| dc.contributor.advisor | 胡聯國 | zh_TW |
| dc.contributor.author (Authors) | 胡伯聖 | zh_TW |
| dc.contributor.author (Authors) | Hu, Bo-shen | en_US |
| dc.creator (作者) | 胡伯聖 | zh_TW |
| dc.creator (作者) | Hu, Bo-shen | en_US |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 18-Sep-2009 18:55:01 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 18:55:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 18:55:01 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0090351030 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36587 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 90351030 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | 債券信用風險的規避,一直以來是學者有興趣研究的課題,本篇研究以HJM模型去衡量信用風險, 透過市場資料的輸入,去衡量違約程度,並對信用風險相關之衍生性金融商品作出適當的評價,以求規避信用風險. | zh_TW |
| dc.description.abstract (摘要) | Abstract In this study, we combine credit valuation approaches developed by Jarrow＆Turnbull (1995)、Duffie＆Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as defaultable yield rate and its volatility to measure credit risk, however, because of the close form in our model, the comparative static analysis for parameters can be done. At last, after introducing the survivor probability measure, we can extend to price default related derivatives. | en_US |
| dc.description.tableofcontents | Contents 1 Introduction ~………………………………………………1 1.1 Research Purpose and structure ……………………………………..1 1.2 Bond Market ……………………………………………………………3 2 Credit Risk Related Model ~…………………………….. 4 2.1 Firm Value Model……………………………………………………… 4 2.2 No arbitrage pricing model……………………………………………. 8 2.3 Default Intensity Model…………………………………………………9 2.4 Reduced Form Model…………………………………………………. 11 3 H.J.M. Model For Default Intensity ~……………………13 3.1 Traditional H.J.M (no default risk interest rate)……………………. 13 3.2 H.J.M With Credit Spread……………………………………………. 15 3.3 The Stochastic Process of Bond Price Fluctuation and the Yield Rate with Default Risk ……………………………………………………………16 4 The Introduction and Valuation of Credit Derivatives with HJM model …………………………………………..22 4.1 The Default Protect Put (DPP) ………………………………………..25 4.2 The Credit Default Swap (CDS)……………………………………… 26 4.3 The valuation of Credit Default Swap Contracts under Different Risk Structure ………………………………………………………………28 5 Conclusion 34 Reference 36 Appendix 39 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090351030 | en_US |
| dc.subject (關鍵詞) | Default Risk | en_US |
| dc.subject (關鍵詞) | Credit Derivatives | en_US |
| dc.title (題名) | Default Risk Management of Credit Derivatives with HJM Model | zh_TW |
| dc.type (資料類型) | thesis | en |
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