dc.contributor | 國立政治大學金融系 | en_US |
dc.contributor | 行政院國家科學委員會 | en_US |
dc.creator (作者) | 廖四郎 | zh_TW |
dc.date (日期) | 2011 | en_US |
dc.date.accessioned | 25-Jun-2012 15:16:12 (UTC+8) | - |
dc.date.available | 25-Jun-2012 15:16:12 (UTC+8) | - |
dc.date.issued (上傳時間) | 25-Jun-2012 15:16:12 (UTC+8) | - |
dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/53149 | - |
dc.description.abstract (摘要) | 本文最主要是評價海外可轉資產交換並且考慮信用風險以及利率風險。在信用風險方面,使用簡約式模型。在利率風險方面,使用CIR模型。考慮此兩種風險,本文使用最小平方蒙地卡羅法評價海外可轉換公司債。最後,本文提出兩種方法並比較其差異。 | - |
dc.description.abstract (摘要) | This project is to price the Euro-convertible bond asset swap considering credit and interest risks. On the credit risk, we use the reduced-form approach. On the interest risk, we adopt the CIR model. Then, we use the LSMC method to price Euro-convertible. At last, we compare the difference the two methods. | - |
dc.language.iso | en_US | - |
dc.relation (關聯) | 技術發展 | en_US |
dc.relation (關聯) | 學術補助 | en_US |
dc.relation (關聯) | 研究期間:10008~ 10107 | en_US |
dc.relation (關聯) | 研究經費:365仟元 | en_US |
dc.subject (關鍵詞) | 可轉債資產交換;一般資產交換;評價;風險 | en_US |
dc.subject (關鍵詞) | Convertible Bond; Convertible Bond Asset Swap; Risk Management; Credit Risk; Interest Rate Risk | en_US |
dc.title (題名) | 可轉債資產交換與一般資產交換評價與風險控管分析 | zh_TW |
dc.title.alternative (其他題名) | Convertible Bond Asset Swap and General Asset Swap with Risk Management: Pricing and Analysis | en_US |
dc.type (資料類型) | report | en |