dc.contributor.advisor | 江彌修 | zh_TW |
dc.contributor.author (Authors) | 李蕙君 | zh_TW |
dc.creator (作者) | 李蕙君 | zh_TW |
dc.date (日期) | 2006 | en_US |
dc.date.accessioned | 18-Sep-2009 20:16:23 (UTC+8) | - |
dc.date.available | 18-Sep-2009 20:16:23 (UTC+8) | - |
dc.date.issued (上傳時間) | 18-Sep-2009 20:16:23 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0093352020 | en_US |
dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36955 | - |
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) | 93352020 | zh_TW |
dc.description (描述) | 95 | zh_TW |
dc.description.abstract (摘要) | 雙層擔保債權憑證(CDO-squared)是目前全球資產證券化商品市場相當熱門之商品,回顧國內對信用風險之研究,極少有相關文獻或研究被提出。本研究乃以合成型雙層擔保債權憑證(synthetic CDO-squared)為主體,試圖以一套毋須進行蒙地卡羅模擬之半解析式評價模型為基礎,目的旨在探討雙層擔保債權憑證具有高投資收益的背後,所隱含之風險程度為何?廣泛探索各種不同分券(tranches)之風險特徵,透過比較分析使各個分券間之相互關係能環環相扣,進而對此商品之風險/報酬特性有全面性之瞭解並規劃合適避險策略。本研究在違約事件為條件式獨立的假設下,運用遞迴法則(recursive algorithm)及一個多維超立方體結構(hyper-cube)建構出雙層擔保債權憑證之損失分配,並以求得之評價模型為風險分析之基礎,得到下列發現與避險涵義:(1)雙層擔保債權憑證雖然標榜具有雙重的信用違約保護且能達到更大程度的投資組合分散,同時兼顧利潤與風險的平衡,但實際上卻是高槓桿程度的商品。(2)名目本金數額及分券信用評等之揭露無法反映分券風險本質,市場參與者需要仔細區分風險金額移轉數目與內含風險移轉程度之差異。(3)應用delta避險策略可以規避分券所面臨之市場風險,而使避險組合價值不受標的資產市場價差波動之影響,繼而經由避險成本之求算,可適當選用數個單一信用違約交換(single name CDS)或信用違約交換指數來進行有效之避險。 | zh_TW |
dc.description.tableofcontents | 第壹章 緒論 1第一節 研究動機與目的 1第二節 研究架構 2第貳章 文獻探討 3第一節 雙層擔保債權憑證之介紹 3第二節 文獻回顧 7第參章 基本假設與模型設定 13第一節 合成型雙層擔保債權憑證之評價模型 13第二節 合成型雙層擔保債權憑證之風險分析 22第肆章 數值結果與分析 27第一節 合成型雙層擔保債權憑證之評價 27第二節 合成型雙層擔保債權憑證之風險分析 36第三節 合成型雙層擔保債權憑證之敏感度分析 44第伍章 結論與建議 51第一節 結論 51第二節 未來研究建議 52參考文獻 53 | 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/#G0093352020 | en_US |
dc.subject (關鍵詞) | 信用衍生性商品 | zh_TW |
dc.subject (關鍵詞) | 信用風險 | zh_TW |
dc.subject (關鍵詞) | 合成型雙層擔保債權憑證 | zh_TW |
dc.subject (關鍵詞) | 分券避險比例 | zh_TW |
dc.title (題名) | 雙重保護之羅網-雙層擔保債權憑證之評價與避險 | zh_TW |
dc.type (資料類型) | thesis | en |
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