| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.author (Authors) | 胡修銘 | zh_TW |
| dc.creator (作者) | 胡修銘 | zh_TW |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:03:28 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:03:28 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:03:28 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093352030 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/33998 | - |
| 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) | 93352030 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | 為了使信用衍生性金融商品的評價過程更有效率，並且能使評價程式具有再使用性以及相互溝通的功能，故本文使用「物件導向程式設計」的觀念來進行評價模型的建構。 本文於評價信用風險衍生性商品時，導入物件導向觀念之資料抽象化與程序抽象化的方式，首先建立評價過程中的元件與工具的程式類別，進入評價時即可由類別來建立物件。為了讓各程式物件在評價過程能互相溝通並交換資訊，則必須以繼承或引入C++標頭檔案等方式來建立各類別之間的相互關係。 完成建構物件導向的評價類別模型之後，可以開始宣告商品類別之物件以進行商品的評價。物件導向程式設計在此除了可以將一籃子違約交換契約以及擔保債權憑證的評價方法轉化為程式碼以利評價，亦可藉由「繼承」的物件技術觀念來試著評價更為複雜的CDO Squared；並可以發揮程式的「再使用性」使不同規格的商品的評價過程更為簡便。 | zh_TW |
| dc.description.tableofcontents | 謝辭 4論文摘要 5第一章 緒論 6第一節 研究動機 6第二節 論文架構 8第二章 文獻回顧 11第一節 信用衍生性商品介紹 11第二節 信用風險評價模型 14第三節 信用衍生性商品評價模式 15第三章 研究方法 18第一節 商品評價流程 18第二節 評價模型 23第三節 物件導向程式 26第四節 程式實作 29第四章 研究結果 50第一節 一籃子違約交換契約(BDS)之評價 50第二節 擔保債權憑證（CDO）之評價 54第三節 CDO-Squared之評價 58第五章 論文結論 64第一節 後續研究方向 64第二節 結論 66參考文獻 67 | 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/#G0093352030 | en_US |
| dc.subject (關鍵詞) | 信用風險 | zh_TW |
| dc.subject (關鍵詞) | 物件導向程式 | zh_TW |
| dc.subject (關鍵詞) | 擔保債權憑證 | zh_TW |
| dc.subject (關鍵詞) | probability bucketing | en_US |
| dc.title (題名) | 信用衍生性商品之評價：應用物件導向程式設計 | zh_TW |
| dc.type (資料類型) | thesis | en |
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| dc.relation.reference (參考文獻) | 蔡麗君(2005)，隨機違約強度模型下CDO之評價與分析－Copula方法，國立政治大學金融研究所。 | zh_TW |
