| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.advisor | Chiang, M.H. | en_US |
| dc.contributor.author (Authors) | 鄭如恬 | zh_TW |
| dc.contributor.author (Authors) | Cheng, Ju-tien | en_US |
| dc.creator (作者) | 鄭如恬 | zh_TW |
| dc.creator (作者) | Cheng, Ju-tien | en_US |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:04:35 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:04:35 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:04:35 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094352015 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34005 | - |
| 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) | 94352015 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 近年來，信用衍生性金融商品蓬勃發展，市場上陸續出現不同特色的信用擔保憑證。過去評價信用衍生性金融商品多採用Hull & White (2004)年所發表的因子相關結構型模型(factor copula approach)。由於因子相關模型在描述違約事件，可降低處理維度，使得計算更容易處理，更方便建立出損失分配，讓評價工作更順利進行。但是，降低維度的便利，卻犧牲了違約時點的動態描述，在因子模型中，我們無法掌握損失分配的期間結構，所以只能處理單一到期日的信用衍生性金融商品。 但市場上逐漸出現具有時間相關性的信用金融商品，例如：遠期生效型信用擔保憑證(Forward-starting CDO)、信用擔保憑證分券選擇權(Option on CDO tranches)、重設型信用擔保憑證等。其中遠期生效契約的特色在於，在生效日之前，標的資產若違約，並不構成損失的發生，只會將此商品從投資標的中剔除。故投資人在生效日之前，受到一層信用保護，所以相較於同天到期的信用擔保憑證，會使遠期契約的信用價差會比較低，可降低發行商的成本。在加上近年來，信用曲線出現越來越陡峭的情形，代表到期日相差越長，報酬差異越大，所以投資較長天期的商品，相對報酬提高較多。而次順位分券信用價差近年來下降許多，不少投資人為了達到報酬目標，轉而投資較長天期的信用投資產品。而且信用曲線過於陡峭，投資人預期未來違約環境會呈現平緩或變佳的趨勢，可以透過購買遠期契約，來獲得投資利潤。 由於我們不想放棄因子相關性結構模型在使用上簡便的優勢，所以試圖將跨期相關因子引入因子模型，將期間之間的相關性考慮進去，讓遠期生效信用擔保憑證的評價工作得以運行。除此之外，我們分析各分券對參數的敏感性，並加以探討其中的經濟意涵，最後以討論遠期信用擔保憑證避險的策略作結。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論……………………………………………………………………1 第一節 研究背景………………………………………………………1 第二節 研究動機與目的………………………………………………5 第三節 研究架構………………………………………………………6第二章 文獻探討……………………………………………………………..8 第一節 因子相關結構模型……………………………………………8 第二節 動態違約信用模型………………………………………….10 第三節 遠期生效信用擔保憑證之評價與避險…………………….11第三章 模型設定…………………………………………………………….15 第一節 建構單因子相關性結構模型……………………………….15 第二節 將單因子相關結構模型引入跨期相關因子……………….19 第三節 建構損失分配……………………………………………….22 第四節 評價信用擔保憑證的方法………………………………….25 第五節 信用擔保憑證避險參數…………………………………….27第四章 實證分析…………………………………………………………….28 第一節 商品假設…………………………………………………….28 第二節 遠期信用擔保憑證之評價與風險分析…………………….29 第三節 遠期信用擔保憑證分券之避險…………………………….41第五章 結論與建議………………………………………………………….45 第一節 結論………………………………………………………….45 第二節 後續研究建議……………………………………………….47參考文獻……………………………………………………………………….48 | 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/#G0094352015 | en_US |
| dc.subject (關鍵詞) | 因子相關性結構模型 | zh_TW |
| dc.subject (關鍵詞) | 合成型信用擔保憑證 | zh_TW |
| dc.subject (關鍵詞) | 遠期生效 | zh_TW |
| dc.subject (關鍵詞) | 跨期違約相關性 | zh_TW |
| dc.subject (關鍵詞) | Factor Copula | en_US |
| dc.subject (關鍵詞) | Synthetic CDO | en_US |
| dc.subject (關鍵詞) | Forward Starting | en_US |
| dc.subject (關鍵詞) | Intertemporal Loss Dependence | en_US |
| dc.title (題名) | 遠期生效信用擔保憑證之評價─跨期因子相關性結構模型之運用 | zh_TW |
| dc.title (題名) | Intertemporal Loss Dependence in Factor Models--Pricing of Forward-Starting CDO | en_US |
| dc.type (資料類型) | thesis | en |
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