| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.author (Authors) | 陳文萱 | zh_TW |
| dc.contributor.author (Authors) | Chen,Wen Hsuan | en_US |
| dc.creator (作者) | 陳文萱 | zh_TW |
| dc.creator (作者) | Chen,Wen Hsuan | en_US |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:36:31 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:36:31 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:36:31 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0943520051 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31250 | - |
| 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) | 94352005 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 這篇論文主要利用信用價差的時間結構與信用投資組合的損失分配評價擔保債權憑證選擇權。利用跨期因子相關結構性模型找到信用價差的動態過程及損失分配跨期相關性。這篇論文也探討了擔保債權憑證選擇權的風險值。最後，我們發現遠期生效擔保債權憑證與其選擇權對跨期損失相關性有高度敏感性。 | zh_TW |
| dc.description.abstract (摘要) | This article tries to find the term-structure of credit spread and portfolio loss distribution to price an option on CDO tranche. Our solution is based on a multiple period of factor copula model proposed by Andersen to fit the dynamic credit spread process by considering inter-temporal loss correlations through time. We also extend the model of valuing European options on CDO tranches presented by Hull and White and discuss the Greeks of the option formula. We numerically test the dependence of forward-starting CDOs on the correlation of loss across time. With the results, we price the options on CDO tranches. Finally, we find forward-starting CDOs and options on CDO tranches can have strong sensitivity to inter-temporal loss correlation. | en_US |
| dc.description.tableofcontents | Chapter 1: Introduction 1 1.1. Research Motivation 1 1.2. Organization of the paper 3 Chapter 2: Literature Review 5 2.1. Credit Risk Model 5 2.2. Factor Copula Model 6 2.3. Dynamic Model of Credit Spread 8 Chapter 3: Model Setting Methodology 12 3.1. The valuation of options on CDO tranches 12 3.2. Review of CDO Tranche Valuation 14 3.3. The valuation of FCDO 19 3.4. Term-Structures of Loss Distributions 20 3.5. Greeks of options on CDO tranches 22 Chapter 4: Numerical Results 25 4.1. The term-structure of CDOs spread 25 4.2. Forward-Starting CDO Tranche Valuation 27 4.3. Options on CDO Tranches 29 4.4. Sensitivity Analysis of Inter-temporal correlations and Factor Loading 31 4.5. Greeks 42 Chapter 5: Conclusion 44 Reference 47 Appendix 49 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0943520051 | en_US |
| dc.subject (關鍵詞) | 擔保債權憑證選擇權 | zh_TW |
| dc.subject (關鍵詞) | 跨期因子相關結構性模型 | zh_TW |
| dc.subject (關鍵詞) | CDO | en_US |
| dc.subject (關鍵詞) | Options on CDO tranches | en_US |
| dc.subject (關鍵詞) | Correlation Term structure | en_US |
| dc.title (題名) | 擔保債權憑證選擇權之評價與避險：跨期因子相關結構性模型之運用 | zh_TW |
| dc.title (題名) | On the pricing and risk characteristics of options on CDO tranches | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Albanese, C, O Chen and A Dalessandro, 2005, “Dynamic Credit Correlation Modeling”, http://www.defaultrisk.com/pp corr 80.htm | zh_TW |
| dc.relation.reference (參考文獻) | Ameur, H. B., Brigo, D., and Errais, E. 2006, “A Dynamic Programming Approach for Pricing CDS and CDS Options”, http://www.defaultrisk.com/pp_crdrv108.htm | zh_TW |
| dc.relation.reference (參考文獻) | Andersen, Leif, September 2006, “Portfolio Losses in Factor Models: Term Structures and Intertemporal Loss Dependence”, http://www.defaultrisk.com/pp model144.htm | zh_TW |
| dc.relation.reference (參考文獻) | Bennani, N, 2005, “The Forward Loss Model: A Dynamic Term Structure Approach for the Pricing of Portfolio Credit Derivatives”, http://www.defaultrisk.com/ppcrdrv 95.htm | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J and A White, 2006a, “Forwards and European Options on CDO Tranches”, http://www.defaultrisk.com/pp cdo 06.htm | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J and A White, 2006b, “Dynamic Models of Portfolio Credit Risk: A Simplified Approach”, http://www.defaultrisk.com/pp model152.htm | zh_TW |
| dc.relation.reference (參考文獻) | Jackson, Ken and Wanhe Zhang, February 2007, “Valuation of Forward Starting CDOs”, http://www.defaultrisk.com/pp cdo 15.htm | zh_TW |
| dc.relation.reference (參考文獻) | Li, D.X. 2000, “On Default Correlation: A copula Function Approach”, Working Paper, the RiskMetrics Group. | zh_TW |
| dc.relation.reference (參考文獻) | Schonbucher P. J.(2005), “Portfolio Losses and the Term Structure of Losses Transition Rates: A New Methodology For the Pricing of Portfolio Credit Derivatives”, Working Paper, Department of Mathematics, ETH Ziirich. | zh_TW |
| dc.relation.reference (參考文獻) | Sidenius, J, V Piterbarg, and L Andersen, November 2005, “A New Framework for Dynamic Credit Portfolio Loss Modelling”, defaultrisk.com/pp model 83.htm | zh_TW |
| dc.relation.reference (參考文獻) | Sidenius, Jakob, 2006, “On the Term Structure of Loss Distributions – a Forward Model Approach”, http://www.defaultrisk.com/pp model151.htm | zh_TW |
| dc.relation.reference (參考文獻) | Walker, Michael, 2005, “CDO Models – Towards the Next Generation: Incomplete Markets and Term Structure”, http://www.physics.utoronto.ca/˜qocmp/nextGenDefaultrisk.pdf | zh_TW |
| dc.relation.reference (參考文獻) | Walker, Michael B., 2006, “CDO Valuation: Term Structure, Tranche Structure, and Loss Distributions”, http://www.physics.utoronto.ca/˜qocmp/walkerfinance.php | zh_TW |
