| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.author (Authors) | 廖秦尉 | zh_TW |
| dc.creator (作者) | 廖秦尉 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:35:24 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:35:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:35:24 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923520321 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31239 | - |
| 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) | 92352032 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 本研究針對每日利率區間型連動式債券，以及一籃子信用連結式債券－首次違約型進行評價與避險分析。由於法令的開放，結構型商品推陳出新，商品設計條款日趨繁複。利用理論的模型運用於市場上的結構型商品，使發行者與投資人清楚了解商品的利潤與風險。 在每日區間型利率連動式債券的評價模型上，採用Hall and White(1994)的利率三元樹模型求算債券價值。透過市場可90天期商業本票報價，建構符合市場利率期間結構之利率模型，並以路徑函數計算配息，以求算利率連動債券合理價格。 在一籃子信用連動式債券可拆解為持有固定利息債券，並賣出一信用交換。參考Kijima與Muromachi（2000）模型設定，模擬出不同回收率下的第一違約信用交換價值；使用Hall and White的利率三元樹模型，計算連動債券中的固定利息債券價格，最後，針對參數可能的變動進行敏感度分析。 | zh_TW |
| dc.description.tableofcontents | 目 錄 第一章 緒論 1.1 研究動機 1.2 研究目的 1.3 研究流程 第二章 文獻回顧 2.1 利率模型 2.2 信用模型 第三章 研究方法 3.1 利率連動商品之研究方法 3.2 信一籃子信用商品之研究方法 第四章 每日利率區間型連動式債券評價及避險：華南商業銀行新台幣三年期每日計息式貨幣市場利率連動組合式投資商品 4.1 商品內容說明 4.2 每日利率區間型連動式債券評價 4.3 每日利率區間型連動式債券避險分析 4.4 發行商的發行策略 4.5 投資人的投資策略 第五章 一籃子信用連動式債券評價及避險：第一違約型信用連動式債券 4.1 一籃子信用連動式債券 ─ 第一違約型信用連動式債券介紹 4.2 第一違約信用連動式債券評價分析 4.3 第一違約信用交換敏感度分析 4.4 發行商的利潤與風險風險 4.5 投資人的投資策略分析 4.6 小結 第六章 結論與建議 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923520321 | en_US |
| dc.subject (關鍵詞) | Hull-White 利率三元樹 | zh_TW |
| dc.subject (關鍵詞) | 路徑相依 | zh_TW |
| dc.subject (關鍵詞) | 一籃子信用連動式債券 | zh_TW |
| dc.subject (關鍵詞) | 第一違約信用交換 | zh_TW |
| dc.subject (關鍵詞) | Hull-White trinomial tree | en_US |
| dc.subject (關鍵詞) | Path-Dependent | en_US |
| dc.subject (關鍵詞) | CDS | en_US |
| dc.subject (關鍵詞) | FtD | en_US |
| dc.title (題名) | 結構型商品之評價與分析─以每日利率區間及一籃子信用商品為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1、陳松男博士，民91，《金融工程學：金融商品創新選擇權理論》，華泰書局。 | zh_TW |
| dc.relation.reference (參考文獻) | 2、陳松男博士，民93，《結構型金融商品之設計及創新》，新陸書局。 | zh_TW |
| dc.relation.reference (參考文獻) | 3、陳松男博士，民94，《結構型金融商品之設計及創新二》，新陸書局。 | zh_TW |
| dc.relation.reference (參考文獻) | 4、謝嫚綺，民93，《結構型債券之評價與分析》，國立政治大學金融研究所碩士論文。 | zh_TW |
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| dc.relation.reference (參考文獻) | Price Performance.”Financial Analysts Journal, Vol.53, pp.35-51. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J., and A. White. (1990), “Pricing Interest Rate Derivative Securities.”,Review of Financial Studies, 3, 4, pp.573-592. | zh_TW |
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| dc.relation.reference (參考文獻) | Kijima, M., and Y. Muromachi. (2000), “Credit Events and the Valuation of Credit Derivatives of Basket Type.” Review of Derivatives Research, 4, pp. 79–95. | zh_TW |
| dc.relation.reference (參考文獻) | Kijima, M. (2000). “Valuation of a Credit Swap of the Basket Type.” Review of Derivatives Research ,4, pp.79–95. | zh_TW |
| dc.relation.reference (參考文獻) | Kijima, M. (2001), “A Gaussian term structure model of credit spreads and valuation of credit spread options.” Kyoto University Economic Review, 70, pp. 13-30. | zh_TW |
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