| dc.contributor.advisor | 廖四郎<br>呂桔誠 | zh_TW |
| dc.contributor.author (Authors) | 蔡麗君 | zh_TW |
| dc.creator (作者) | 蔡麗君 | zh_TW |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 18-Sep-2009 19:21:38 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 19:21:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 19:21:38 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0923520121 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36717 | - |
| 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) | 92352012 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 資產證券化一詞源自1970年代，而第一筆資產基礎證券的發行則始於1986 年。由於其具有自資本市場直接融資、降低籌資成本、分散籌資來源、提高資本適足率等誘因之下，逐漸受到銀行以及其他企業的重視，並發展成為固定收益證券市場中比重相當大的一環。擔保債權證券交易自1988年出現在美國，然後在歐美迅速發展，目前已成為重要債券市場之一。台灣金融產業發展正值轉型期，銀行除面對低利率帶來經營壓力之外，同時亦需規避評等較差之企業貸款的信用風險，而保險業者在低利率時代來臨卻無良好報酬之投資標的可供投資。因此，此環境乃為推動證券化之良好契機。自1997年發生東南亞金融危機，乃至1998年韓國的亞洲金融危機，造成許多跨國企業紛紛裁員、關廠、甚至倒閉，造成一連串的金融危機連鎖效應。因此，公司間或產業間之榮枯是相互關聯的，且均會受總體經濟因素所影響。是以，近年來信用風險亦成為近年來財務領域上重要議題。理論或實證上，當多個標的資產之信用衍生性商品被加以開發，並用來管理信用風險的時候，需考慮多個標的資產間的違約相關性，方能準確地衡量信用風險。故在信用風險管理與信用衍生性商品的評價中，違約相關性的估計與考量顯得格外重要。結構式或縮減式模型在發展違約相關性的多變數模型中是困難的，因為其衍生性商品價值的理論推導繁複或其數值計算是相當費時。本研究是假設隨機違約強度模式下，並在多標的資產之信用風險評價模型中，透過適當個別資產之邊際違約機率與Copula函數之選擇，及其相關參數之估算，即可快速求算具違約相關性之多變數聯合機率函數，以利擔保債權證券(CDO)之評價，並模擬出未來可能損失分配，進行主次順位架構下不同分券比例的敏感度分析，以瞭解不同的次順位劃分比例對於各順位分券風險值的影響程度為何。另外，隨著國內目前證券化腳步的發展，在未來證券化商品勢必成為市場上的主流商品之一，將來可供證券化的資產種類勢必也會增加。因此，為了提高投資人對於不同資產種類的投資信心，以方便發行人對於證券化商品的銷售，信用增強機制在證券化中所佔的地位也將更形重要。在這樣的情況下，評估標的資產可能的違約損失，以決定信用增強的比例該為多少，對於發行人而言也將會是一項重要的課題。因此本文針對Copula方法與分析架構做一剖析，再以國內第一檔公募之擔保債權證券－法國里昂信貸銀行企業貸款為例，進行模擬實證並分析結果。本研究結論如下：在信用風險管理與信用衍生性商品評價中，違約相關性是ㄧ個重要的因子。此外，本研究發現違約回收率、標的資產間的相關係數以及違約機率等三者均會影響分券信用價差的評價：就權益分券而言，信用價差與相關係數是呈反比的，而次償分券表現出來也與權益分券大致相同，相對於權益分券與次償分券，先償分券之信用價差則與債權群組內標的資產間的相關係數則是呈正比的。實證結果亦顯示，承購風險性較高的分券其估算出的合理的風險溢酬也較高，此外，當違約回收率愈高時，債務人違約後的損失愈低，因此發行者需給予證券投資人的合理風險溢酬也愈低。另外，債務人的信用評等高低影響違約機率的大小，其亦是影響CDO商品合理溢酬高低的主要關鍵。再者，假使忽略債務人之間的違約相關性時，則各分券所估算出來的合理溢酬均會有所偏誤。因此，此結果隱含，評價CDO商品之合理溢酬時，需考慮債權群組內資產間的違約相關性，亦即投資人所面對風險除分券本身的信用風險外，還需考慮到債權人違約相關之風險，違約相關性愈高則投資者所面對的風險也較高。另外，介於先償分券與權益分券之間的次償債之信用價差，其信用價差大小大致上約介於先償分券與權益分券之間，而預期損失金額則是受到各順位分券比例大小不同，而有所差異。因此，將再進行主次順位架構下不同分券比例的敏感度分析，結果顯示若次順位債權分券（即權益分券）比例愈高，愈有信用增強之作用。最後，若將本研究所估算出來分券的合理溢酬與實際CDO契約所載明計算出的結果相比較，其間差異並不大。因此本研究所建構的評價模型應能提供發行者與市場投資人一個評價基礎，不失為一種可行方法。 | zh_TW |
| dc.description.tableofcontents | 目次謝辭..............................................................................................................................Ι摘要..............................................................................................................................Ⅱ第一章 緒論………………………………………………………………………..…1第一節 研究動機…………………………………………………………..1第二節 研究目的…………………………………………………………10第三節 研究架構………………………………………………..………..11第二章 文獻探討……………………………………..……………………………..13第一節 信用風險評價模型………………..……………………………..13第二節 擔保債權證券之評價模式…………………………..…………..17第三節 Copula方法論…………………………..……………………..…24第四節 參考文獻總結…………………………..………………………..30第三章 研究方法與模型設定…………………………..…………………………..33第一節 擔保債權證券評價模式之建立…..……………………………..33第二節 Copula數值模擬步驟…..………..………………………………40第四章 實證分析…..………………………..………………………………………47第一節 個案分析－國內首檔公募法國里昂信貸銀行企業貸款證券…48第二節 擔保債權證券評價數值解…..…………………………………..55第三節 契約條款改變對擔保債權證券價值之敏感度分析…..………..62第五章 結論與建議…..………..………..………..………..………..………………71第一節 結論…..………..………..…………………………..………..…..71第二節 未來研究建議…..………..………..………..………..…………..72參考文獻…..………..………..………..………..………..………..…………………73圖目次圖1.1 美國境內近年ABS主要組成、流通在外餘額及比例………………………2圖1.2 美國境內CDOs流通在外總額及各佔ABS之比例………………..…………3圖1.3 擔保債權證券(CDO)類型分類……………………………………..…………6圖1.4 擔保債權證券之架構圖………………………………...…………..…………7圖1.5 擔保債權證券之現金流量瀑布…………………………………….....………8圖1.6 合成型CDO之架構圖……………………………...…………..…………….10圖1.7 研究架構圖…………………………...…………..…………………….…….12圖 4.1 擔保債權證券法國里昂信貸銀行企業貸款之產品架構…..………..…….48圖 4.2 實證分析架構流程…..…………………………………………….…..……54圖 4.3 華航歷史股價報酬率日資料……………………………………….….…56圖 4.4 權益分券信用價差之敏感度分析………………………………….….…62圖 4.5 次償分券信用價差之敏感度分析………………………………….….…62圖 4.6 先償分券信用價差之敏感度分析………………………………….….…63表目次表1.1 台灣已核准的金融資產證券化商品一覽表…………………………….……4表2.1 信用風險評價模型之比較…..………..………..………..…………………...30表4.1 擔保債權證券法國里昂信貸銀行企業貸款之產品詳細資訊…..………….49表4.2 法國里昂信貸銀行企業擔保貸款標的債權明細表..……..………………...50表4.3 TCRI評等對照表…..…..……………………………………………………...52表4.4 法國里昂信貸銀行企業貸款債權信用評等及參數設定一覽表…..…..…...52表4.5 估計GARCH(1,1)參數和標準誤(Std error)………….………………………55表4.6 Empirical Kendall’s τ之相關係數矩陣…..……...……………...………..57表4.7 法國里昂信貸銀行所公佈之溢酬（單位：%/年）…..……………………58表4.8 分券之信用價差…..………..………..………..……………………………..60表4.9 損失函數的統計量…..………..……………………………………………..61 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0923520121 | en_US |
| dc.subject (關鍵詞) | 資產擔保證券化 | zh_TW |
| dc.subject (關鍵詞) | 擔保債權證券 | zh_TW |
| dc.subject (關鍵詞) | 分券 | zh_TW |
| dc.subject (關鍵詞) | ABS | en_US |
| dc.subject (關鍵詞) | CDO | en_US |
| dc.subject (關鍵詞) | Tranches | en_US |
| dc.subject (關鍵詞) | Copula | en_US |
| dc.title (題名) | 隨機違約強度模型下CDO之評價與分析－Copula方法 | zh_TW |
| dc.type (資料類型) | thesis | en |
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