| dc.contributor.advisor | 江彌修<br>黃俊仁 | zh_TW |
| dc.contributor.advisor | Chiang, Mi Hsiu<br>Huang, Jun Ren | en_US |
| dc.contributor.author (Authors) | 王瑞傑 | zh_TW |
| dc.contributor.author (Authors) | Wang,Ruey Jey | en_US |
| dc.creator (作者) | 王瑞傑 | zh_TW |
| dc.creator (作者) | Wang,Ruey Jey | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:57:03 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:57:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:57:03 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0973520241 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49021 | - |
| 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) | 97352024 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本研究以Das and Sundaram (2004)提出之樹狀模型為基礎， 參考Bandreddi (2007)之延伸，將上述模型用來模擬多資產的聯合違約。此外進一步改善回復率為固定常數之設定，加入Das and Hanouna (2009)對回復率與違約機率間的函數關係，使得回復率為動態，而模型依舊保有可由市場報價進行參數校準之特性，進行擔保債權憑證CDO之敏感度分析與風險分析。 | zh_TW |
| dc.description.tableofcontents | 目次 1 表目錄 3 圖目錄 4 第一章 緒論 5 第一節 研究動機 5 第二節 研究目的 6 第三節 研究架構 8 第二章 文獻回顧 9 第一節 回復率 9 第二節 信用風險評價模型 9 第三節 隨機回復率模型 12 第三章 基本設定與模型假設 13 第一節 具違約風險之樹狀結構 13 第二節 參數校準 16 第三節 模擬聯合違約 17 第四節 ONE-FACTOR GAUSSIAN COPULA 20 第五節 影響回復率的因素 21 第六節 合成型擔保債權憑證評價模型 22 第四章 數值結果 24 第一節 參數校準 24 第二節 累積損失分配 27 第三節 合成型擔保債權憑證(CDO)評價 29 1. 股價波動度之敏感度分析 30 2. 違約強度模型參數之敏感度分析 33 3. 隨機回復率模型參數之敏感度分析 35 4. 違約強度相關性之敏感度分析 37 5. 隨機回復率與固定回復率對信用價差之影響 37 6. 合成型擔保債權憑證之風險分析 41 第五章 結論與建議 50 第一節 結論 50 第二節 後續研究建議 52 參考文獻 53 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0973520241 | en_US |
| dc.subject (關鍵詞) | 擔保債權憑證 | zh_TW |
| dc.subject (關鍵詞) | 樹狀結構 | zh_TW |
| dc.subject (關鍵詞) | Multinomial Trees | en_US |
| dc.subject (關鍵詞) | CDO | en_US |
| dc.title (題名) | 以樹狀結構評價擔保債權憑證：考量隨機回復率 | zh_TW |
| dc.title (題名) | Multinomial trees in the pricing of CDOS with stochastic recovery rates | en_US |
| dc.type (資料類型) | thesis | en |
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