| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.author (Authors) | 揚濬濂 | zh_TW |
| dc.creator (作者) | 揚濬濂 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:22:53 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:22:53 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:22:53 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0973520261 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49671 | - |
| 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) | 97352026 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 目前市場多以因子聯繫模型（factor copula）作為擔保信用憑證之評價基礎，然而其靜態的性質無法捕捉違約環境之演變，且其對條件獨立的假設經實證資料而遭質疑。本文以Davis and Lo(2001)的違約傳染模型為基礎，傳染是新的一種描述違約相關性的方式，我們將Davis and Lo(2001)的模型作了延伸，改變其違約狀態及傳染形式，讓其應用性更廣，使違約傳染模型能用來評價擔保信用憑證。 | zh_TW |
| dc.description.tableofcontents | 第一章 導論 ...................................................... 4第二章 文獻回顧 .................................................. 6第一節 信用風險模型與違約傳染模型................................................................ 6第二節 DAVIS AND LO的傳染模型 ....................................................................... 9第三章 模型設定 ................................................. 11第一節 模型基本設定.......................................................................................... 11第二節 單期模型.................................................................................................. 13第三節 跨期模型.................................................................................................. 17第四節 模型結合BETA分配 ............................................................................... 19第四章 數值分析 .................................................. 21第一節 違約狀態及傳染型式對違約次數的影響.............................................. 21第二節 模型參數對違約次數的影響.................................................................. 26第三節模型評價合成型的擔保信用憑證 .......................................................... 35第五章 結論 ..................................................... 44附錄 ......................................................... 45參考文獻 ......................................................... 48 | zh_TW |
| dc.format.extent | 1474168 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0973520261 | en_US |
| dc.subject (關鍵詞) | 傳染 | zh_TW |
| dc.subject (關鍵詞) | 違約 | zh_TW |
| dc.subject (關鍵詞) | 信用 | zh_TW |
| dc.title (題名) | 違約傳染模型及其應用 | zh_TW |
| dc.title (題名) | A contagion model of defaults and its applications | en_US |
| dc.type (資料類型) | thesis | en |
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