| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.author (Authors) | 陳嘉祺 | zh_TW |
| dc.creator (作者) | 陳嘉祺 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 17-Sep-2009 19:07:33 (UTC+8) | - |
| dc.date.available | 17-Sep-2009 19:07:33 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Sep-2009 19:07:33 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0933520111 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34025 | - |
| 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) | 93352011 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 本文的主旨在評價二次擔保債權憑證。在條件獨立機率的假設下，我們使用factor copula的方法去刻劃違約事件間的相關係數，並提供了一個有效率的迴圈演算法去建構損失分配。本方法同時考慮違約數目及違約位置，同時亦可解決重疊性的問題。本文所建構的是Hull and White(2004)的延申模型。我們也對各參數作敏感度分析，以求得其對分券價差的影響。文中亦主張一些風險衝量指標，以量化重疊性的程度等風險議題。 | zh_TW |
| dc.description.abstract (摘要) | In this paper we address the pricing issues of CDO of CDOs. Underlying the conditional indepdence assumption we use the factor copula approach to characterize the correlation of defaults events. We provide an efficient recursive algorithm that constructs the loss distribution. Our algorithm accounts for the number of defaults, the location of defaults among inner CDOs, and in addition the degree of overlapping between inner CDOs. Our algorithm is a natural extension of the probability bucketing method of Hull and White (2004). We analyze the sensitivity of different parameters on the tranche spreads of a CDO-squared, and in order to characterize the risk-reward profiles of CDO-squared tranches, we introduces appropriate risk measures that quantify the degree of overlapping among the inner CDOs.Hull and White (2004) presents a recursive scheme known as probability bucketing approach to construct conditional loss distribution of CDO. However, this approach is insufficient to capture the complexities of CDO².In the case of the modeling of CDO, we are concerned for the probabilities of different number of defaults upon a time horizon t, e.g., the probabilities of 3 defaults happened within a year. With the mentioned probabilities, we can then calculate the expected loss within the time horizon, which enables us to figure out the spreads of CDO.However, in the modeling of CDO², an appropriate valuation should be able to overcome two more difficulties: (1) the overlapping structure of the underlying CDOs, and (2) the location where defaults happened, in order to get the fair spreads of CDO². | en_US |
| dc.description.tableofcontents | 1 Introduction-------------------------------------------p.32 Literature Review--------------------------------------p.63 Model Assumptions and Specifications-------------------p.73.1 Default Correlation3.2 Model Notations and Assumptions3.3 Model Specifications4 Risk Measure------------------------------------------p.114.1 Overlapping Risk and Concentration Factor4.2 Expected and Unexpected Loss Ratios and Leverages5 Numerical Results-------------------------------------p.145.1 The Structure of the numerical CDO25.2 Sensitivity Analysis on Credit Spreads of Underlying CDS5.3 Sensitivity Analysis on Factor Loading5.4 Sensitivity Analysis on Concentration Factor5.5 Sensitivity Analysis on Expected and Unexpected Loss Ratios and Leverages6 Conclusion--------------------------------------------p.307 References--------------------------------------------p.32 | 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/#G0933520111 | en_US |
| dc.subject (關鍵詞) | 擔保債權憑證 | zh_TW |
| dc.subject (關鍵詞) | 二次擔保債權憑證 | zh_TW |
| dc.subject (關鍵詞) | 條件機率獨立模型 | zh_TW |
| dc.subject (關鍵詞) | 信用衍生性商品 | zh_TW |
| dc.subject (關鍵詞) | 評價 | zh_TW |
| dc.subject (關鍵詞) | 風險衡量 | zh_TW |
| dc.subject (關鍵詞) | CDO-Squared | en_US |
| dc.subject (關鍵詞) | CDO^2 | en_US |
| dc.subject (關鍵詞) | Factor Copula | en_US |
| dc.subject (關鍵詞) | Semi-Analytic Approach | en_US |
| dc.subject (關鍵詞) | Credit Derivative | en_US |
| dc.subject (關鍵詞) | Conditonal Independence | en_US |
| dc.title (題名) | 二次擔保債權憑證之評價及其風險衡量－條件機率獨立模型 | zh_TW |
| dc.title (題名) | The Valuation and Risk Measure of CDO-Squared under Conditional Independence | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Andersen, L., J. Sidenius, and S. Basu (2003), "All your hedges in one basket", Risk magazine, November 2003. | zh_TW |
| dc.relation.reference (參考文獻) | Gibson, M.S. (2004), "Understanding the Risk of Synthetic CDOs", Working paper, Trading Risk Analysis Section, Division of Research and Statistics, Federal Reserve Board. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J. and A. White (2004), "Valuation of a CDO and an n-th to Default CDS without Monte Carlo Simulation", Journal of Derivatives 12, 2; 8-23. | zh_TW |
| dc.relation.reference (參考文獻) | Laurent, J.P. and J. Gregory (2003), "Basket Default Swaps, CDOs and Factor Copula", working paper, ISFA Actuarial School, University of Lyon. | zh_TW |
| dc.relation.reference (參考文獻) | Li, D.X. (2000), "On default correlation: a copula approach", Journal of Fixed Income, 9(3), 43-54. | zh_TW |
| dc.relation.reference (參考文獻) | Marmery, N. (2005), "The pricing puzzle", US credit magazine April 2005. | zh_TW |
| dc.relation.reference (參考文獻) | Neugebauer, M. (2004), "Analysis of Synthetic CDOs of CDOs", Global CDO Criteria Report, Structured Finance, Fitch Ratings. | zh_TW |
| dc.relation.reference (參考文獻) | Richard Bruyere (2006) Credit derivatives and structured credit-A guide for investors, Wiley Finance. | zh_TW |
| dc.relation.reference (參考文獻) | Whetten M. (2005), "CDOs-Squared Demystified", Nomura Fixed Income Research February 2005. | zh_TW |
