| dc.contributor.advisor | 林士貴<br>岳夢蘭 | zh_TW |
| dc.contributor.advisor | Lin, Shih-Kuei<br>Yueh, Meng-Lan | en_US |
| dc.contributor.author (Authors) | 賴映筑 | zh_TW |
| dc.contributor.author (Authors) | Lai, Ying-Zhu | en_US |
| dc.creator (作者) | 賴映筑 | zh_TW |
| dc.creator (作者) | Lai, Ying-Zhu | en_US |
| dc.date (日期) | 2020 | en_US |
| dc.date.accessioned | 1-Jul-2020 13:41:40 (UTC+8) | - |
| dc.date.available | 1-Jul-2020 13:41:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Jul-2020 13:41:40 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0107352031 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/130544 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融學系 | zh_TW |
| dc.description (描述) | 107352031 | zh_TW |
| dc.description.abstract (摘要) | 近來全球金融市場波動頻繁，加上投資人的風險管理意識增強，在資產組合的配置上，衍生性金融商品扮演著不可或缺的角色。本論文評價目前市面上常見的利率衍生性商品，此商品為以固定期限利率交換(Constant Maturity Swap, CMS)的利差做為連結標的，且附帶「提前贖回條款」的區間計息型利率交換。本文採用對數常態遠期LIBOR模型(Lognormal Forward LIBOR Model, LFM)及最小平方蒙地卡羅模擬法(Least Squares Monte Carlo Method)評價此商品的理論價值。此外，巴塞爾銀行監管委員會已針對全球銀行業監管的框架進行修正，變更之後的方案被稱之為「巴塞爾資本協定四」(Basel IV)。該方案改變了過去衡量極端損失的風險度量指標，從過去風險價值(Value at Risk，簡稱VaR)的計算，過渡為期望損失(Expected Shortfall，簡稱ES)的計量方法。因此，本文透過敏感度分析(Sensitivity Analysis) 和風險值及期望損失的計算，探討該商品之風險管理。 | zh_TW |
| dc.description.abstract (摘要) | In recent years, global financial markets have been fluctuating frequently. With the increasing of investors` awareness in risk management, derivative commodities play indispensable roles in the allocation of asset portfolios. This paper evaluates a common interest rate derivative product currently traded on the market, which is range accrual Constant Maturity Swap (CMS) with “the Call Provision”. Lognormal Forward LIBOR Model and the least square Monte Carlo simulation method are used as evaluation methods to evaluate the theoretical value of this product.In addition, the Basel Committee on Banking Supervision (BCBS) revised the framework for global banking supervision, which is called “Basel IV”. It has changed the risk measurement indicators that measure extreme losses, from the calculation of Value at Risk (VaR) in the past to the measurement method of Expected Shortfall (ES). Therefore, we discuss the risk management of this product by using sensitivity analysis, and the calculation of VaR and ES. | en_US |
| dc.description.tableofcontents | 目錄 I表目錄 II圖目錄 III第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 1第二章 文獻回顧 2第一節 利率模型 2第二節 固定期限利率交換 4第三節 風險度量指標 5第三章 研究模型與方法 9第一節 對數常態遠期LIBOR模型 9第二節 參數模型架構 12第三節 最小平方蒙地卡羅法 15第四節 敏感度分析與風險度量指標 16第四章 可贖回CMS利差區間計息型商品評價 19第一節 產品內容 19第二節 評價分析 20第五章 敏感度分析與風險度量指標實證 30第一節 敏感度分析 30第二節 風險價值與期望損失分析 31第六章 結論與建議 33第一節 研究結論 33第二節 研究建議 33第七章 參考文獻 35 | zh_TW |
| dc.format.extent | 1806523 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0107352031 | en_US |
| dc.subject (關鍵詞) | 固定期限利率交換 | zh_TW |
| dc.subject (關鍵詞) | 區間計息 | zh_TW |
| dc.subject (關鍵詞) | 對數常態遠期LIBOR模型 | zh_TW |
| dc.subject (關鍵詞) | 最小平方蒙地卡羅模擬法 | zh_TW |
| dc.subject (關鍵詞) | 風險價值 | zh_TW |
| dc.subject (關鍵詞) | 期望損失 | zh_TW |
| dc.subject (關鍵詞) | Constant Maturity Swap | en_US |
| dc.subject (關鍵詞) | Range Accrual | en_US |
| dc.subject (關鍵詞) | Lognormal Forward LIBOR Model | en_US |
| dc.subject (關鍵詞) | Least Square Monte Carlo simulation | en_US |
| dc.subject (關鍵詞) | Value at Risk | en_US |
| dc.subject (關鍵詞) | Expected Shortfall | en_US |
| dc.title (題名) | LFM模型下可贖回CMS價差區間計息型商品之評價與風險管理 | zh_TW |
| dc.title (題名) | Valuation and Risk Management of Callable Range Accrual Linked to CMS Spread under Lognormal Forward LIBOR Model | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 林淑蓉(2006). 風險值與風險管理策略之研究, 國立中央大學財務金融研究所碩士論文.陳松男(2006a). 初階金融工程學與 Matlab. C++ 電算應用, 新陸書局.陳松男(2006b). 利率金融工程學-理論模型及實務應用, 新陸書局.謝振耀(2000). 台灣債券投資組合風險值之評估, 國立政治大學統計研究所碩士論文.Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203-228.Aussenegg, W., & Pichler, S. (1997). Empirical evaluation of simple models to calculate value-at-risk of fixed income instruments. Working paper, Vienna University of Technology.Brigo, D. & Mercurio, F. (2007). Interest Rate Models:Theory and Practice: with smile, inflation and credit. Springer Science & Business Media.Hendricks, D. (1996). Evaluation of value-at-risk models using historical data. Economic Policy Review, 2(1).Hull, J. (2012). Risk management and financial institutions. John Wiley & Sons.Jamshidian, F. (1997). LIBOR and swap market models and measures. Finance and Stochastics, 1(4), 293-330.Jorion, P. (1997). Value at risk: the new benchmark for controlling market risk. Irwin Professional Pub.Longstaff, F. A., & Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. The Review of Financial Studies, 14(1), 113-147.Lu, Y., & Neftci, S. (2003). Convexity adjustment and forward libor model: Case of constant maturity swaps. Working Paper No.115, National Centre of Competence in Research Financial Valuation and Risk Management. | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU202000614 | en_US |
