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Title | Economic Determinates of Default Risks and Their Impacts on Credit Derivative Pricing |
Creator | 廖四郎 LIAO,SZU-LANG ;CHANG,JUI-JANE |
Contributor | 金融系 |
Date | 2010.11 |
Date Issued | 11-Nov-2013 09:39:00 (UTC+8) |
Summary | This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables have been condensed into a few explanatory factors to summarize the noisy economic system. The impacts on default intensity processes are then examined based on no-arbitrage pricing constraints. The approximated results show that economic factors indicated credit problems even before the recent subprime mortgage crisis, and economic fundamentals strongly influenced credit conditions. Testing of out-of-sample data shows that credit evolution can be identified by dynamic explanatory factors. Consequently, the factor-based pricing model can either facilitate the evaluation of default probabilities or manage default risks more effectively by quantifying the relationship between economic environment and credit conditions. |
Relation | Journal of Futures Markets, 30(11) , 1058-1081 |
Type | article |
DOI | http://dx.doi.org/10.1002/fut.20453 |
dc.contributor | 金融系 | en_US |
dc.creator (作者) | 廖四郎 | zh_TW |
dc.creator (作者) | LIAO,SZU-LANG ;CHANG,JUI-JANE | - |
dc.date (日期) | 2010.11 | en_US |
dc.date.accessioned | 11-Nov-2013 09:39:00 (UTC+8) | - |
dc.date.available | 11-Nov-2013 09:39:00 (UTC+8) | - |
dc.date.issued (上傳時間) | 11-Nov-2013 09:39:00 (UTC+8) | - |
dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/61557 | - |
dc.description.abstract (摘要) | This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment. Instead of selecting specific economic variables, numerous economic and financial variables have been condensed into a few explanatory factors to summarize the noisy economic system. The impacts on default intensity processes are then examined based on no-arbitrage pricing constraints. The approximated results show that economic factors indicated credit problems even before the recent subprime mortgage crisis, and economic fundamentals strongly influenced credit conditions. Testing of out-of-sample data shows that credit evolution can be identified by dynamic explanatory factors. Consequently, the factor-based pricing model can either facilitate the evaluation of default probabilities or manage default risks more effectively by quantifying the relationship between economic environment and credit conditions. | en_US |
dc.format.extent | 318600 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en_US | - |
dc.relation (關聯) | Journal of Futures Markets, 30(11) , 1058-1081 | en_US |
dc.title (題名) | Economic Determinates of Default Risks and Their Impacts on Credit Derivative Pricing | en_US |
dc.type (資料類型) | article | en |
dc.identifier.doi (DOI) | 10.1002/fut.20453 | en_US |
dc.doi.uri (DOI) | http://dx.doi.org/10.1002/fut.20453 | en_US |