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題名 客製化信用擔保債權憑證之探討
Study of bespoke collateralized debt obligation作者 林春霖 貢獻者 江彌修
林春霖關鍵詞 客製化
單一分券日期 2011 上傳時間 30-Oct-2012 11:24:22 (UTC+8) 摘要 本研究重新切割iTraxx Europe各標準化分券之累積損失承擔額度，改變其起賠點或止賠點之信用架構，讓每一客製化分券為各一獨立契約，各為一項信用商品；再透過動態違約模型，刻劃存活機率受到市場上信用事件影響與衝擊，令存活率之變動由一混合卜瓦松跳躍過程所驅動，以跳躍來描述信用事件之發生。 透過此動態模型評價各類客製化分券，從評價結果可以發現，重新切割承擔累積損失之信用架構造成信用價差變動之主要原因來自於兩個面向：一為分券承擔損失機率之改變與損失侵蝕分券達承擔上限之可能；另一為重新切割損失承擔範圍導致資產間違約相關性也隨之改變。而敏感度分析結果發現，提升信用事件危害程度、違約相關性、發生頻率，降低回復率，都使得0-4%分券之信用價差下降，而其他分券上升，乃因資產違約之可能性上升，市場風險提高，使0-4%風險分券更加明確之故。 投資人面對改變信用架構之客製化分券選擇時，須考量此類因素變動對客製化分券之影響，搭配自身風險偏好與需求，作為投資人購買分券之依據，進行客製化分券契約設定。 參考文獻 1. Andersen, L., J. Sidenius, and S., Basu, (2003), ”All Your Hedges in One Basket,” Risk, 16, 67-72. 2. Black, F. and J. C. Cox, (1976), ”Valuing corporate securities: some effects of bond indenture provisions,” Journal of Finance 31, 351-367. 3. Davis, M., and Lo, V. (2001), ”Infectious Defaults”, Quantitative Finance 1, 382-387. 4. Das, Sanjiv R., Duffie, Darrell, Kapadia, Nikunj, and Saita, Leandro(2007), “Common failings: How corporate defaults ar correlated”, Journal of Finance, 1, 93–117. 5. Duffie, D. and K. Singleton, (1999), ”Modeling term structures of defaultable bonds,” Review of Financial Studies 12, 687-720. 6. Duffie, D. and N. Garleanu (2001), ”Risk and valuation of collateralized debt obligations,” Financial Analyst’s Journal 57(1), 41-59. 7. Giesecke, K. (2003), ”A Simple Exponential Model for Dependent Defaults,” Journal of Fixed Income 13(3), 74-83. 8. Hull, J., and A. White (2008), ”Dynamic Models of Portfolio Credit Risk: a Simplified Approach,” Journal of Derivatives, 6415, 9-28. 9. Jarrow, R. and S. Turnbull, (1995), ”Pricing Derivatives on Financial Securities Subject to Credit Risk,”Journal of Finance 50, 53- 85. 10. Laurent, J.P. and J. Gregory, (2003), ”Basket default swaps, CDO’s and factor copulas,” working paper, ISFA Actuarial School, University of Lyon. 11. Longstaff, F., and A. Rajan (2008), ”An Empirical Analysis of the Pricing of Collateralized Debt Obligations,” Journal of Finance, 63, 529-563. 12. Vasicek, O., (1987), ”Probability of Loss on a Loan Portfolio,” Working Paper, KMV. (Published in Risk, December 2002 with the title ”Loan Portfolio Value”) 13. Ruohonenastin, M., (1987), ”On a Model for the Claim Number Processm,” Astin Bulletin, Vol 18. 14. A˘gca, S¸., D. Agrawal and S., (2008), Islam ”Implied Correlations: Smiles or Smirks?” Journal of Derivatives, 16. 15. CreditRisk+ (1997), Credit Suisse First Boston, ”A credit risk management framework.” 描述 碩士
國立政治大學
金融研究所
99352019
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0993520191 資料類型 thesis dc.contributor.advisor 江彌修 zh_TW dc.contributor.author (Authors) 林春霖 zh_TW dc.creator (作者) 林春霖 zh_TW dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 11:24:22 (UTC+8) - dc.date.available 30-Oct-2012 11:24:22 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 11:24:22 (UTC+8) - dc.identifier (Other Identifiers) G0993520191 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54591 - 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) 99352019 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本研究重新切割iTraxx Europe各標準化分券之累積損失承擔額度，改變其起賠點或止賠點之信用架構，讓每一客製化分券為各一獨立契約，各為一項信用商品；再透過動態違約模型，刻劃存活機率受到市場上信用事件影響與衝擊，令存活率之變動由一混合卜瓦松跳躍過程所驅動，以跳躍來描述信用事件之發生。 透過此動態模型評價各類客製化分券，從評價結果可以發現，重新切割承擔累積損失之信用架構造成信用價差變動之主要原因來自於兩個面向：一為分券承擔損失機率之改變與損失侵蝕分券達承擔上限之可能；另一為重新切割損失承擔範圍導致資產間違約相關性也隨之改變。而敏感度分析結果發現，提升信用事件危害程度、違約相關性、發生頻率，降低回復率，都使得0-4%分券之信用價差下降，而其他分券上升，乃因資產違約之可能性上升，市場風險提高，使0-4%風險分券更加明確之故。 投資人面對改變信用架構之客製化分券選擇時，須考量此類因素變動對客製化分券之影響，搭配自身風險偏好與需求，作為投資人購買分券之依據，進行客製化分券契約設定。 zh_TW dc.description.tableofcontents 1. 簡介 1 2. 文獻回顧 5 2.1 信用衍生性商品的介紹 5 2.2 信用風險評價模型 8 3. 基本假設與模型設定 10 3.1 存活率之設定 11 3.2 信用事件發生之頻率設定 13 3.3 信用事件之危害程度 16 3.4 信用擔保債權之評價 17 3.5 參數校準 19 4. 數值結果與分析 21 4.1 評價結果 22 4.2 敏感度分析 28 5. 結論 39 6. 參考獻 41 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0993520191 en_US dc.subject (關鍵詞) 客製化 zh_TW dc.subject (關鍵詞) 單一分券 zh_TW dc.title (題名) 客製化信用擔保債權憑證之探討 zh_TW dc.title (題名) Study of bespoke collateralized debt obligation en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Andersen, L., J. Sidenius, and S., Basu, (2003), ”All Your Hedges in One Basket,” Risk, 16, 67-72. 2. Black, F. and J. C. Cox, (1976), ”Valuing corporate securities: some effects of bond indenture provisions,” Journal of Finance 31, 351-367. 3. Davis, M., and Lo, V. (2001), ”Infectious Defaults”, Quantitative Finance 1, 382-387. 4. Das, Sanjiv R., Duffie, Darrell, Kapadia, Nikunj, and Saita, Leandro(2007), “Common failings: How corporate defaults ar correlated”, Journal of Finance, 1, 93–117. 5. Duffie, D. and K. Singleton, (1999), ”Modeling term structures of defaultable bonds,” Review of Financial Studies 12, 687-720. 6. Duffie, D. and N. Garleanu (2001), ”Risk and valuation of collateralized debt obligations,” Financial Analyst’s Journal 57(1), 41-59. 7. Giesecke, K. (2003), ”A Simple Exponential Model for Dependent Defaults,” Journal of Fixed Income 13(3), 74-83. 8. Hull, J., and A. White (2008), ”Dynamic Models of Portfolio Credit Risk: a Simplified Approach,” Journal of Derivatives, 6415, 9-28. 9. Jarrow, R. and S. Turnbull, (1995), ”Pricing Derivatives on Financial Securities Subject to Credit Risk,”Journal of Finance 50, 53- 85. 10. Laurent, J.P. and J. Gregory, (2003), ”Basket default swaps, CDO’s and factor copulas,” working paper, ISFA Actuarial School, University of Lyon. 11. Longstaff, F., and A. Rajan (2008), ”An Empirical Analysis of the Pricing of Collateralized Debt Obligations,” Journal of Finance, 63, 529-563. 12. Vasicek, O., (1987), ”Probability of Loss on a Loan Portfolio,” Working Paper, KMV. (Published in Risk, December 2002 with the title ”Loan Portfolio Value”) 13. Ruohonenastin, M., (1987), ”On a Model for the Claim Number Processm,” Astin Bulletin, Vol 18. 14. A˘gca, S¸., D. Agrawal and S., (2008), Islam ”Implied Correlations: Smiles or Smirks?” Journal of Derivatives, 16. 15. CreditRisk+ (1997), Credit Suisse First Boston, ”A credit risk management framework.” zh_TW
