的股酬交換評價,政治大學金融所碩士論文。

    二、 英文部分
    1. Ammann M., Credit Risk Valuation : Methods, Models, and Applications.
    2. Chance, D. M. and Rich, D., “The Pricing of Equity Swaps and Swaptions”, Journal of Derivatives, summer 1998, p.19-31.
    3. Chang, J. J., S. N. Chen, and T. P. Wu, “Currency-Protected Swaps and Swaptions with Nonzero Spreads in a Multi-currency LMM”, Journal of Futures Markets, 2013, p.827-867.
    4. Cooper, I. A., and A. S. Mello, “The Default Risk of Swaps”, Journal of Finance, 1991, p.597-620.
    5. Duffie, D., and M. Huang, “Swap Rates and Credit Quality”, Journal of Finance, 1996, p.921-949.
    6. Duffie, D., M. Schroder, and C.Skiadas, “”Recursive Valuation of Defaultable Securities and the Timing of Resolution of Uncertainty”, Annals of Applied Probability, 1996, p.1075-1090.
    7. Duffie, D., and K. J. Singleton, “Modeling Term Structure of Defaultable Bonds”, Review of Financial Studies, 1999, p.687-720.
    8. Hübner, G.., “The Analytic Pricing of Asymmetric Defaultable Swaps”, Journal of Banking and Finance, 2001, p.295-316.
    9. Jarrow, R. A. and S. M. Turnbull, Derivative Securities, South Western College Publishing, Cincinnati, Ohio, 1996.
    10. Lin, W. T., ” Pricing Equity Swaps”, Journal of Financial Studies, 1997, p.43-72.
    11. Merton, R. C., “On the Pricing of Corporate Debt : The Risk Structure of Interest Rates”, Journal of Finance, p.449-470.
    12. Musiela, M., and M. Rutkowski, Martingale Method in Finance Modeling, Springer, 1997.
    13. Ramaswamy ,K. and S. Sundaresan, “The Valuation of Floating Rate Instruments: Theory and Evidence”, Journal of Financial Economics, 1986, p.251-272.
    14. Sundaresan, S. “Valuation of Swaps”, in Recent Developments in International Banking and Finance, ed. By S. J. Khoury, chap. 12. Elsevier(North-Holland), 1991.
    15. Wang M.C., and S.L. Liao “The Pricing Models of Cross-Currency Equity Swaps and Swaptions”, in Conference on Finance and Industry, HwaLein, Taiwan, 2002.
    16. Wang M.C., and S.L. Liao “Pricing Models of Equity Swaps”, Journal of Futures Markets, 2003, p.751-772.
    Description: 碩士
    國立政治大學
    金融研究所
    91352028
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0091352028
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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