| dc.contributor.advisor | 張興華 | zh_TW |
| dc.contributor.author (作者) | 傅以沅 | zh_TW |
| dc.contributor.author (作者) | Fu, Yi-Yuan | en_US |
| dc.creator (作者) | 傅以沅 | zh_TW |
| dc.creator (作者) | Fu, Yi-Yuan | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 14-九月-2009 09:34:00 (UTC+8) | - |
| dc.date.available | 14-九月-2009 09:34:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 09:34:00 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0923520071 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31226 | - |
| 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) | 92352007 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 本文主要是討論市場上有哪些因素會影響信用違約交換的價格(價差)，並且透過2005年初發生的通用汽車與福特汽車信用評等調降事件，研究信用評等的改變對於股票、債券與信用違約交換市場的影響。 一開始先介紹信用衍生性商品市場的發展。第二部份則介紹評價信用違約交換的模型，並由模型中找出可能影響信用違約交換價格的因素，並且提出公司本身發佈的消息也可能會影響價差的改變，甚至更為明顯，但沒有任何一個評價模型包含這樣一個因素。而透過對通用汽車與福特汽車事件的研究，我們發現兩家公司的股票、公司債或是信用違約交換價格(價差)都在評等調降的消息發布前已經事先反映公司經營不善的狀況，或是所面臨的困境，而在評等調降結果真正公佈的時點時，市場的反應反而沒有預期的明顯。對於公司內部發佈的消息，或是預期之外的事件，價格或價差則會大幅波動。 | zh_TW |
| dc.description.tableofcontents | 第壹章 序論 一、研究動機與目的 二、研究架構 第貳章 信用衍生性商品市場的發展 一、信用違約交換(Credit Default Swap) 二、總資產報酬交換(Total Rate of Return Swap) 三、信用連結票券(Credit-Linked Note)與信用連結定存(Credit-Linked Deposit) 四、信用抵押擔保債權(Collateralized Debt Obligations) 五、固定年期信用違約交換(Constant Maturity Credit Default Swap) 第參章 信用衍生性商品的評價模型及影響信用違約交換價格的因素 一、如何評價信用衍生性商品 二、信用違約交換的評價 三、影響信用違約交換價格(價差)的因素 第肆章 信用事件的發生對信用違約交換價格的影響-- 以通用汽車(General Motor)和福特汽車(Ford)為例 一、營運狀況及所面臨的問題 二、信用評等的改變及市場反應 三、股票、債券與信用違約交換之比較 第伍章 結論 參考文獻 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923520071 | en_US |
| dc.subject (關鍵詞) | 信用衍生性商品 | zh_TW |
| dc.subject (關鍵詞) | 信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 通用汽車 | zh_TW |
| dc.subject (關鍵詞) | 福特汽車 | zh_TW |
| dc.subject (關鍵詞) | 信用評等 | zh_TW |
| dc.subject (關鍵詞) | Credit Derivatives | en_US |
| dc.subject (關鍵詞) | Credit Default Swap | en_US |
| dc.subject (關鍵詞) | General Motors | en_US |
| dc.subject (關鍵詞) | Ford Motors | en_US |
| dc.subject (關鍵詞) | Credit Rating | en_US |
| dc.title (題名) | 信用違約交換價差之影響因素：通用汽車與福特汽車之事件研究 | zh_TW |
| dc.title (題名) | The Change in CDS Spread：An Event Study of the Downgrades of GM and Ford | en_US |
| dc.type (資料類型) | thesis | en |
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