dc.contributor.advisor | 江彌修 | zh_TW |
dc.contributor.author (Authors) | 謝伊婷 | zh_TW |
dc.contributor.author (Authors) | Hsieh, Yi-Ting | en_US |
dc.creator (作者) | 謝伊婷 | zh_TW |
dc.creator (作者) | Hsieh, Yi-Ting | en_US |
dc.date (日期) | 2007 | en_US |
dc.date.accessioned | 8-Dec-2010 16:21:12 (UTC+8) | - |
dc.date.available | 8-Dec-2010 16:21:12 (UTC+8) | - |
dc.date.issued (上傳時間) | 8-Dec-2010 16:21:12 (UTC+8) | - |
dc.identifier (Other Identifiers) | G0953520231 | en_US |
dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49670 | - |
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) | 95352023 | zh_TW |
dc.description (描述) | 96 | zh_TW |
dc.description.abstract (摘要) | 以往投資人認為透過『附加保護層』的保護機制,損失不易流通至主擔保債權憑證,潛在損失較低;又因包含龐大之標的債權,投資人也認為該投資風險分散程度較高,風險暴露程度較低。然而,2007年7月發生次級房貸風暴,導致複合型保護層信用擔保債權憑證各分券投資人產生鉅額損失,方了解於保護層的面紗之下,隱含了不為人知的風險。 因此,本研究目的發展合成型複合型保護層信用擔保債權憑證之評價模型,以雙層信用擔保債權為例,『由下而上』依序建構標的債權群組,至主擔保債權憑證之總損失機率分配;並透過直觀的考慮所有損失的可能組合,使估計之合理信用價差更為精確,不僅解決以往評價雙層擔保債權憑證的維度限制,計算子分券數目為二以上的情形,更能將此模型推廣至所有複合型保護層信用擔保債權憑證之評價,適合實務應用。 除此之外,本研究亦希望透過實務界常用之風險衡量指標,揭開保護層之厚重面紗,探討複合型保護層信用擔保債權憑證所隱含之風險,提供投資人參考。透過與一般信用擔保債權憑證之風險特性,探討『附加保護層』機制是否真能提升風險分散程度,抑或反而有損失累積的效果。最後,本研究也藉由風險衡量指標,分析資產重疊程度由低至高時,對對雙層信用擔保債權憑證風險的影響,了解風險是否會隨其資產重疊度增加而增加。 | zh_TW |
dc.description.tableofcontents | 第一章 緒論......................................1 第一節 研究動機與目的...........................1 第二節 複合型保護層信用擔保債權憑證之商品架構......3 第三節 研究架構................................6第二章 文獻探討..................................7 第一節 信用風險模型.............................7 第二節 一般信用擔保債權憑證評價模型..............11 第三節 複合型保護層信用擔保債權憑證評價模型.......12第三章 評價模型設定與風險衡量指標..................13 第一節 評價模型設定............................13 第二節 風險衡量指標............................21第四章 數值分析與結果............................25 第一節 複合型保護層信用擔保債權憑證評價結果.......25 第二節 複合型保護層信用擔保債權憑證風險分析.......33第五章 結論與建議................................56 第一節 結論...................................56 第二節 未來研究建議............................58參考文獻.......................................59 | 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/#G0953520231 | en_US |
dc.subject (關鍵詞) | 信用擔保債權憑證 | zh_TW |
dc.subject (關鍵詞) | 高斯單因子繫聯結構模型 | zh_TW |
dc.subject (關鍵詞) | 機率杓斗法則 | zh_TW |
dc.subject (關鍵詞) | 避險比例 | zh_TW |
dc.subject (關鍵詞) | 違約價值 | zh_TW |
dc.title (題名) | 複合型保護層信用擔保債權憑證之評價與風險分析:機率杓斗法則之延伸 | zh_TW |
dc.title (題名) | On the valuation and risk characteristic of synthetic CDOs with compound protection layers: extending probability bucketing algrithm | en_US |
dc.type (資料類型) | thesis | en |
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dc.relation.reference (參考文獻) | Sklar, A., 1959, “Fonctions de Repartition a n Dimensions et leurs Marges”, Publ. Inst. Stat. Univ, Paris, 8, 229-231. | zh_TW |
dc.relation.reference (參考文獻) | Zhou, C., 2001, “The Term Structure of Credit Spreads with Jump Risk”, Journal of Banking & Finance, 25, 2015-2040. | zh_TW |