| dc.contributor.advisor | 陳松男<br>顏錫銘 | zh_TW |
| dc.contributor.author (Authors) | 李弘道 | zh_TW |
| dc.creator (作者) | 李弘道 | zh_TW |
| dc.date (日期) | 2001 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:19:14 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:19:14 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:19:14 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G91NCCU2892012 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36700 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 89357019 | zh_TW |
| dc.description (描述) | 90 | zh_TW |
| dc.description.abstract (摘要) | 本文建立了當違約機率及回收率為隨機變動，同時信用等級移動有記憶性，且回收率和無風險利率期間結構相關之信用風險價差期間結構模型。並評價信用價差選擇權及有對手違約風險普通選擇權之價值。 此模型產生的信用價差有更多的變化性，將可描述：信用價差的隨機波動行為，且即使信用等級沒變，價差仍可能發生改變；信用價差與無風險利率期間結構有相關性；公司特定或證券特定的價差及其變動行為；處於等級上升或下降趨勢公司債券之殖利率曲線，能更準確配適有風險債券的價格等實際現象。 並可應用至有對手違約風險之商品及多種信用衍生性商品等的評價與避險，且可進行風險管理方面的應用。 關鍵詞：信用風險；信用風險價差；馬可夫模型；信用衍生性商品 | zh_TW |
| dc.description.abstract (摘要) | In this thesis we develop a credit migration model with memory for the term structure of credit risk spreads. Our model incorporates stochastic default probability, stochastic recovery rate, and the correlation between the recovery rate and the term structure of risk-free interest rates. We derive valuation formulae for a credit spread option and a plain vanilla option with counterparty risk. This model provides greater variability in credit spreads, and it has properties in line with what have been observed in practice: (1) credit spreads show diffusion-like behavior even though the credit rating of the firm has not changed; (2) the model injects correlation between spreads and the term structure of interest rates; (3) the model enables firm-specific and security-specific variability of spreads to be accommodated; and (4) the model enables us to estimate the yield curves corresponding to the positive and negative trends of credit ratings and match the observed risky bond prices more precisely. This model is useful for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging credit derivatives, and for risk management. Key Words: Credit Risk, Credit Risk Spread, Markov Model, Credit Derivative. | en_US |
| dc.description.tableofcontents | 第壹章 緒論-----1 第一節 研究動機-----1 第二節 研究目的-----2 第三節 研究架構-----3第貳章 文獻探討-----5 (一) Jarrow, Lando and Turnbull(1997)-----5 (二) Kijima and Komoribayashi(1998)-----6 (三) Das and Tufano(1996)-----7 (四) Kodera(2001)-----8第參章 基本模型(Basic Model)-----10 第一節 符號定義與基本假設-----10 第二節 信用等級推移機率-----12 第三節 信用價差模型（情況一）-----16 第四節 信用價差選擇權評價（情況一）-----23 第五節 信用價差模型（情況二）-----27 第六節 信用價差選擇權評價（情況二）-----30第肆章 擴展模型(Extended Model)-----34 第一節 信用價差模型-----34 第二節 信用價差選擇權評價-----37第伍章 有記憶性模型 (Model with Memory)-----41 第一節 符號定義與基本假設-----41 第二節 信用等級推移機率-----44 第三節 信用價差模型-----50 第四節 有記憶性信用價差模型解釋-----53 第五節 信用價差選擇權評價-----56 第六節 有對手違約風險之選擇權評價-----59第陸章 結論-----62參考文獻-----64 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G91NCCU2892012 | en_US |
| dc.subject (關鍵詞) | 信用風險 | zh_TW |
| dc.subject (關鍵詞) | 信用風險價差 | zh_TW |
| dc.subject (關鍵詞) | 馬可夫模型 | zh_TW |
| dc.subject (關鍵詞) | 信用衍生性商品 | zh_TW |
| dc.subject (關鍵詞) | Credit risk | en_US |
| dc.subject (關鍵詞) | Credit risk spread | en_US |
| dc.subject (關鍵詞) | Markov model | en_US |
| dc.subject (關鍵詞) | Credit derivative | en_US |
| dc.title (題名) | 有記憶性信用價差期間結構模型 | zh_TW |
| dc.type (資料類型) | thesis | en |
