| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 郭銚倫 | zh_TW |
| dc.creator (作者) | 郭銚倫 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:02:56 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:02:56 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:02:56 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093352021 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33994 | - |
| 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) | 93352021 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | CDO經由分券的過程將資產的特有風險與系統性風險予以劃分，主要的目的是讓投資者針對風險承擔的能力購買不同的分券。在信用指數合成型CDO方面，市場實務採用簡化的LPGC(Large Pool Gaussian Copula Model)評價，面對降等與特別事件造成的個別資產違約卻無法有效的評估。本文在LPGC上加入信用評等分組與信用移轉矩陣，以Factor Copula方法建立聯合違約關係，配合高斯積分的數值方法計算出各分券的價格，對於信用評等下降的情況與LPGC做比較，結果顯示分組能夠有效的阻隔資產的特有風險，不會讓其他的資產也受到此資產降等的嚴重影響，因此適當的分組夠使模型對於系統與非系統風險有較佳的反應能力。 | zh_TW |
| dc.description.tableofcontents | 第壹章 緒論 1第一節 前言 1第二節 研究動機與目的 2第貳章 文獻探討 4第一節 擔保債權憑證與相關商品之介紹 4第二節 保護收入與違約給付金額 10第三節 文獻回顧 12第參章 研究方法 16第一節 Factor Copula模型建立違約相關 16第二節 條件機率下多資產之違約機率 25第肆章 實證分析 31第一節 合成型CDO相關參數 31第二節 實證結果 33第伍章 結論與建議 41第一節 結論 41第二節 未來方向與建議 42參考文獻 43附錄 45 表 次表4.1:各分券之信用價差 33表4.2:不同組間相關係數下之分券信用價差 34表4.3:信用評等在各期不變下矩陣 36表4.4:評等分組與LPGM各分券下之信用價差 37表4.5:不同情況下資產分配狀況 38表4.6:評等分組與LPGM前後信用價差改變情況 39 圖 次圖1.1:研究架構圖 3圖2.1:信用違約交換 5圖2.2:Cash CDO發行架構 7圖2.3:Synthetic CDO發行架構 7圖3.1:無人打水之機率分配 27圖3.2:一人後打水之機率分配 28圖3.4:三人後打水之機率分配 29圖4.1:CDO總損失分配(前視) 33圖4.2:CDO總損失分配(後視) 33圖4.3:不同組間相關下第五年之總損失( ) 35圖4.4:不同組間相關下第五年之總損失( ) 35圖4.5:評等分組與LPGM第五年期之總損失 37圖4.6:LPGM在兩情況下第五年的總損失配 39圖4.7:信評分組在兩情況下第五年的總損失配 40 | 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/#G0093352021 | en_US |
| dc.subject (關鍵詞) | 合成型CDO | zh_TW |
| dc.subject (關鍵詞) | 信用評等分組 | zh_TW |
| dc.subject (關鍵詞) | CDO | en_US |
| dc.subject (關鍵詞) | LPGC | en_US |
| dc.title (題名) | 信用評等分組下之合成型CDO評價 | zh_TW |
| dc.type (資料類型) | thesis | en |
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