| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.author (作者) | 李美儀 | zh_TW |
| dc.creator (作者) | 李美儀 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-九月-2009 19:02:23 (UTC+8) | - |
| dc.date.available | 17-九月-2009 19:02:23 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-九月-2009 19:02:23 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0093352008 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33990 | - |
| 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) | 93352008 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 亞洲金融風暴後，全球各國開始重視信用風險（Credit Risk），是以信用衍生性商品開始蓬勃發展，尤其以抵押擔保債權憑證（Collateralized Debt Obligation, CDO）的市場發展迅速，而我國在2002年7月24日公佈「金融資產證券化條例」後，開始了我國CDO發展的里程碑。首先發行幾檔CLO（Collateralized Loan Obligation），2005年後開始有CBO（Collateralized Bond Obligation）的發行。一般CBO的發行動機是為了套利，然而我國CBO發行卻有著截然不同的背景動機，起源於 2004年下半年國內爆發聯合投信事件，因此金管會與投信業者為積極處理結構債，以發行CBO的方式支應國內嚴重的結構債問題。 是以本文在這樣的時空背景下，首先瞭解CDO的分類、架構與運行機制，然後運用One Factor Gaussian Copula建構出標的資產的違約時點或條件違約機率，而後以蒙地卡羅法和Hull 和White（2004）的「Probability Bucket」法建構CDO的評價模型，最後以「玉山銀行債券資產證券化特殊目的信託2005-1受益證券」作為個案分析，分析此商品的架構與特殊機制，然後以此二種方法評價此商品各分券的合理信用價差，並分析不同參數設定對各分券信用價差的影響。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 4 第三節 研究架構 5第二章 文獻回顧 6 第一節 信用衍生性商品的介紹 6 第二節 研究方法回顧 14 第三節 結論 24第三章 研究方法 25 第一節 存活函數與違約強度 25 第二節 一因子模型與Copula函數 27 第三節 Probability Bucket法 31 第四節 抵押擔保債權憑證的評價 35 第五節 參數估計 41 第六節 結論 45第四章 實證分析 46 第一節 個案商品介紹與分析 46 第二節 資料選取與評價過程 53 第三節 實證結果與分析 61 第四節 敏感度分析 64 第五節 結論 68第五章 結論與建議 70 第一節 結論 70 第二節 未來發展與建議 71參考文獻 72 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093352008 | en_US |
| dc.subject (關鍵詞) | 信用衍生性商品 | zh_TW |
| dc.subject (關鍵詞) | 抵押擔保債權憑證 | zh_TW |
| dc.title (題名) | 信用衍生性商品之擔保債權憑證之評價與分析 | zh_TW |
| dc.type (資料類型) | thesis | en |
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