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題名 固定期信用違約交換之評價與避險分析
作者 陳俊豪
貢獻者 廖四郎
陳俊豪
關鍵詞 固定期信用違約交換
信用違約交換
信用衍生信商品
信用風險
Constant Maturity Credit Default Swap
Credit Default Swap
credit derivative
LIBOR market model
credit risk
日期 2006
上傳時間 14-Sep-2009 09:36:25 (UTC+8)
摘要 固定期信用違約交換(Constant Maturity Credit Default Swap)是移轉固定年期信用違約交換信用價差(CDS Spread)變動風險的信用衍生性金融商品,目前僅Brigo(2005)以及Krekel and Wenzel(2006)探討固定期信用違約交換的評價,也各自推導出近似封閉解,但對於相關參數之估計以及避險參數並沒有涉及,因此本研究將利用歷史資料估計Krekel and Wenzel(2006)評價公式中的參數,讓評價模型更加完備,並求算避險參數,提供發行商與投資人避險資訊。
      本文利用目前信用違約交換(Credit Default Swap)市場中各到期日流動性較高的美國Eastman Kodak Company公司債作為標的物,發行一檔固定期信用違約交換,並利用現有市場資訊估計模型中的參數。在避險實證上,本文利用標的物債券信用價差曲線的變動,對固定期信用違約交換契約價值以及五年期及十年期信用違約交換契約價值的影響,建構了一個避險投資組合,使得避險後總投資組合價值波動減少。
Constant Maturity Credit Default Swap (CMCDS) is one of the credit derivatives, whose function is to circumvent the fluctuating risk of CDS Spread. Brigo (2005) and Krekel and Wenzel (2006) focused on not only probing into the evaluation of the CMCDS but also deriving the approximated closed-form solution in their recent research separately. However, they seldom concern the hedging approach and the estimated parameters of pricing model, which could be major variable in the measurement. This paper is aiming to calculate the history data of hazard rate to estimate the parameters by using the formula from Krekel and Wenzel (2006) and compute the hedging approach of the pricing model to make it become more complete and provide the hedging information for both financial institutions and investors.
     By using the corporation bond of Eastman Kodak Company which with higher liquidity and various maturity as the main reference asset to issue a CMCDS and utilizing the current available market data to estimate the parameters of the pricing model to evaluate the value of the product, I find that the various credit spread curve of reference bond will influence the value of CDS and CMCDS and try to structure a hedging portfolio to eliminate the fluctuation of the product.
參考文獻 [1] Brigo, D., and F. Mercurio, “Interest Models: Theory and Practice.” Springer-Verlag, 2001
[2] Brigo, D., “Constant maturity credit default swap pricing with market models.” Working paper, 2005
[3] Calamaro, J. P., and T. Nassar, “CMCDS:The path to floating credit spread products.” Deutsche Bank Global Markets Reserch, 2004
[4] Hull, J. C. and A. White, “The valuation of credit default swap options.” Working paper, 2003
[5] Krekel, M., and J. Wenzel, “ A unified approach to credit default swaption and constant maturity credit default swap valuation.” Working paper, 2006
[6] Pedersen, M. J., and S. Sen, “Valuation of constant maturity default swaps.” Lehman Brothers Quantitative Credit Research Quarterly, pp. 42–58, 2004
[7] Schönbucher, P. J., “A LIBOR market model with default risk.” Working paper, 2000
[8] Schönbucher, P. J., “A note on survival measures and the pricing of options on credit default swaps .” Working paper, 2003
[9] Schönbucher, P. J., “A measure of survival.” Risk, pp. 79–85, 2004
[10] Whetten, M., and W. Jin, “Constant maturity CDS(CMCDS) –A Guide.”
NOMURA Fixed Income Research, 2005
描述 碩士
國立政治大學
金融研究所
94352003
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0943520031
資料類型 thesis
dc.contributor.advisor 廖四郎zh_TW
dc.contributor.author (Authors) 陳俊豪zh_TW
dc.creator (作者) 陳俊豪zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 14-Sep-2009 09:36:25 (UTC+8)-
dc.date.available 14-Sep-2009 09:36:25 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:36:25 (UTC+8)-
dc.identifier (Other Identifiers) G0943520031en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31249-
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) 94352003zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) 固定期信用違約交換(Constant Maturity Credit Default Swap)是移轉固定年期信用違約交換信用價差(CDS Spread)變動風險的信用衍生性金融商品,目前僅Brigo(2005)以及Krekel and Wenzel(2006)探討固定期信用違約交換的評價,也各自推導出近似封閉解,但對於相關參數之估計以及避險參數並沒有涉及,因此本研究將利用歷史資料估計Krekel and Wenzel(2006)評價公式中的參數,讓評價模型更加完備,並求算避險參數,提供發行商與投資人避險資訊。
      本文利用目前信用違約交換(Credit Default Swap)市場中各到期日流動性較高的美國Eastman Kodak Company公司債作為標的物,發行一檔固定期信用違約交換,並利用現有市場資訊估計模型中的參數。在避險實證上,本文利用標的物債券信用價差曲線的變動,對固定期信用違約交換契約價值以及五年期及十年期信用違約交換契約價值的影響,建構了一個避險投資組合,使得避險後總投資組合價值波動減少。
zh_TW
dc.description.abstract (摘要) Constant Maturity Credit Default Swap (CMCDS) is one of the credit derivatives, whose function is to circumvent the fluctuating risk of CDS Spread. Brigo (2005) and Krekel and Wenzel (2006) focused on not only probing into the evaluation of the CMCDS but also deriving the approximated closed-form solution in their recent research separately. However, they seldom concern the hedging approach and the estimated parameters of pricing model, which could be major variable in the measurement. This paper is aiming to calculate the history data of hazard rate to estimate the parameters by using the formula from Krekel and Wenzel (2006) and compute the hedging approach of the pricing model to make it become more complete and provide the hedging information for both financial institutions and investors.
     By using the corporation bond of Eastman Kodak Company which with higher liquidity and various maturity as the main reference asset to issue a CMCDS and utilizing the current available market data to estimate the parameters of the pricing model to evaluate the value of the product, I find that the various credit spread curve of reference bond will influence the value of CDS and CMCDS and try to structure a hedging portfolio to eliminate the fluctuation of the product.
en_US
dc.description.tableofcontents 第一章 緒論 1
     1.1 研究動機 1
     1.2 研究目的 2
     1.3 固定期信用違約交換商品結構概念之介紹 3
     1.4 研究架構 7
     第二章 文獻探討 9
     2.1 信用風險模型 9
     2.2 固定期信用違約交換評價模型 10
     第三章 模型設定 16
     3.1 建構有違約風險LIBOR市場模型 16
     3.2 固定期信用違約交換之評價 22
     3.3 固定期信用違約交換之避險分析 26
     第四章 實證分析 32
     4.1 固定期信用違約交換契約說明 32
     4.2 建構期初無風險零息債券曲線 33
     4.3 建構期初遠期違約強度 35
     4.4 估計參數 39
     4.5 商品評價 40
     4.6 避險分析 42
     4.7 敏感度分析 49
     第五章 結論與建議 52
     5.1 研究結論 52
     5.2 後續研究建議 52
     參考文獻 53
     附錄A 54
     附錄B 54
     附錄C 55
     附錄D 56
     附錄E 57
     
     
     
     
     
     圖目錄
     圖1-1 全球信用衍生性商品交易金額 1
     圖1-2 信用違約交換契約商品結構 3
     圖1-3 信用違約交換契約現金流量 4
     圖1-4 固定期信用違約交換契約現金流量 5
     圖1-5 本研究流程圖 8
     圖3-1 固定期信用違約交換契約之溢酬端現金流量 27
     圖4-1 交換利率曲線 34
     圖4-2 無風險零息債券曲線 35
     圖4-3 有違約風險零息債券曲線 38
     圖4-4 期初遠期違約強度 38
     圖4-5 遠期違約強度標準差 40
     圖4-6 CMCDS相對於各到期日CDS之避險參數(Delta) 42
     圖4-7 標的債券之信用價差曲線 44
     圖4-8 信用價差曲線平行移動對CMCDS及CDS價值的影響 50
     圖4-9 信用價差曲線斜率改變對CMCDS及CDS價值的影響 51
     
     
     表目錄
     表1-1 固定期信用違約交換溢酬端之信用價差 6
     表1-2 信用違約交換信用價差改變對契約買賣雙方的影響 7
     表2-1 Brigo(2005)以及Schönbucher(2000)兩種評價模型之比較 11
     表4-1 固定期信用違約交換契約說明 32
     表4-2 LIBOR Rate市場報價 33
     表4-3 交換利率市場報價 34
     表4-4 CDS Spread市場報價 36
     表4-5 實證結果 41
     表4-6 CMCDS相對於各到期日CDS之避險參數(Delta) 43
     表4-7 信用價差曲線平行變動對CMCDS及CDS價值的影響 45
     表4-8 信用價差曲線斜率改變對CMCDS及CDS價值的影響 45
     表4-9 信用價差曲線平行變動時各種避險比率下總投資組合之標準差 46
     表4-10 信用價差曲線斜率改變時各種避險比率下的總投資組合之標準差 47
     表4-11 信用價差曲線平行移動對CMCDS及避險後總投資組合價值的變動 48
     表4-12 信用價差曲線斜率改變對CMCDS及避險後總投資組合價值的變動 48
     表4-13 CMCDS避險前後之比較 49
     表4-14 CDS和CMCDS之比較 51
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0943520031en_US
dc.subject (關鍵詞) 固定期信用違約交換zh_TW
dc.subject (關鍵詞) 信用違約交換zh_TW
dc.subject (關鍵詞) 信用衍生信商品zh_TW
dc.subject (關鍵詞) 信用風險zh_TW
dc.subject (關鍵詞) Constant Maturity Credit Default Swapen_US
dc.subject (關鍵詞) Credit Default Swapen_US
dc.subject (關鍵詞) credit derivativeen_US
dc.subject (關鍵詞) LIBOR market modelen_US
dc.subject (關鍵詞) credit risken_US
dc.title (題名) 固定期信用違約交換之評價與避險分析zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) [1] Brigo, D., and F. Mercurio, “Interest Models: Theory and Practice.” Springer-Verlag, 2001zh_TW
dc.relation.reference (參考文獻) [2] Brigo, D., “Constant maturity credit default swap pricing with market models.” Working paper, 2005zh_TW
dc.relation.reference (參考文獻) [3] Calamaro, J. P., and T. Nassar, “CMCDS:The path to floating credit spread products.” Deutsche Bank Global Markets Reserch, 2004zh_TW
dc.relation.reference (參考文獻) [4] Hull, J. C. and A. White, “The valuation of credit default swap options.” Working paper, 2003zh_TW
dc.relation.reference (參考文獻) [5] Krekel, M., and J. Wenzel, “ A unified approach to credit default swaption and constant maturity credit default swap valuation.” Working paper, 2006zh_TW
dc.relation.reference (參考文獻) [6] Pedersen, M. J., and S. Sen, “Valuation of constant maturity default swaps.” Lehman Brothers Quantitative Credit Research Quarterly, pp. 42–58, 2004zh_TW
dc.relation.reference (參考文獻) [7] Schönbucher, P. J., “A LIBOR market model with default risk.” Working paper, 2000zh_TW
dc.relation.reference (參考文獻) [8] Schönbucher, P. J., “A note on survival measures and the pricing of options on credit default swaps .” Working paper, 2003zh_TW
dc.relation.reference (參考文獻) [9] Schönbucher, P. J., “A measure of survival.” Risk, pp. 79–85, 2004zh_TW
dc.relation.reference (參考文獻) [10] Whetten, M., and W. Jin, “Constant maturity CDS(CMCDS) –A Guide.”zh_TW
dc.relation.reference (參考文獻) NOMURA Fixed Income Research, 2005zh_TW