| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.author (Authors) | 邵惠敏 | zh_TW |
| dc.contributor.author (Authors) | Shao, Hui Min | en_US |
| dc.creator (作者) | 邵惠敏 | zh_TW |
| dc.creator (作者) | Shao, Hui Min | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:56:52 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:56:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:56:52 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097352007 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49006 | - |
| 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) | 97352007 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本文主要研究動態回復率之建構。並搭配使用機率勺斗法，將資產之離散損失分配建構出合成型擔保債權憑證分劵損失分配。歸納出離散動態回復率對合成型擔保憑證分劵之風險承擔與信用價差變化。本文發現在動態回復率中，即使在相同條件下有一樣預期損失，能使其債權群組損失分配之標準差較固定回復率小，且可使投資組合巨額損失部份產生厚尾分配現象。動態回復率對各分劵面臨共同存活與違約機率具有緩和或增強分劵承擔風險之作用。在單因子高斯連繫結構靜態違約下，透過隨機回復率能增加動態系統性風險因子之描繪。類似於將系統風險因子分配由標準常態分配改成t分配或是債權群組間違約相關係提高。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 4第二章 文獻探討 7第一節 回復率介紹 7第二節 文獻回顧 10第三章 基本假設與模型設定 15第一節 合成型擔保債權憑證評價模型 15第二節 因子連繫模型(Factor Copula) 17第三節 Krekel 動態回復率模型 18第四節 Charaf 動態回復率模型 21第五節 機率勺斗法 27第四章 數值結果與分析 30第一節 回復率敏感度分析 31第二節 違約機率與違約條件下損失之關係 33第三節 債權群組累積損失分配 37第四節 動態回復率下各分劵風險特徵 45第五節 動態回復率對違約相關性之影響 51第六節 動態回復率對分劵系統風險之影響 55第五章 結論 58 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352007 | en_US |
| dc.subject (關鍵詞) | 動態回復率 | zh_TW |
| dc.subject (關鍵詞) | 合成型擔保債權憑證 | zh_TW |
| dc.subject (關鍵詞) | 損失分配 | zh_TW |
| dc.subject (關鍵詞) | 系統性風險 | zh_TW |
| dc.subject (關鍵詞) | dynamic recovery rate | en_US |
| dc.subject (關鍵詞) | CDO | en_US |
| dc.subject (關鍵詞) | loss distribution | en_US |
| dc.subject (關鍵詞) | systematic risk | en_US |
| dc.title (題名) | 離散型動態回復率模型之建構與應用 | zh_TW |
| dc.title (題名) | Discrete dynamic recovery rate modeling and its application | en_US |
| dc.type (資料類型) | thesis | en |
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