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題名 一籃子信用違約交換之評價: 不同copula模型的延伸
作者 馬丹威
貢獻者 陳威光
馬丹威
關鍵詞 一籃子信用違約交換
basket default swap
日期 2011
上傳時間 30-Oct-2012 10:15:01 (UTC+8)
摘要 一籃子信用違約交換評價上並不存在公式解，一般是用蒙地卡羅模擬來推估商品價格，然而，因為蒙地卡羅執行速度較慢，往往會需要能夠大規模運行的計算資源以及高成本的硬體，為了減少成本和提高蒙地卡羅的效率就必須從其演算法改進，於是本文利用Chiang et al.(2007)所提出的一籃子信用違約交換演算法來提升一籃子信用違約交換的評價效率，但是該方法採用多元常態分佈假設下的Factor gaussian copula模型進行評價，並不符合市場實際金融市場資料具有不對稱的偏態現象，尤其對未來的環境危機發生的頻率不斷增加，極端事件可能出現的機會也越來越高，基於此問題，本文將Factor t copula、Factor clayton copula、Factor NIG copula以及Modify factor NIG copula與重要性抽樣演算法結合來提昇商品評價的準確度，並且分析各模型與該演算法結合的效果。
參考文獻 A.Kalemanova,B.Schmid and R.Werner(2007), “The Normal Inverse Gaussian distribution for synthetic CDO pricing” Journal of Derivatives, Vol. 14, No. 3, pp. 80–93
     
     A.chlosser(2010) , “ Pricing and RiskManagement of SyntheticCDOs” Lecture Notes in Economics and Mathematical Systems
     
     D.Duffie and KJ.Singleton(1999), ” Modeling term structures of defaultable bonds”
     Review of Financial Studies, Vol.12, Issue 4, pp.687-720
     
     D.B.Madan, M.Konikov, and M.Marinescu(2006), “Credit and basket default swaps” The Journal of Credit Risk, Vol.2, No.2
     
     E.Philip Jones, Scott P Mason, Eric Rosenfeld(1984), “Contingent claim analysis of corporate capital structure: An empirical investigation” Journal of Finance, Vol.39, No.3, pp.611-625
     
     F.Black and J.Cox(1976), “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions” Journal of Finance, Vol. 31, No.2, pp.351-367
     
     F.Abid and N.Naifar(2007), ” Copula based simulation procedures for pricing basket CreditDerivatives” Working Papers
     
     J.Gregory and J.P.Laurent(2004), “A Comparative Analysis of CDO pricing models” Working Papers
     
     J.Gregory and J.P.Laurent(2005), "Basket default swaps, CDOs and factor Copula." Journal of Risk, 7 , pp.103-122
     
     J.Hull and A.White(2006), “Valuing credit derivatives using an implied copula approach” Journal of Derivatives, Vol.14, No. 2, pp.8–28
     
     J.Hull and A.White(2000),” Valuing Credit Default Swaps I: No Counterparty Default Risk” Journal of Derivatives, Vol.8, No.1 , pp.29-40
     
     
     J.Hull and A.White(2001) ,“Valuing Credit Default Swaps II: Modeling Default Correlations” Journal of Derivatives, Vol.8, No.3 , pp.12-22
     
     J.Hull and A.White(2004), “Valuation of CDO and nth to default CDS without Monte Carlo simulation” Journal of Derivatives, Vol. 12, No. 2, pp. 8-48.
     
     L.Andersen,J.Sidenius,and S.Basu( 2003), “All Your Hedges in One Basket” Risk,November, pp.67-72
     
     L.Andesen and J.Sidenius (2005), “Extention to the Gaussian copula: Random recovery and Random factorloadings” Journal of CreditRisk, Vol.1, No.1, pp.29-70
     
     M.H.Chiang,M.L.Yueh and M.H.Hsieh(2007),”An Efficient Algorithm for Basket Default Swap Valuation”Journal of Derivatives, Vol.15, No.2,pp.8-19
     
     M.H.Chiang,M.L.Yueh and A.P.Lin(2009) ,“The Pricing and Hedging of Synthetic CDOs Under the Conditional Independence Assumption”Journal of Financial Studies
     
     M.S.Joshi and D.Kainth(2004),”Rapid and accurate development of prices and greeks for nth to default credit swaps in the li model” Quantitative Finance, Vol.4, Issue 3,pp.266-275
     
     N.Packham and W.M.Schmidt(2009),” Latin hypercube sampling with dependenceand applications in finance”The Journal of Computational Finance, Vol.13, No.3, pp.81-111
     
     P.Glasserman and J.Li (2005),” Importance Sampling for Portfolio Credit Risk “ Management Science, pp.1643-1656
     
     Robert A.Jarrow and Stuart M. Turnbull(1995),”Pricing Derivatives on Financial Securities Subject to Credit Risk” Journal of Finance, Vol.50, No.1, pp. 53-85
     
     Z.Chen and P.Glasserman(2006),” Fast pricing of basket default swaps” Operations Research , Vol. 56, No. 2, pp. 286-303
描述 碩士
國立政治大學
金融研究所
99352024
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099352024
資料類型 thesis
dc.contributor.advisor 陳威光zh_TW
dc.contributor.author (Authors) 馬丹威zh_TW
dc.creator (作者) 馬丹威zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 10:15:01 (UTC+8)-
dc.date.available 30-Oct-2012 10:15:01 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 10:15:01 (UTC+8)-
dc.identifier (Other Identifiers) G0099352024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54186-
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) 99352024zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 一籃子信用違約交換評價上並不存在公式解，一般是用蒙地卡羅模擬來推估商品價格，然而，因為蒙地卡羅執行速度較慢，往往會需要能夠大規模運行的計算資源以及高成本的硬體，為了減少成本和提高蒙地卡羅的效率就必須從其演算法改進，於是本文利用Chiang et al.(2007)所提出的一籃子信用違約交換演算法來提升一籃子信用違約交換的評價效率，但是該方法採用多元常態分佈假設下的Factor gaussian copula模型進行評價，並不符合市場實際金融市場資料具有不對稱的偏態現象，尤其對未來的環境危機發生的頻率不斷增加，極端事件可能出現的機會也越來越高，基於此問題，本文將Factor t copula、Factor clayton copula、Factor NIG copula以及Modify factor NIG copula與重要性抽樣演算法結合來提昇商品評價的準確度，並且分析各模型與該演算法結合的效果。zh_TW
dc.description.tableofcontents 1 研究目的................................5
     2 信用衍生商品介紹........................5
     3 文獻回顧................................9
     3.1 信用風險模型............................11
     3.2 copula模型..............................12
     3.3 因子聯繫結構模型factor copula model.....14
     4 第K順位一籃子信用違約交換評價...........15
     5 研究模型與方法..........................16
     5.1 重要性抽樣..............................16
     5.2 在重要性抽樣法下引入其他copula模型......21
     6 數值結果與不同模型比較分析..............30
     7 結論與建議..............................34		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099352024en_US
dc.subject (關鍵詞) 一籃子信用違約交換zh_TW
dc.subject (關鍵詞) basket default swapen_US
dc.title (題名) 一籃子信用違約交換之評價: 不同copula模型的延伸zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) A.Kalemanova,B.Schmid and R.Werner(2007), “The Normal Inverse Gaussian distribution for synthetic CDO pricing” Journal of Derivatives, Vol. 14, No. 3, pp. 80–93
     
     A.chlosser(2010) , “ Pricing and RiskManagement of SyntheticCDOs” Lecture Notes in Economics and Mathematical Systems
     
     D.Duffie and KJ.Singleton(1999), ” Modeling term structures of defaultable bonds”
     Review of Financial Studies, Vol.12, Issue 4, pp.687-720
     
     D.B.Madan, M.Konikov, and M.Marinescu(2006), “Credit and basket default swaps” The Journal of Credit Risk, Vol.2, No.2
     
     E.Philip Jones, Scott P Mason, Eric Rosenfeld(1984), “Contingent claim analysis of corporate capital structure: An empirical investigation” Journal of Finance, Vol.39, No.3, pp.611-625
     
     F.Black and J.Cox(1976), “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions” Journal of Finance, Vol. 31, No.2, pp.351-367
     
     F.Abid and N.Naifar(2007), ” Copula based simulation procedures for pricing basket CreditDerivatives” Working Papers
     
     J.Gregory and J.P.Laurent(2004), “A Comparative Analysis of CDO pricing models” Working Papers
     
     J.Gregory and J.P.Laurent(2005), "Basket default swaps, CDOs and factor Copula." Journal of Risk, 7 , pp.103-122
     
     J.Hull and A.White(2006), “Valuing credit derivatives using an implied copula approach” Journal of Derivatives, Vol.14, No. 2, pp.8–28
     
     J.Hull and A.White(2000),” Valuing Credit Default Swaps I: No Counterparty Default Risk” Journal of Derivatives, Vol.8, No.1 , pp.29-40
     
     
     J.Hull and A.White(2001) ,“Valuing Credit Default Swaps II: Modeling Default Correlations” Journal of Derivatives, Vol.8, No.3 , pp.12-22
     
     J.Hull and A.White(2004), “Valuation of CDO and nth to default CDS without Monte Carlo simulation” Journal of Derivatives, Vol. 12, No. 2, pp. 8-48.
     
     L.Andersen,J.Sidenius,and S.Basu( 2003), “All Your Hedges in One Basket” Risk,November, pp.67-72
     
     L.Andesen and J.Sidenius (2005), “Extention to the Gaussian copula: Random recovery and Random factorloadings” Journal of CreditRisk, Vol.1, No.1, pp.29-70
     
     M.H.Chiang,M.L.Yueh and M.H.Hsieh(2007),”An Efficient Algorithm for Basket Default Swap Valuation”Journal of Derivatives, Vol.15, No.2,pp.8-19
     
     M.H.Chiang,M.L.Yueh and A.P.Lin(2009) ,“The Pricing and Hedging of Synthetic CDOs Under the Conditional Independence Assumption”Journal of Financial Studies
     
     M.S.Joshi and D.Kainth(2004),”Rapid and accurate development of prices and greeks for nth to default credit swaps in the li model” Quantitative Finance, Vol.4, Issue 3,pp.266-275
     
     N.Packham and W.M.Schmidt(2009),” Latin hypercube sampling with dependenceand applications in finance”The Journal of Computational Finance, Vol.13, No.3, pp.81-111
     
     P.Glasserman and J.Li (2005),” Importance Sampling for Portfolio Credit Risk “ Management Science, pp.1643-1656
     
     Robert A.Jarrow and Stuart M. Turnbull(1995),”Pricing Derivatives on Financial Securities Subject to Credit Risk” Journal of Finance, Vol.50, No.1, pp. 53-85
     
     Z.Chen and P.Glasserman(2006),” Fast pricing of basket default swaps” Operations Research , Vol. 56, No. 2, pp. 286-303		zh_TW