| 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) | 江彌修 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 25-Jun-2012 15:17:11 (UTC+8) | - |
| dc.date.available | 25-Jun-2012 15:17:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 25-Jun-2012 15:17:11 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/53180 | - |
| dc.description.abstract (摘要) | 本研究探討跨期違約相關性描述之下，信用衍生性商品之評價。傳統因子模型之下，缺乏違約相關性之動態描述，本研究以遠期生效擔保債權憑證選擇權為例，經由建立跨期因子模型考量違約事件具跨期相關，進而求得此商品之價格，並於此架構之下，針對其商品之風險特徵做出深入的探討，並提供避險參數之求取。 | en_US |
| dc.description.abstract (摘要) | This research studies the valuation of options on forward-start CDO tranches when correlated default events are inter-temporally dependent. In contrast to the widely adapted factor copulae formalism which assumes that all targeted products are of single life-time, and default correlations are characterized by a one-factor copula, here I consider an inter-temporal setting, and whether or not a default event would take place depends on a common factor specific to that period. A consistent pricing framework under such dynamic description presents a real challenge to both the practitioners and the academic researchers, and the existing literature on this subject is surprisingly scarce. In this research, I aim to study the feasibility of modeling the correlated nature of defaults events in an inter-temporal setting, and to study the valuation of options on forward-start CDO tranches under such framework. | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 基礎研究 | en_US |
| dc.relation (關聯) | 學術補助 | en_US |
| dc.relation (關聯) | 研究期間:9808~ 9907 | en_US |
| dc.relation (關聯) | 研究經費:440仟元 | en_US |
| dc.subject (關鍵詞) | 跨期違約相關性;因子模型;遠期生效擔保債權憑證選擇權;信用價差期間結構 | en_US |
| dc.subject (關鍵詞) | Inter-temporal Default Dependence; Factor Copulae; Options onForward-Start CDOs; Term Structure of Credit Spreads | en_US |
| dc.title (題名) | 基於跨期違約相關性描述下信用衍生性商品之評價 | zh_TW |
| dc.title.alternative (其他題名) | Inter-Temporal Default Dependence in the Pricing of Credit Contingent Claims | en_US |
| dc.type (資料類型) | report | en |
