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題名 固定比例投資組合保險策略之模擬分析
Simulation Analysis on CPPIs作者 陳冠宇 貢獻者 江彌修
陳冠宇關鍵詞 固定比例投資組合保險 日期 2011 上傳時間 30-Oct-2012 11:24:18 (UTC+8) 摘要 本篇論文利用CPPI策略模擬信用衍生性商品，進行信用CPPI投資組合淨值分析，並且做其風險衡量和敏感度分析。本篇論文採用Variance Gamma模型，模擬信用價差動態，並且利用Gaussian Copula模擬信用違約的時間點，結合價差動態和信用違約的兩個模型，探討CPPI策略下的投資組合淨值分析與風險探討。在本文可以看到以下重要結果，首先是模擬信用CPPI的過程，根據CPPI策略底下的拆解項，分析影響策略績效的情形。第二點是CPPI缺口風險的分析探討，列出可能造成缺口風險的原因。第三點為利用不同的目標乘數，模擬信用CPPI資產組合淨值的表現，可以發現在目標乘數比較低的時候，藉由蒙地卡羅模擬，平均CPPI投資組合淨值下來表現較好，反而目標乘數越大，投資組合淨值表現越不好。第四點為敏感度分析，在價差模型中的峰態係數變動下，影響CPPI投資組合淨值較大，峰態係數越大，會導致投資組合淨值表現越差。 參考文獻 參考文獻Cipollini, A., 2008, “Capital Protection: Modeling the CPPI Portfolio”, Working Paper, Fixed Income and Relative Value Research, Deutsche Bank AG (London).Cont, R. and Tankov, P., 2007, “Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices”, Columbia University Center for Financial EngineeringFinancial Engineering Report No. 2007-10.Garcia, J., Goossens, S. and Schoutens, W., 2007, “Let’s Jump Together Pricing of Credit Derivatives: From Index Swaptions to CPPIs”, SSRN Working Paper Series.Jessen, C., 2010, “Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage”, Working Paper, 23rd Australasian Finance and Banking Conference 2010 paper.Jin, W. and Whetten, M., 2005, “Anatomy of Credit CPPI”, Working Paper, Nomura Fixed Income Research.Joossens, E. and Schoutens, W., 2008, “An Overview of Portfolio Insurances: CPPI and CPDO”, JRC Scientific and Technical Reports.Khuman, A. and Constantinou, N., 2009, “How Does CPPI Perform Against the Simplest Guarantee Strategies”, Working Paper, Centre for Computational Finance and Economic Agents (CCFEA).Linden, A., Lecointe, C. H. and Segger, H., 2006, “Rating Credit CPPI and CPDO”, Working Paper, Global Criteria Report, Derivative Fitch.Ma, Q. P., 2008, “Sub-optimality of Threshold and Constant Proportion Portfolio Insurance Strategies in Defined Contribution Pension Plans”, DISCUSSION PAPER PI-0819.O’Kane, D. and Turnbull S., 2003, “Valuation of Credit Default Swaps”, QCR Quarterly, vol. 2003-Q1/Q2.Prigent, J. L. and Tahar, F., 2005, “CPPI with Cushion Insurance”, Working Paper, THEMA University of Cergy-Pontoise.Yueh, M. L., 2010, “An Empirical Analysis of CPPI Strategies for Credit Index Tranches”, Journal of Fixed Income; Spring 2010; 19, 4; ProQuest pg. 22. 描述 碩士
國立政治大學
金融研究所
99352025
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099352025 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.author (Authors) 陳冠宇 zh_TW dc.creator (作者) 陳冠宇 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 11:24:18 (UTC+8) - dc.date.available 30-Oct-2012 11:24:18 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 11:24:18 (UTC+8) - dc.identifier (Other Identifiers) G0099352025 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54587 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 99352025 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本篇論文利用CPPI策略模擬信用衍生性商品，進行信用CPPI投資組合淨值分析，並且做其風險衡量和敏感度分析。本篇論文採用Variance Gamma模型，模擬信用價差動態，並且利用Gaussian Copula模擬信用違約的時間點，結合價差動態和信用違約的兩個模型，探討CPPI策略下的投資組合淨值分析與風險探討。在本文可以看到以下重要結果，首先是模擬信用CPPI的過程，根據CPPI策略底下的拆解項，分析影響策略績效的情形。第二點是CPPI缺口風險的分析探討，列出可能造成缺口風險的原因。第三點為利用不同的目標乘數，模擬信用CPPI資產組合淨值的表現，可以發現在目標乘數比較低的時候，藉由蒙地卡羅模擬，平均CPPI投資組合淨值下來表現較好，反而目標乘數越大，投資組合淨值表現越不好。第四點為敏感度分析，在價差模型中的峰態係數變動下，影響CPPI投資組合淨值較大，峰態係數越大，會導致投資組合淨值表現越差。 zh_TW dc.description.tableofcontents 第一章 緒論............................................................................................1第二章 文獻回顧....................................................................................4第三章 模型設定....................................................................................7第一節 CPPI策略............................................................................7第二節 價差模型設定...................................................................11第三節 違約相關性描述...............................................................13第四節 校準方法...........................................................................16第四章 實證分析..................................................................................18第一節 信用CPPI..........................................................................19第二節 缺口風險(Gap Risk)..........................................................29第三節 不同目標乘數變動的影響...............................................31第四節 敏感度分析.......................................................................34第五章 結論與建議..............................................................................38參考文獻..................................................................................................40 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099352025 en_US dc.subject (關鍵詞) 固定比例投資組合保險 zh_TW dc.title (題名) 固定比例投資組合保險策略之模擬分析 zh_TW dc.title (題名) Simulation Analysis on CPPIs en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 參考文獻Cipollini, A., 2008, “Capital Protection: Modeling the CPPI Portfolio”, Working Paper, Fixed Income and Relative Value Research, Deutsche Bank AG (London).Cont, R. and Tankov, P., 2007, “Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices”, Columbia University Center for Financial EngineeringFinancial Engineering Report No. 2007-10.Garcia, J., Goossens, S. and Schoutens, W., 2007, “Let’s Jump Together Pricing of Credit Derivatives: From Index Swaptions to CPPIs”, SSRN Working Paper Series.Jessen, C., 2010, “Constant Proportion Portfolio Insurance: Discrete-time Trading and Gap Risk Coverage”, Working Paper, 23rd Australasian Finance and Banking Conference 2010 paper.Jin, W. and Whetten, M., 2005, “Anatomy of Credit CPPI”, Working Paper, Nomura Fixed Income Research.Joossens, E. and Schoutens, W., 2008, “An Overview of Portfolio Insurances: CPPI and CPDO”, JRC Scientific and Technical Reports.Khuman, A. and Constantinou, N., 2009, “How Does CPPI Perform Against the Simplest Guarantee Strategies”, Working Paper, Centre for Computational Finance and Economic Agents (CCFEA).Linden, A., Lecointe, C. H. and Segger, H., 2006, “Rating Credit CPPI and CPDO”, Working Paper, Global Criteria Report, Derivative Fitch.Ma, Q. P., 2008, “Sub-optimality of Threshold and Constant Proportion Portfolio Insurance Strategies in Defined Contribution Pension Plans”, DISCUSSION PAPER PI-0819.O’Kane, D. and Turnbull S., 2003, “Valuation of Credit Default Swaps”, QCR Quarterly, vol. 2003-Q1/Q2.Prigent, J. L. and Tahar, F., 2005, “CPPI with Cushion Insurance”, Working Paper, THEMA University of Cergy-Pontoise.Yueh, M. L., 2010, “An Empirical Analysis of CPPI Strategies for Credit Index Tranches”, Journal of Fixed Income; Spring 2010; 19, 4; ProQuest pg. 22. zh_TW
