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題名 資產群組之動態違約模型──以信用擔保債權為例
On the Dynamic Characterization of Correlated Defaults in the Pricing of Collateral Debts Obligations
作者 陳美君
Chen, Mei-Chun
貢獻者 江彌修
陳美君
Chen, Mei-Chun
關鍵詞 違約
叢聚
信用
傳染
日期 2008
上傳時間 14-Sep-2009 09:31:20 (UTC+8)
摘要 本文以建構存活率(survival probability) 之動態過程, 提出簡易的動態信用模型, 可應用於資產群組之信用風險衡量, 及評價廣泛的信用衍生性商品。本研究將模型應用於信用擔保債權(collateralized debt obligation, CDO) 之評價, 再延伸至遠期信用擔保債權之評價。模型假設存活率生成函數(survival probability generating function) 之動態過程乃一含有漂浮項(drift term)的跳躍過程(jump process), 以形容信用事件發生對違約可能性提高之現象。為改善卜瓦松過程中每期信用事件獨立之缺點, 本文假設信用事件之發生頻率為三參數之伽瑪分配(Gamma distribution), 使違約事件之傳染效果(contagious effect) 及叢聚現象更為明顯。模型中所有參數均可以信用擔保債權之市價予以校準, 並且理論價格與市價十分相近。本文提供以信評資料估計信用事件發生頻率之方法, 估計所得之損失分配與市價所隱含之損失分配接近; 故本模型可以充份運用信用評等之資訊, 並可以更合理地評價信用資產群組之價值。
參考文獻 • Andersen, L., J. Sidenius, and S., Basu, (2003), ”All Your Hedges
in One Basket,” Risk, 16, 67-72.
• Black, F. and J. C. Cox, (1976), ”Valuing corporate securities:
some effects of bond indenture provisions,” Journal of Finance
31, 351-367.
• Davis, M., and Lo, V. (2001), ”Infectious Defaults”, Quantitative
Finance 1, 382-387.
• Duffie, D. and K. Singleton, (1999), ”Modeling term structures
of defaultable bonds,” Review of Financial Studies 12, 687-720.
• Duffie, D. and N. Garleanu (2001), ”Risk and valuation of collateralized
debt obligations,” Financial Analyst’s Journal 57(1),
41-59.
• Giesecke, K. (2003), ”A Simple Exponential Model for Dependent
Defaults,” Journal of Fixed Income 13(3), 74-83.
• Hull, J., and A. White (2004), ”Valuation of a CDO and nth
to Default CDS without Monte Carlo Simulation,” Journal of
Derivatives, 12 8-23.
• Hull, J., and A. White (2006), ”Valuing Credit Derivatives Using
an Implied Copula Approach,” Journal of Derivatives, 14 8-28.
• Hull, J., and A. White (2008), ”Dynamic Models of Portfolio
Credit Risk: a Simplified Approach,” Journal of Derivatives,
64
15, 9-28.
• Jarrow, R. and S. Turnbull, (1995), ”Pricing Derivatives on Financial
Securities Subject to Credit Risk,”Journal of Finance
50, 53- 85.
• Jarrow, R., D. Lando, and S. Turnbull, (1997), ”A Markov
Model for the Term Structure of Credit Spread,” Review of Financial
Studies 10, 481- 523.
• Laurent, J.P. and J. Gregory, (2003), ”Basket default swaps,
CDO’s and factor copulas,” working paper, ISFA Actuarial School,
University of Lyon.
• Li, D.X. (2000), ”On Default Correlation: A Copula Approach,”
Journal of Fixed Income, 9 43-54.
• Longstaff, F., and A. Rajan (2008), ”An Empirical Analysis of
the Pricing of Collateralized Debt Obligations,” Journal of Finance,
63, 529-563.
• Merton, R.C., (1974), ”On the Pricing of Corporate Debt: The
Risk Structure of Interest Rates,” Journal of Finance, 29 449-
470.
• Vasicek, O., (1987), ”Probability of Loss on a Loan Portfolio,”
Working Paper, KMV. (Published in Risk, December 2002 with
the title ”Loan Portfolio Value”)
• Ruohonenastin, M., (1987), ”On a Model for the Claim Number
Processm,” Astin Bulletin, Vol 18.
• A˘gca, S¸., D. Agrawal and S., (2008), Islam ”Implied Correlations:
Smiles or Smirks?” Journal of Derivatives, 16.
• CreditRisk+ (1997), Credit Suisse First Boston, ”A credit risk
management framework.” Available at http://www.csfb.com/creditrisk.
• Standard & Poor’s, (2007), ”Annual Global Corporate Default
Study and Rating Transitions.”
Available at http://www.standardandpoors.com/ratingsdirect.
描述 碩士
國立政治大學
金融研究所
96352009
97
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096352009
資料類型 thesis
dc.contributor.advisor 江彌修zh_TW
dc.contributor.author (Authors) 陳美君zh_TW
dc.contributor.author (Authors) Chen, Mei-Chunen_US
dc.creator (作者) 陳美君zh_TW
dc.creator (作者) Chen, Mei-Chunen_US
dc.date (日期) 2008en_US
dc.date.accessioned 14-Sep-2009 09:31:20 (UTC+8)-
dc.date.available 14-Sep-2009 09:31:20 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:31:20 (UTC+8)-
dc.identifier (Other Identifiers) G0096352009en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31200-
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) 96352009zh_TW
dc.description (描述) 97zh_TW
dc.description.abstract (摘要) 本文以建構存活率(survival probability) 之動態過程, 提出簡易的動態信用模型, 可應用於資產群組之信用風險衡量, 及評價廣泛的信用衍生性商品。本研究將模型應用於信用擔保債權(collateralized debt obligation, CDO) 之評價, 再延伸至遠期信用擔保債權之評價。模型假設存活率生成函數(survival probability generating function) 之動態過程乃一含有漂浮項(drift term)的跳躍過程(jump process), 以形容信用事件發生對違約可能性提高之現象。為改善卜瓦松過程中每期信用事件獨立之缺點, 本文假設信用事件之發生頻率為三參數之伽瑪分配(Gamma distribution), 使違約事件之傳染效果(contagious effect) 及叢聚現象更為明顯。模型中所有參數均可以信用擔保債權之市價予以校準, 並且理論價格與市價十分相近。本文提供以信評資料估計信用事件發生頻率之方法, 估計所得之損失分配與市價所隱含之損失分配接近; 故本模型可以充份運用信用評等之資訊, 並可以更合理地評價信用資產群組之價值。zh_TW
dc.description.tableofcontents 1 簡介. . . . . . . . . . . . . . . . . . . . . . . . 7
     2 文獻回顧. . . . . . . . . . . . . . . . . . . . . . 10
     3 基本假設與模型設定13
     　3.1 存活率之設定. . . . . . . . . . . . . . . . . . 13
     　　3.1.1 存活率生成函數. . . . . . . . . . . . . . . 14
     　　3.1.2 信用事件之發生過程. . . . . . . . . . . . . 15
     　　3.1.3 參數估計. . . . . . . . . . . . . . . . . . 17
     　　3.1.4 信用事件之危害程度. . . . . . . . . . . . . 19
     　　3.1.5 漂浮項. . . . . . . . . . . . . . . . . . . 20
     　3.2 信用擔保債權之評價. . . . . . . . . . . . . . . 20
     　　3.2.1 符號定義. . . . . . . . . . . . . . . . . . 21
     　　3.2.2 評價模型. . . . . . . . . . . . . . . . . . 21
     　　3.2.3 損失分配. . . . . . . . . . . . . . . . . . 23
     　3.3 商品應用. . . . . . . . . . . . . . . . . . . . 23
     4 數值結果與分析. . . . . . . . . . . . . . . . . . . 25
     　4.1 以信評資料估計信用事件發生頻率之參數. . . . . . 25
     　4.2 信用事件之危害程度, H, 為常數. . . . . . . . .. 28
     　　4.2.1 單一自由參數之模型. . . . . . . . . . . . . 28
     　　4.2.2 以市價校準信用事件發生頻率之參數. . . . . . 30
     　　4.2.3 隱含危害程度與隱含相關性之比較. . . . . . . 31
     　4.3 信用事件之危害程度為其發生次數之函數. . . . . . 36
     　　4.3.1 二自由參數之模型. . . . . . . . . . . . . . 37
     　　4.3.2 五自由參數之模型. . . . . . . . . . . . . . 41
     　4.4 敏感度分析. . . . . . . . . . . . . . . . . . . 45
     　　4.4.1 信用事件之危害程度. . . . . . . . . . . . . 45
     　　4.4.2 信用事件之發生頻率. . . . . . . . . . . . . 49
     　　4.4.3 回復率. . . . . . . . . . . . . . . . . . . 53
     　　4.4.4 無風險利率. . . . . . . . . . . . . . . . . 55
     　4.5 商品應用. . . . . . . . . . . . . . . . . . . . 57
     　　4.5.1 遠期信用擔保債權之評價. . . . . . . . . . . 57
     　　4.5.2 敏感度分析. . . . . . . . . . . . . . . . . 58
     5 結論. . . . . . . . . . . . . . . . . . . . . . . . 62
     參考文獻. . . . . . . . . . . . . . . . . . . . . . . 64
     附錄. . . . . . . . . . . . . . . . . . . . . . . . . 67		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096352009en_US
dc.subject (關鍵詞) 違約zh_TW
dc.subject (關鍵詞) 叢聚zh_TW
dc.subject (關鍵詞) 信用zh_TW
dc.subject (關鍵詞) 傳染zh_TW
dc.title (題名) 資產群組之動態違約模型──以信用擔保債權為例zh_TW
dc.title (題名) On the Dynamic Characterization of Correlated Defaults in the Pricing of Collateral Debts Obligationsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) • Andersen, L., J. Sidenius, and S., Basu, (2003), ”All Your Hedgeszh_TW
dc.relation.reference (參考文獻) in One Basket,” Risk, 16, 67-72.zh_TW
dc.relation.reference (參考文獻) • Black, F. and J. C. Cox, (1976), ”Valuing corporate securities:zh_TW
dc.relation.reference (參考文獻) some effects of bond indenture provisions,” Journal of Financezh_TW
dc.relation.reference (參考文獻) 31, 351-367.zh_TW
dc.relation.reference (參考文獻) • Davis, M., and Lo, V. (2001), ”Infectious Defaults”, Quantitativezh_TW
dc.relation.reference (參考文獻) Finance 1, 382-387.zh_TW
dc.relation.reference (參考文獻) • Duffie, D. and K. Singleton, (1999), ”Modeling term structureszh_TW
dc.relation.reference (參考文獻) of defaultable bonds,” Review of Financial Studies 12, 687-720.zh_TW
dc.relation.reference (參考文獻) • Duffie, D. and N. Garleanu (2001), ”Risk and valuation of collateralizedzh_TW
dc.relation.reference (參考文獻) debt obligations,” Financial Analyst’s Journal 57(1),zh_TW
dc.relation.reference (參考文獻) 41-59.zh_TW
dc.relation.reference (參考文獻) • Giesecke, K. (2003), ”A Simple Exponential Model for Dependentzh_TW
dc.relation.reference (參考文獻) Defaults,” Journal of Fixed Income 13(3), 74-83.zh_TW
dc.relation.reference (參考文獻) • Hull, J., and A. White (2004), ”Valuation of a CDO and nthzh_TW
dc.relation.reference (參考文獻) to Default CDS without Monte Carlo Simulation,” Journal ofzh_TW
dc.relation.reference (參考文獻) Derivatives, 12 8-23.zh_TW
dc.relation.reference (參考文獻) • Hull, J., and A. White (2006), ”Valuing Credit Derivatives Usingzh_TW
dc.relation.reference (參考文獻) an Implied Copula Approach,” Journal of Derivatives, 14 8-28.zh_TW
dc.relation.reference (參考文獻) • Hull, J., and A. White (2008), ”Dynamic Models of Portfoliozh_TW
dc.relation.reference (參考文獻) Credit Risk: a Simplified Approach,” Journal of Derivatives,zh_TW
dc.relation.reference (參考文獻) 64zh_TW
dc.relation.reference (參考文獻) 15, 9-28.zh_TW
dc.relation.reference (參考文獻) • Jarrow, R. and S. Turnbull, (1995), ”Pricing Derivatives on Financialzh_TW
dc.relation.reference (參考文獻) Securities Subject to Credit Risk,”Journal of Financezh_TW
dc.relation.reference (參考文獻) 50, 53- 85.zh_TW
dc.relation.reference (參考文獻) • Jarrow, R., D. Lando, and S. Turnbull, (1997), ”A Markovzh_TW
dc.relation.reference (參考文獻) Model for the Term Structure of Credit Spread,” Review of Financialzh_TW
dc.relation.reference (參考文獻) Studies 10, 481- 523.zh_TW
dc.relation.reference (參考文獻) • Laurent, J.P. and J. Gregory, (2003), ”Basket default swaps,zh_TW
dc.relation.reference (參考文獻) CDO’s and factor copulas,” working paper, ISFA Actuarial School,zh_TW
dc.relation.reference (參考文獻) University of Lyon.zh_TW
dc.relation.reference (參考文獻) • Li, D.X. (2000), ”On Default Correlation: A Copula Approach,”zh_TW
dc.relation.reference (參考文獻) Journal of Fixed Income, 9 43-54.zh_TW
dc.relation.reference (參考文獻) • Longstaff, F., and A. Rajan (2008), ”An Empirical Analysis ofzh_TW
dc.relation.reference (參考文獻) the Pricing of Collateralized Debt Obligations,” Journal of Finance,zh_TW
dc.relation.reference (參考文獻) 63, 529-563.zh_TW
dc.relation.reference (參考文獻) • Merton, R.C., (1974), ”On the Pricing of Corporate Debt: Thezh_TW
dc.relation.reference (參考文獻) Risk Structure of Interest Rates,” Journal of Finance, 29 449-zh_TW
dc.relation.reference (參考文獻) 470.zh_TW
dc.relation.reference (參考文獻) • Vasicek, O., (1987), ”Probability of Loss on a Loan Portfolio,”zh_TW
dc.relation.reference (參考文獻) Working Paper, KMV. (Published in Risk, December 2002 withzh_TW
dc.relation.reference (參考文獻) the title ”Loan Portfolio Value”)zh_TW
dc.relation.reference (參考文獻) • Ruohonenastin, M., (1987), ”On a Model for the Claim Numberzh_TW
dc.relation.reference (參考文獻) Processm,” Astin Bulletin, Vol 18.zh_TW
dc.relation.reference (參考文獻) • A˘gca, S¸., D. Agrawal and S., (2008), Islam ”Implied Correlations:zh_TW
dc.relation.reference (參考文獻) Smiles or Smirks?” Journal of Derivatives, 16.zh_TW
dc.relation.reference (參考文獻) • CreditRisk+ (1997), Credit Suisse First Boston, ”A credit riskzh_TW
dc.relation.reference (參考文獻) management framework.” Available at http://www.csfb.com/creditrisk.zh_TW
dc.relation.reference (參考文獻) • Standard & Poor’s, (2007), ”Annual Global Corporate Defaultzh_TW
dc.relation.reference (參考文獻) Study and Rating Transitions.”zh_TW
dc.relation.reference (參考文獻) Available at http://www.standardandpoors.com/ratingsdirect.zh_TW