| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao, Szu Lang | en_US |
| dc.contributor.author (作者) | 梁瀞文 | zh_TW |
| dc.contributor.author (作者) | Liang, Ching Wem | en_US |
| dc.creator (作者) | 梁瀞文 | zh_TW |
| dc.creator (作者) | Liang, Ching Wem | en_US |
| dc.date (日期) | 2010 | en_US |
| dc.date.accessioned | 14-十月-2011 13:40:40 (UTC+8) | - |
| dc.date.available | 14-十月-2011 13:40:40 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-十月-2011 13:40:40 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0097352009 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/51673 | - |
| 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) | 97352009 | zh_TW |
| dc.description (描述) | 99 | zh_TW |
| dc.description.abstract (摘要) | 違約事件受到系統性風險與獨特性風險的綜合影響。本研究建構一狀態相依公司信用模型，該模型能反映出系統環境對市場造成的影響與個別公司獨特因子帶來的個別衝擊。 本模型透過從總體環境中萃取出的狀態變數來捕捉系統性變化，另外透過Variance Gamma過程來描繪個別公司的獨特因子帶來的影響。Variance Gamma過程可藉由調整分配的鋒態及偏態來調整布朗運動無法反映出的分配，以更貼近真實的市場訊息。 與縮減試模型相較之下，本模型無需參考信評機構的信用評等資訊，僅依賴市場上公開且透明的資訊，並且與結構式模型相同的是其富有經濟意涵。我們可以透過本模型來同時生成公司流動性危機發生機率與預期流動性危機造成的損失，進而利用本模型評價出個別公司信用違約交換的價格。 關鍵字：信用違約交換；系統風險；獨特性風險；狀態空間模型；Variance Gamma 過程 | zh_TW |
| dc.description.abstract (摘要) | Systematic and idiosyncratic risks are thought to affect the default events. This study develops a state-dependent corporate credit model that reflects both systematic movement and idiosyncratic shocks. To capture the systematic movement, the model extracts state factors from macroeconomics data. For the idiosyncratic part, the model applied Variance Gamma Process in depicting the potential variable of the firm by altering the distribution’s skewness and kurtosis. The model contains abundant economic significance as structural-form model does. Comparing to the reduced-form model, it does not rely on the information provided by rating agency but use information that is transparent and public. One can generate a firm’s probabilities of liquidity crisis and expected liquidity shortfalls endogenously and concurrently by employing the model. Credit derivative such as Single-name CDS can be priced under the model. | en_US |
| dc.description.tableofcontents | 謝辭.………………………………………………...………………………………… i 摘要………………………………………………...…………………………………ii Abstract…………………………...…………………………………………………. iii Contents……………………………………………………………………………… iv List of figures………………………………………………………………………... vi List of tables………………………………………………………………………… vii Chapter1 Introduction……………………………………………………………….1 Chapter2 The State-dependent Internal Liquidity Model………………………...5 2.1 Internal Liquidity of Firms…………………………………………………...5 2.2 The state-dependent Internal liquidity Model and the Proxy Economic Factors………………………………………………………………………..8 Chapter3 Levy Process and Idiosyncratic Risks………………………………….12 3.1 Lévy Processes………………………………………………………...........13 3.2 The Variance Gamma Process………………………………………………16 3.3 Relationships among the parameters of the VG process and the statistics…18 Chapter4 The State-dependent Corporate Credit Model………………………...21 4.1 The Model…………………………………………………………………..21 4.2 Probability of Liquidity Crisis and Expected Liquidity Shortfall…………..22 4.3 Evaluation of Credit Default Swap…………………………………………25 Chapter5 Examination of Model Effectiveness…………………………………...28 5.1 Data Resource and Estimation Technique…………………………………..28 5.2 Parameters Estimation Result……………………….………………………30 5.3 Examination of Model Effectiveness……………………….………………33 Chapter6 conclusion…………………………………………………………...……37 References…………………………………………………………………...………38 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352009 | en_US |
| dc.subject (關鍵詞) | 信用違約交換 | zh_TW |
| dc.subject (關鍵詞) | 系統風險 | zh_TW |
| dc.subject (關鍵詞) | 獨特性風險 | zh_TW |
| dc.subject (關鍵詞) | 狀態空間模型 | zh_TW |
| dc.subject (關鍵詞) | Variance Gamma 過程 | zh_TW |
| dc.subject (關鍵詞) | credit default swaps | en_US |
| dc.subject (關鍵詞) | systematic risk | en_US |
| dc.subject (關鍵詞) | idiosyncratic risk | en_US |
| dc.subject (關鍵詞) | state-space model | en_US |
| dc.subject (關鍵詞) | ; Variance Gamma process | en_US |
| dc.title (題名) | 狀態相依公司信用模型下之信用違約交換評價 | zh_TW |
| dc.title (題名) | Credit default spread valuation under the state-dependent corporate credit model | en_US |
| dc.type (資料類型) | thesis | en |
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