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題名 基於非齊次卜瓦松過程之動態違約相關性描述及其應用
On The Application of Inhomogeneous Poisson Arrivals in Default Intensity Modelling: Dynamic Default Correlations
作者 張宇賢
貢獻者 江彌修
張宇賢
關鍵詞 非齊次卜瓦松過程
違約關聯性
信用擔保債權
日期 2008
上傳時間 8-Dec-2010 16:17:37 (UTC+8)
摘要 本文假設信用事件為非致命性 (non-fatal)，其發生為外生非齊次卜瓦松過程 (Inhomogeneous Poisson Process)。當信用事件發生時，導致債權群組之標的資產違約機率同時上升，與市場上違約叢聚現象 (clustering effect)相似。本研究允許信用事件發生之頻率為系統及非系統性風險因素，且服從三參數伽瑪分配。進而提供一可校準的動態違約相關性模型，藉由對於信用事件發生頻率與信用事件影響幅度之刻劃，更能與市場報價貼近。本研究並以信用擔保債權為例，驗證本模型於評價及校準上之可行性，並對遠期信用擔保債權進行評價與敏感度分析。根據市場報價校準出之參數可反應目前信用市場上對於債權群組之標的資產間違約關聯性之看法。當模型中之參數變動時，對於違約關聯性之影響，亦可觀察權益分券與其他分券之合理信用價差產生之變化。
參考文獻 Black, Fischer and Cox, John C. (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, Journal of Finance, 31, 351–367.
Brigo, Damiano, Pallavicini, Andrea, and Torresetti, Roberto (2006),“Calibration of CDO tranches with the dynamical generalized-poisson loss model”, Risk, May, 70–75.
Collin-Dufresne, Pierre, Goldstein, Robert, and Helwege, Jean (2003),“Is credit event risk priced? modeling contagion via the updating of beliefs”, Working paper, Haas School, University of California, Berkeley.
Das, Sanjiv R., Duffie, Darrell, Kapadia, Nikunj, and Saita, Leandro(2007), “Common failings: How corporate defaults are correlated”, Journal of Finance, 1, 93–117.
Das, Sanjiv R., Laurence, Freed, Geng, Gary, and Kapadia, Nikunj(2006), “Correlated default risk”, Journal of Fixed Income, 16, 7–32.
Davis, Mark and Lo, Violet (2001), “Infectious default”, Quantitative Finance, 1, 382–387.
Giesecke, Kay (2003), “A simple exponential modell for dependent defaults”, Journal of Fixed Income, 13, 74–83.
Hull, John, Predescu, Mirela, and White, Alan (2005), “The valuation of correlation-dependent credit derivatives using a structural model”, Working Paper, University of Toronto.
Hull, John and White, Alan (2004), “Valuation of a CDO and nth to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12, 8–23.
Hull, John and White, Alan(2006), “Valuing credit derivatives using an implied copula approach”, Journal of Derivatives, 14, 8–28.
Hull, John and White, Alan(2008), “Dynamic model of portfolio credit risk: A simplified approach”, Journal of Derivatives, 15(Summer), 9–28.
Jarrow, Robert A., Lando, David, and Turnbull, Stuart M. (1997), “A Markov model for the term structure of credit risk spreads”, Review of Financial Studies, 10, 481–523.
Jarrow, Robert A. and Turnbull, Stuart M. (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50, 52–96.
Jorion, Philippe and Zhang, Gaiyan (2007), “Good and bad credit contagion: Evidence from credit default swaps”, Journal of Financial Economics, 84, 860–883.
Laurent, Jean-Paul and Gregory, Jon (2005), “Basket default swaps, CDOs and factor copulas”, Working Paper, ISFA Actuarial School, University of Lyon.
Li, David (2000), “On default correlations: a copula approach”, Journal of Fixed Income, 9, 43–54.
Merton, Robert C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, 29, 449–470.
Ruohonen, Matti (1987), “On a model for the claim number process”, Astin Bulletin, 18(1), 57–68.
Servigny, Arnaud de and Renault, Olivier (2002), “Default correlation: Empirical evidence”, Working Paper, Standard and Poor’s.
Vasicek, Oldrich (1987), “Probability of loss on loan portfolio”, Working paper, KMV Corporation.
描述 碩士
國立政治大學
金融研究所
96352032
97
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096352032
資料類型 thesis
dc.contributor.advisor 江彌修zh_TW
dc.contributor.author (Authors) 張宇賢zh_TW
dc.creator (作者) 張宇賢zh_TW
dc.date (日期) 2008en_US
dc.date.accessioned 8-Dec-2010 16:17:37 (UTC+8)-
dc.date.available 8-Dec-2010 16:17:37 (UTC+8)-
dc.date.issued (上傳時間) 8-Dec-2010 16:17:37 (UTC+8)-
dc.identifier (Other Identifiers) G0096352032en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/49667-
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) 96352032zh_TW
dc.description (描述) 97zh_TW
dc.description.abstract (摘要) 本文假設信用事件為非致命性 (non-fatal)，其發生為外生非齊次卜瓦松過程 (Inhomogeneous Poisson Process)。當信用事件發生時，導致債權群組之標的資產違約機率同時上升，與市場上違約叢聚現象 (clustering effect)相似。本研究允許信用事件發生之頻率為系統及非系統性風險因素，且服從三參數伽瑪分配。進而提供一可校準的動態違約相關性模型，藉由對於信用事件發生頻率與信用事件影響幅度之刻劃，更能與市場報價貼近。本研究並以信用擔保債權為例，驗證本模型於評價及校準上之可行性，並對遠期信用擔保債權進行評價與敏感度分析。根據市場報價校準出之參數可反應目前信用市場上對於債權群組之標的資產間違約關聯性之看法。當模型中之參數變動時，對於違約關聯性之影響，亦可觀察權益分券與其他分券之合理信用價差產生之變化。zh_TW
dc.description.tableofcontents 1 前言6
2 文獻回顧10
2.1 信用模型發展.. . . . . . . . . . . . . . . . . . . . 10
2.2 違約相關性. . . . . . . . . . . . . . . . . . . . . 11
2.3 跳躍過程. . . . . . . . . . . . . . . . . . . . . . 13
3 基本假設與模型設定14
3.1 擔保債權憑證之評價模型. . . . . . . . . . . . . . . . 15
3.2 存活機率. . . . . . . . . . . . . . . . . . . . . . 17
3.2.1 信用事件發生之頻率. . . . . . . . . . . . . . . . 19
3.2.2 信用事件影響幅度. . . . . . . . . . . . . . . . . 22
3.3 參數校準. . . . . . . .. . . . . . . . . . . . . . 23
3.3.1 信用事件影響幅度為常數之模型. . . . . . . . . . 23
3.3.2 信用事件影響幅度為信用事件次數函數之模型. . . 25
4 數值結果與分析27
4.1 評價結果. . . . . . . . . . . . . . . . . . . . . 28
4.2 多變數之評價模型. . . . . . . . . . . . . . . . . . 32
4.3 敏感度分析. . . . . . . . . . . . . . . . . . . . . 35
4.3.1 信用事件發生頻率之敏感度分析. . . . . . . . . . 36
4.3.2 跳躍幅度之敏感度分析. . . . . . . . . . . . . . . 38
4.3.3 回復率之敏感度分析. . . . . . . . . . . . . . . . 40
4.4 遠期信用擔保債權. . . . . . . . . . . . . . . . . . 42
4.4.1 遠期信用擔保債權之信用事件發生頻率敏感度分析44
4.4.2 遠期信用擔保債權之信用事件出現次數敏感度分析46
4.4.3 遠期信用擔保債券之回復率敏感度分析. . . . . . 47
5 結論與建議50		zh_TW
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dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096352032en_US
dc.subject (關鍵詞) 非齊次卜瓦松過程zh_TW
dc.subject (關鍵詞) 違約關聯性zh_TW
dc.subject (關鍵詞) 信用擔保債權zh_TW
dc.title (題名) 基於非齊次卜瓦松過程之動態違約相關性描述及其應用zh_TW
dc.title (題名) On The Application of Inhomogeneous Poisson Arrivals in Default Intensity Modelling: Dynamic Default Correlationsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Black, Fischer and Cox, John C. (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, Journal of Finance, 31, 351–367.zh_TW
dc.relation.reference (參考文獻) Brigo, Damiano, Pallavicini, Andrea, and Torresetti, Roberto (2006),“Calibration of CDO tranches with the dynamical generalized-poisson loss model”, Risk, May, 70–75.zh_TW
dc.relation.reference (參考文獻) Collin-Dufresne, Pierre, Goldstein, Robert, and Helwege, Jean (2003),“Is credit event risk priced? modeling contagion via the updating of beliefs”, Working paper, Haas School, University of California, Berkeley.zh_TW
dc.relation.reference (參考文獻) Das, Sanjiv R., Duffie, Darrell, Kapadia, Nikunj, and Saita, Leandro(2007), “Common failings: How corporate defaults are correlated”, Journal of Finance, 1, 93–117.zh_TW
dc.relation.reference (參考文獻) Das, Sanjiv R., Laurence, Freed, Geng, Gary, and Kapadia, Nikunj(2006), “Correlated default risk”, Journal of Fixed Income, 16, 7–32.zh_TW
dc.relation.reference (參考文獻) Davis, Mark and Lo, Violet (2001), “Infectious default”, Quantitative Finance, 1, 382–387.zh_TW
dc.relation.reference (參考文獻) Giesecke, Kay (2003), “A simple exponential modell for dependent defaults”, Journal of Fixed Income, 13, 74–83.zh_TW
dc.relation.reference (參考文獻) Hull, John, Predescu, Mirela, and White, Alan (2005), “The valuation of correlation-dependent credit derivatives using a structural model”, Working Paper, University of Toronto.zh_TW
dc.relation.reference (參考文獻) Hull, John and White, Alan (2004), “Valuation of a CDO and nth to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12, 8–23.zh_TW
dc.relation.reference (參考文獻) Hull, John and White, Alan(2006), “Valuing credit derivatives using an implied copula approach”, Journal of Derivatives, 14, 8–28.zh_TW
dc.relation.reference (參考文獻) Hull, John and White, Alan(2008), “Dynamic model of portfolio credit risk: A simplified approach”, Journal of Derivatives, 15(Summer), 9–28.zh_TW
dc.relation.reference (參考文獻) Jarrow, Robert A., Lando, David, and Turnbull, Stuart M. (1997), “A Markov model for the term structure of credit risk spreads”, Review of Financial Studies, 10, 481–523.zh_TW
dc.relation.reference (參考文獻) Jarrow, Robert A. and Turnbull, Stuart M. (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50, 52–96.zh_TW
dc.relation.reference (參考文獻) Jorion, Philippe and Zhang, Gaiyan (2007), “Good and bad credit contagion: Evidence from credit default swaps”, Journal of Financial Economics, 84, 860–883.zh_TW
dc.relation.reference (參考文獻) Laurent, Jean-Paul and Gregory, Jon (2005), “Basket default swaps, CDOs and factor copulas”, Working Paper, ISFA Actuarial School, University of Lyon.zh_TW
dc.relation.reference (參考文獻) Li, David (2000), “On default correlations: a copula approach”, Journal of Fixed Income, 9, 43–54.zh_TW
dc.relation.reference (參考文獻) Merton, Robert C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, Journal of Finance, 29, 449–470.zh_TW
dc.relation.reference (參考文獻) Ruohonen, Matti (1987), “On a model for the claim number process”, Astin Bulletin, 18(1), 57–68.zh_TW
dc.relation.reference (參考文獻) Servigny, Arnaud de and Renault, Olivier (2002), “Default correlation: Empirical evidence”, Working Paper, Standard and Poor’s.zh_TW
dc.relation.reference (參考文獻) Vasicek, Oldrich (1987), “Probability of loss on loan portfolio”, Working paper, KMV Corporation.zh_TW