| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (作者) | 陳俊豪 | zh_TW |
| dc.creator (作者) | 陳俊豪 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 14-九月-2009 09:36:25 (UTC+8) | - |
| dc.date.available | 14-九月-2009 09:36:25 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-九月-2009 09:36:25 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0943520031 | en_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) | 94352003 | zh_TW |
| dc.description (描述) | 95 | zh_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/#G0943520031 | en_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 Swap | en_US |
| dc.subject (關鍵詞) | Credit Default Swap | en_US |
| dc.subject (關鍵詞) | credit derivative | en_US |
| dc.subject (關鍵詞) | LIBOR market model | en_US |
| dc.subject (關鍵詞) | credit risk | en_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) | thesis | en |
| dc.relation.reference (參考文獻) | [1] Brigo, D., and F. Mercurio, “Interest Models: Theory and Practice.” Springer-Verlag, 2001 | zh_TW |
| dc.relation.reference (參考文獻) | [2] Brigo, D., “Constant maturity credit default swap pricing with market models.” Working paper, 2005 | zh_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, 2004 | zh_TW |
| dc.relation.reference (參考文獻) | [4] Hull, J. C. and A. White, “The valuation of credit default swap options.” Working paper, 2003 | zh_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, 2006 | zh_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, 2004 | zh_TW |
| dc.relation.reference (參考文獻) | [7] Schönbucher, P. J., “A LIBOR market model with default risk.” Working paper, 2000 | zh_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, 2003 | zh_TW |
| dc.relation.reference (參考文獻) | [9] Schönbucher, P. J., “A measure of survival.” Risk, pp. 79–85, 2004 | zh_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, 2005 | zh_TW |
