| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 林明宗 | zh_TW |
| dc.creator (作者) | 林明宗 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:02:05 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:02:05 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:02:05 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093352006 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33988 | - |
| 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) | 93352006 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 信用衍生性商品（credit derivatives）是用於移轉信用風險之契約，契約是由保護買方（protection buyer）與保護賣方（protection seller）所簽定，由保護買方支付保險金（可為躉繳或分期支付）以獲得信用的保護，而保護賣方則需在律定之信用事件發生時支付償金予保護買方做為補償。近年來頻傳金融事件，巴塞爾銀行監理委員會（Basel Committee on Banking Supervision）也不得不制定新版的巴塞爾協定以要求銀行強化信用風險控制與分散，而信用衍生性商品亦有助於信用風險的移轉與抵減的功能。本篇針對利用conditional Markov chain來建構信用違約交換與第n次信用違約交換之評價模型，並利用模擬的方式來求算出各商品之利差。藉由現實中的資料取得參數的估計值放入模型內則可以模擬出各種不同的狀況，進而做出避險的策略。此外，本篇亦探討如何利用Gibbs sampler來改良conditional Markov chain的模擬方法，以模擬當信用衍生性商品中的資產組合有傳染效果的情況。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 第一節 研究動機與目的 第二節 研究架構第二章 文獻探討 第一節 信用違約交換與第N次信用違約交換之介紹 第二節 文獻探討第三章 評價模型建立 第一節 馬可夫鏈定義與性質 第二節 CDS與NTDS評價模型建立第四章 數值分析 第一節 建構Conditional Markov Chain 第二節 參數設定 第三節 模擬結果第五章 結論與建議 第一節 結論 第二節 未來研究建議參考文獻附錄 | zh_TW |
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| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093352006 | en_US |
| dc.subject (關鍵詞) | 信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 第n次信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 馬可夫鏈 | zh_TW |
| dc.subject (關鍵詞) | CDS | en_US |
| dc.subject (關鍵詞) | credit default swap | en_US |
| dc.subject (關鍵詞) | NTDS | en_US |
| dc.subject (關鍵詞) | n-to-default swaps | en_US |
| dc.subject (關鍵詞) | Markov chain | en_US |
| dc.subject (關鍵詞) | Markov Chain Monte Carlo | en_US |
| dc.subject (關鍵詞) | conditional Markov chain | en_US |
| dc.subject (關鍵詞) | Gibbs sampler | en_US |
| dc.title (題名) | 信用衍生性商品評價-馬可夫鏈模型 | zh_TW |
| dc.type (資料類型) | thesis | en |
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