| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 林晚容 | zh_TW |
| dc.creator (作者) | 林晚容 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 18-Sep-2009 17:23:03 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 17:23:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 17:23:03 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0922580212 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36173 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 92258021 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 銀行承載許多公司借款、各式擔保貸款及各式信用貸款等，使金融機構面臨龐大各式信用風險問題。在新版巴塞爾資本協定針對信用風險之計算方法做了重大修正，其中信用衍生性商品已具有信用風險抵減之功能。故本研究將針對一籃子信用標的針對信用結構式商品中具有量身訂作的單一分券信用違約交換與單一分券擔保債權憑進行更深入之研究並使用加入Vasicek Model特例Ornstein-Uhlenbeck process表示違約強度之隨機動態過程利用類似風險性債券之概念求得出封閉解以替代存活函數，來為簡化起見在無風險利率假設為一固定常數使用Copula方法評價單一分券信用違約交換與單一分券擔保債權憑。 在數值模擬部分，本篇利用實際市場資料建構出一合成單一分券擔保債權憑證產品，先針對違約動態模型與Copula函數之相關參數以實際市場資料做計與校正，再以評價公式以計算出合理信用價差，其結果可知當Copula函數越能描繪具有信用違約相關之信用違約事件，則當發生信用標的資產先後違約聚集情形會越高，以本研究實際產品資料特性而言Clayton Copula最能表現出違維聚集之情形，但在反應在第一次發生違約的權益分券上反而沒有其他兩種Copula函數用蒙地卡羅法所模擬出之違約次數高反而更低，做所求出來的信用價差也相對來的低，反而在反應違約聚集部分的先償違約交換具有較高信用價差。而在VaR值之衡量上可能因信用標的資產比較少，並沒有明顯之差異。 | zh_TW |
| dc.description.tableofcontents | 摘要 第壹章 緒論………………………………………………………………………..…1 第一節 研究動機與目的…………………………………………………..1 第二節 研究架構………………………………………………..…..……..5 第貳章 文獻探討……………………………………..………………………………6 第一節 信用違約交換與單一分券擔保債權憑證之介紹……..………....6 第二節 信用衍生性商品信用風險抵減之探討………………..………..14 第三節 信用風險模型之文獻探討……………..……………………..…16 第四節 Copula方法論…………………………..………………………..19 第參章 評價模型建立............…………………………..…………………………..27 第一節 相關性違約時點模型之建立……..……………………………..27 第二節 單一分券信用違約交換與單一分券擔保債權憑證之評價……30 第肆章 實證分析…..………………………..………………………………………33 第一節 合成單一分券擔保債券產品架構………………………………34 第二節 合成單一分券擔保債券參數估計與評價分析…..……………..37 第伍章 結論與建議…..………..………..………..………..………..………………42 第一節 結論…..………..………..…………………………..………..…..42 第二節 未來研究建議…..………..………..………..………..…………..43 參考文獻…..………..………..………..………..………………....………..………..44 附錄……………………………………………………………………………….….46 表 次 表2.1：單一分券擔保債權憑證範例………………………………………………..12 表2.2：信用風險的衡量方法之比較表…………………………………………….14 表4.1：信用標的資產組合之債務發行相關資料………………………………….34 表4.2：違約動態模型參數估計表…………………………………..……………..38 表4.3：Normal copula相關係數參數估計-CML法……………………………..39 表4.4：Student’s t copula相關係數參數估計-CML法…………………………..39 表4.5︰各Copula函數之信用價差表……………………………....……………..40 附表1：Gaussian Copula累積損失統計量表……………………………………..47 附表2：Student’s t Copula累積損失統計量表…………………………………..48 附表3：Clayton Copula累積損失統計量表……………………………….……..49 圖 次 圖1.1：全球信用衍生性商品交易量(不包含資產交換)……………………………1 圖1.2：全球信用衍生性商品種類之交易比重(2003)………………….....................2 圖1.3：研究架構圖……………………………………………………………………5 圖2.1：信用違約交換之結構圖………………………………………………………6 圖2.2：一籃子信用違約交換之結構圖………………………………………………7 圖2.3：單一分券信用違約交換結構圖………………………………………………8 圖2.4：單一分券信用違約交換各分券結構圖………………………………………9 圖2.5：一般傳統CDO之結構圖…………………………………………………….11 圖2.6：單一分券擔保債權憑證之結構圖…………………………………………..11 圖2.7：合成型單一分券擔保債權憑證之結構圖………………………………….13 圖4.1：發行合成單一分券擔保債權憑證之結構圖………………………………. 33 附圖1：Student’s t copula之概似(Log-likelihood)函數-CML法………………46 附圖2：Clayton copula之概似(Log-likelihood)函數-CML法……….…………46 附圖3：Gaussian Copula累積損失分配次數圖.. ……….…………………….…47 附圖４：Student’s t Copula累積損失次數圖. ……….………….…………….…48 附圖5：Clayton Copula累積損失次數圖…….………….…………………….…49 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0922580212 | en_US |
| dc.subject (關鍵詞) | 單一分券信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 單一分券擔保憑證 | zh_TW |
| dc.subject (關鍵詞) | 信用違約動態模型 | zh_TW |
| dc.subject (關鍵詞) | Copula理論 | zh_TW |
| dc.subject (關鍵詞) | CDO | en_US |
| dc.subject (關鍵詞) | CDS | en_US |
| dc.subject (關鍵詞) | credit derivatives | en_US |
| dc.subject (關鍵詞) | credit risk | en_US |
| dc.title (題名) | 單一分券違約信用交換與單一分券擔保債權憑證之評價－Copula方法 | zh_TW |
| dc.type (資料類型) | thesis | en |
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