| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.advisor | Chiang, Mi Hsiu | en_US |
| dc.contributor.author (Authors) | 李慎 | zh_TW |
| dc.contributor.author (Authors) | Li, Shen | en_US |
| dc.creator (作者) | 李慎 | zh_TW |
| dc.creator (作者) | Li, Shen | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:57:00 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:57:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:57:00 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097352029 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49017 | - |
| 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) | 97352029 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本研究以Amraoui & Hitier (2008)隨機回復率模型(BNP model)以及Andersen and Sidenius(2004)隨機風險因子承載係數模型(RFL model)為基礎，進行對分劵信用價差、債劵群組累積損失機率分配，以及對基準違約相關係數的影響等分析。我們發現當回復率改成動態後可以反映更多系統風險，權益分劵信用價差絕大多數都會下降。在累積損失機率分配方面加入BNP後變為較平滑；改用RFL則會使機率分配在小額損失處又產生一次起伏；同時考量BNP與RFL會使小額損失發生機率減少、極端損失機率增加。實作三組市場資料時，發現不管市場違約機率高或低，共同考慮BNP與RFL的模型在四個模型中是最適合擬和市價的，顯示在市價的校準上有更多彈性，特別是在承擔名目本金60~100%先償分劵的校準上只有共同考慮BNP與RFL的模型能發揮功效。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 6 第二章 文獻回顧 9 第三章 基本假設與模型設定 13 第一節 合成型擔保債權憑證的評價模型 13 第二節 建構資產群組損失機率分配 15 第三節 隨機回復率 16 第四節 隨機風險因子承載係數 20 第五節 共同考慮隨機回復率與隨機風險因子承載係數 22 第四章 數值結果與分析 24 第一節 合成型擔保債權之評價 24 第二節 評價與分析市場資料 33 第五章 結論與建議 49 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352029 | en_US |
| dc.subject (關鍵詞) | 回復率 | zh_TW |
| dc.subject (關鍵詞) | 風險因子承載係數 | zh_TW |
| dc.subject (關鍵詞) | 基準違約相關係數 | zh_TW |
| dc.subject (關鍵詞) | 擔保債權憑證 | zh_TW |
| dc.subject (關鍵詞) | 隨機回復率 | zh_TW |
| dc.subject (關鍵詞) | 隱含違約相關係數 | zh_TW |
| dc.subject (關鍵詞) | 權益分券 | zh_TW |
| dc.subject (關鍵詞) | 先償分劵 | zh_TW |
| dc.subject (關鍵詞) | 信用價差 | zh_TW |
| dc.subject (關鍵詞) | 校準 | zh_TW |
| dc.subject (關鍵詞) | CDO | en_US |
| dc.subject (關鍵詞) | recovery rate | en_US |
| dc.subject (關鍵詞) | random factor loading | en_US |
| dc.subject (關鍵詞) | base correlation | en_US |
| dc.subject (關鍵詞) | credit spread | en_US |
| dc.subject (關鍵詞) | equity tranche | en_US |
| dc.subject (關鍵詞) | senior tranche | en_US |
| dc.subject (關鍵詞) | implied correlation | en_US |
| dc.subject (關鍵詞) | BNP | en_US |
| dc.subject (關鍵詞) | super senior tranche | en_US |
| dc.title (題名) | 考量隨機回復率與風險因子承載係數之CDO評價模型 | zh_TW |
| dc.title (題名) | Pricing CDO with random recovery rate and random factor loading | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 1.Altman, E., A. Resti and A. Sironi, 2004, “Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence”, Economic Notes by Banca Monte dei Paschi di Seina SpA. Pp. 183-208. | zh_TW |
| dc.relation.reference (參考文獻) | 2.Ahluwalia, R. and L. McGinty, 2004, “A Model for Base Correlation Calculation”, JPMorgan, Credit Derivatives Strategy. | zh_TW |
| dc.relation.reference (參考文獻) | 3.Andersen, L. and J. Sidenius, 2004, “Extensions of the Gaussian Copula: Random Recovery and Random Factor Loadings”, The Journal of Gredit Risk, 1(1), pp. 29-70. | zh_TW |
| dc.relation.reference (參考文獻) | 4.Amaroui, S. and S. Hitier, 2008, “Optimal Stochastic Recovery for Base Correlation”. BNP Paribas, June 2008. | zh_TW |
| dc.relation.reference (參考文獻) | 5.Amraoui, S. , L. Cousot , S. Hitier and J. Laurent , 2009 “Pricing CDOs with State Dependent Stochastic Recovery Rates” , working paper. | zh_TW |
| dc.relation.reference (參考文獻) | 6.Bennani, N. , J. Maetz , 2009 ”A Spot stochastic Recovery Extension of the Gaussian Copula” , Munich Personal RePEc Archive. | zh_TW |
| dc.relation.reference (參考文獻) | 7.Ech-Chatbi C., 2008, “CDS and CDO Pricing with Stochastic Recovery” , working paper. | zh_TW |
| dc.relation.reference (參考文獻) | 8.Gaspar, R. M. and I. Slinko , 2007, “ On Recovery and Intensity’s correlation - A new class of credit risk models.” , working paper. | zh_TW |
| dc.relation.reference (參考文獻) | 9.Hull, J. and A. White, 2004, ”Valuation of a CDO and Nth to Default CDS without Monte Carlo Simulation”, Journal of Derivatives, 12(2) (Winter), pp. 8-23. | zh_TW |
| dc.relation.reference (參考文獻) | 10.Krekel, M., 2008, “Pricing distressed CDOs with Base Correlation and Stochastic Recovery”, UniCredit Markets & Investment Banking. | zh_TW |
| dc.relation.reference (參考文獻) | 11.Kakodkar, A., (ed.) 2009, “Coping with The Copula”, Merrill Lynch. | zh_TW |
| dc.relation.reference (參考文獻) | 12.Li, D. X., 2000, “On Default Correlations: a Copula Function Approach”, Journal of Fixed Incom, 9, pp. 43-54. | zh_TW |
| dc.relation.reference (參考文獻) | 13.Lamedica, P. , 2008 ,” The Bermuda Triangle of Super Senior Risk, Structured Credit Strategy” , working paper. | zh_TW |
| dc.relation.reference (參考文獻) | 14.O’Kane, D. and M. Livesey, 2004, “Base Correlation Explained”, Lehman Brothers Quantitative Credit Research Quarterly Report. | zh_TW |
| dc.relation.reference (參考文獻) | 15.Prampolini, A. and M. Dinnis, 2009, “CDO Mapping with Stochastic Recovery”, HSH Nordbank AG. | zh_TW |
| dc.relation.reference (參考文獻) | 16.Torresetti, R. , D. Brigo and A. Pallavicini ,2006, ”Implied correlation in CDO tranches：a Paradigm to be handled with care” , working paper. | zh_TW |
| dc.relation.reference (參考文獻) | 17.Yan,X. , 2008 , “Modelling the Dynamic Relationship between Systematic Default and Recovery Risk” , Quantitative Finance Imperial College Business School ,October 2008. | zh_TW |
| dc.relation.reference (參考文獻) | 18.林恩平，條件獨立假設下合成型擔保債群憑證之評價與避險，台灣財務金融學會，2009 | zh_TW |
| dc.relation.reference (參考文獻) | 19.張立民，合成型擔保債權憑證之評價—考量異質分配與隨機風險因子承載係數，政治大學，2007 | zh_TW |
