| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.advisor | Mi Hisu,Chiang | en_US |
| dc.contributor.author (Authors) | 周政偉 | zh_TW |
| dc.contributor.author (Authors) | Jheng Wei,Jhou | en_US |
| dc.creator (作者) | 周政偉 | zh_TW |
| dc.creator (作者) | Jheng Wei,Jhou | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:29:22 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:29:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:29:22 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094352012 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31182 | - |
| 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) | 94352012 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 無 | zh_TW |
| dc.description.tableofcontents | 1 Introduction.............................................7 2 Literature review.......................................11 2.1 EDSs................................................11 2.2 ECDOs...............................................12 3 The pricing model.......................................14 3.1 The default event correlation model.................14 3.2 An autonomous factor copulae model..................15 3.2.1 Equity default probability....................16 3.3 Calibration.........................................18 3.4 Pricing an EDS......................................19 3.5 Pricing an ECDO.....................................20 4 Numercial results.......................................22 4.1 Results for an EDS..................................22 4.1.1 Impact of hazard rates and stock volatilities.24 4.1.2 Impact of trigger equity values...............25 4.1.3 Impact of correlation between the stock critical variable and the common factor.......26 4.2 Results for an ECDO.................................27 4.2.1 Pricing.......................................27 4.2.2 Impact of the number of EDSs in an ECDO.......29 4.2.3 Impact of the hazard rates and stock volatilities..................................30 4.2.4 Risk measure for an ECDO......................30 4.2.5 Hedge parameters for an ECDO..................38 5 Conclusions.............................................47 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094352012 | en_US |
| dc.subject (關鍵詞) | 無 | zh_TW |
| dc.title (題名) | 股權擔保債權憑證之研究:因子模型的延伸 | zh_TW |
| dc.title (題名) | The Pricing and Hedging of Equity Collateralized Debt Obligations (ECDOs): Using an Autonomous Factor Copulae Model | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Albanese, C. and O. Chen (2005), “Pricing equity default swaps”, Risk, 18(6), 83–87. | zh_TW |
| dc.relation.reference (參考文獻) | Christian Bluhm, Ludger Overbeck and Christoph Wagne (2003), An Introduction to CREDIT RISK MODELING, CHAPMAN & | zh_TW |
| dc.relation.reference (參考文獻) | HALL/CRC. | zh_TW |
| dc.relation.reference (參考文獻) | David X. Li (2000), “On Default Correlation: A Copula | zh_TW |
| dc.relation.reference (參考文獻) | Function Approach”, The Journal of Fixed Income, 9(4), 43–54. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives, 12(2),8–24. | zh_TW |
| dc.relation.reference (參考文獻) | Medova, E. and R. Smith (2006), “A structural approach to EDS pricing”, Risk, 19(4), 84–88. | zh_TW |
| dc.relation.reference (參考文獻) | Musiela, M. and M. Rutkowski (2004), Martingale methods in financial modelling, Springer-Verlag, second edition. | zh_TW |
| dc.relation.reference (參考文獻) | Satyajit Das (2005), CREDIT DERIVATIVES CDOs AND STRUCTURED | zh_TW |
| dc.relation.reference (參考文獻) | CREDIT PRODUCTS, John Wiley and Sons, third edition. | zh_TW |
