| dc.contributor.advisor | 江彌修 | zh_TW |
| dc.contributor.advisor | Chiang, Mi Hsiu | en_US |
| dc.contributor.author (Authors) | 王聖元 | zh_TW |
| dc.contributor.author (Authors) | Wang , Sheng Yuan | en_US |
| dc.creator (作者) | 王聖元 | zh_TW |
| dc.creator (作者) | Wang , Sheng Yuan | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 29-Sep-2011 16:50:38 (UTC+8) | - |
| dc.date.available | 29-Sep-2011 16:50:38 (UTC+8) | - |
| dc.date.issued (上傳時間) | 29-Sep-2011 16:50:38 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0098352023 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/50851 | - |
| 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) | 98352023 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 信用衍生性商品在市場上交易漸趨熱絡，創新速度更是一日千里，市場上琳琅滿目的信用衍生性商品，投資人要如何審慎客觀評估風險後再檢視自身能承擔的風險後投資，諸如此類的議題在近幾年備受關注。尤其在2007金融海嘯之後，所有信用衍生性產品也無一倖免，信用評等公司對信用衍生性產品的評價，也備受挑戰，因此，辨識風險以及驅避風險在後金融海嘯時期，已是一刻不容緩之待解決問題。固定比例債務債券(Constant Proportion Debt Obligations; CPDO)亦是金融海嘯前一年所發明的創新信用衍生性商品，由於其高收益特性以及強調極低投資風險，吸引了許多投資人爭相購買，但金融海嘯時期，也是付之一炬。為了使投資人更了解此商品的風險，本研究運用在跳躍擴散模型假設下，存在封閉解的雙出場障礙式選擇權複製此商品的風險因子，並且為了描述此商品具有動態調整槓桿的時間相依(Time Dependent)性質，加入了蒙地卡羅模擬法，捕捉任意時點上，投資人面臨的風險，將風險因子拆解選擇權後，也更能讓投資人能以投資選擇權的知識運用到此商品來操作。最後，為了使投資人趨避諸如金融海嘯時期的風險，本研究也用選擇權的Delta 避險策略，替商品虛擬一現貨市場，並模擬出其避險之績效。 | zh_TW |
| dc.description.abstract (摘要) | The increasing trading volumes and innovative structures of credit derivatives have attracted great academic attention in the quantification and analysis of their complex risk characteristics. The pricing and hedging issues of complex credit structuers after the 2009 financial crisis are especially vital, and they present great challegens to both the academic community and industry practitioners. Constant Proportion Debt Obligations (CPDOs) are one of the new credit-innovations that claim to provide risk-adverse investors with fixed-income cash flows and minimal risk-bearing, yet the cash-outs events of such products during the crisis unfolded risk characteristics that had been unseen to investors. This research focuses on the pricing risk quantification, and dynamic hedging issues of CPDOs under a Levy jump diffusion setting. Based on decomposing the product`s risk structure, we derive explicit closed-form solutions in the form of time-dependent double digital knock-out barrier options. This enables us to explore, in terms of the associated hedging greeks, the embeded risk characteristics of CPDOs and propose feasible delta-netral strategies that are feasible to hedge such products. Numerical simulations are subsequently performed to provide benchmark measures for the proposed hedging strategies. | en_US |
| dc.description.tableofcontents | 第壹章 緒論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1第一節 研究動機與目的…………………………………………1第二節 研究架構 …..…………………………………………….3第貳章 信用風險文獻探討. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .4第參章 基本假設與模型設定 . . . . . . . . . . . . . . . . . . . . . . . . . . .10第一節 固定比例債務債券評價模型 ………………………...10第二節 固定比例債務債券的風險衡量指標 ………………….15第三節 固定比例債務債券避險模型 ...………………………..16第肆章 數值結果與分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .18第一節 固定比例債務債券評價分析….….……………………18第二節 固定比例債務債券風險分析…………………………..21第三節 固定比例債務債券避險分析…………………………..34第伍章 結論與建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .37第一節 結論 ..…………………………………………………...37第二節 未來研究建議…………………………………………..38參考文獻 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .40附錄一 期望損失之拆解推導過程. . . . . . . . . . . . . . . . . . . . . . . .42附錄二 風險因子推導過程. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .45III圖目錄圖1.1 研究架構圖……………………………………………………………………3圖4.1固定比例債務擔保憑證現金流………………………………………………19圖4.2情境一資產淨值路徑…………………………………………………………20圖4.3情境二資產淨值路徑………………………………………………………....20圖4.4情境三資產淨值路徑…………………………………………………………21圖4.5情境一資產負債缺口路徑……………………………………………………23圖4.6情境一之選擇權價值…………………………………………………………23圖4.7情境一選擇權之delta因子…………………………………………………..24圖4.8情境一選擇權之vega因子…………………………………………………..25圖4.9情境一選擇權之theta因子…………………………………………………..25圖4.10情境二資產負債缺口路徑………………………………………………….26圖4.11情境二之選擇權價值……………………………………………………….26圖4.12情境二選擇權之delta因子…………………………………………………27圖4.13情境二選擇權之vega因子…………………………………………………28圖4.14情境二選擇權之theta因子…………………………………………………28圖4.15情境三資產負債缺口路徑………………………………………………….28圖4.16情境三之選擇權價值……………………………………………………….29圖4.17情境三選擇權之delta因子………………………………………………...29圖4.18情境三選擇權之vega因子…………………………………………………30圖4.19情境三選擇權之theta因子………………………………………………....30IV表目錄表4.1不同情境下的增額等候時間…………………………………………………31表4.2不同情境下的達成負債目標比率……………………………………………32表4.3不同情境下的平均資產淨損失率……………………………………………33表4.4不同情境下每週動態避險後的增額等候時間………………………………34表4.5不同情境下每週動態避險後的達成負債目標比率…………………………34表4.6不同情境下每週動態避險後的平均資產淨損失率…………………………35表4.7不同情境下每半年動態避險後的增額等候時間……………………………35表4.8 不同情境下每半年動態避險後的達成負債目標比率……………………..36表4.9不同情境下每半年動態避險後的平均資產淨損失率………………………36 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0098352023 | en_US |
| dc.subject (關鍵詞) | 信用衍生性商品 | zh_TW |
| dc.subject (關鍵詞) | 固定比例債務債券 | zh_TW |
| dc.subject (關鍵詞) | 跳躍擴散模型 | zh_TW |
| dc.subject (關鍵詞) | 信用風險 | zh_TW |
| dc.subject (關鍵詞) | 蒙地卡羅模擬法 | zh_TW |
| dc.subject (關鍵詞) | credit derivatives | en_US |
| dc.subject (關鍵詞) | Constant Proportion Debt Obligations | en_US |
| dc.subject (關鍵詞) | Jump Diffusion Process | en_US |
| dc.subject (關鍵詞) | credit risk | en_US |
| dc.subject (關鍵詞) | Monte Carlo Simulation | en_US |
| dc.title (題名) | 跳躍擴散模型下固定比例債務債券評價,風險構面及避險分析 | zh_TW |
| dc.title (題名) | The Pricing, Credit Risk Decomposition and Hedging Analysis of CPDO Under The Jump Diffusion Model | en_US |
| dc.type (資料類型) | thesis | en |
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