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題名 大投資組合異質分配假設下之信用結構商品內蘊風險分析
大投資組合異質分配假設下之信用結構商品內蘊風險分析
The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions
The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions作者 楊啟均
Yang, Chi Chun貢獻者 江彌修
Chiang, Mi Hsiu
楊啟均
Yang, Chi Chun關鍵詞 信用結構商品
信用結構商品
跨池因子繫聯結構模型
跨池因子繫聯結構模型
違約相關性
違約相關性
NIG分配
NIG分配
credit-structured products
credit-structured products
multi-pool correlation model
multi-pool correlation model
default correlation
default correlation
NIG distribution
NIG distribution日期 2015 上傳時間 1-Sep-2015 16:12:42 (UTC+8) 摘要 本文延伸Hull and White (2010)之跨池因子繫聯結構模型中違約相關性之描述，藉由納入Normal Inverse Gaussian分配並允許其帶有狀態轉換之特性，我們探究信用結構式商品清償順位結構中，影響次順位信用保護層(subordination level)之因素。我們以房屋抵押擔保貸款債權憑證(MBS CDO)為例，分析資產違約相關性、資產池微粒化程度、跨池違約相關性等結構性變數如何影響分券評等之合理性及風險特徵。本文的研究結果呼應Azzalini and Capitanio(2003)中所提及採用Gaussian因子繫聯結構模型之於評價信用結構商品的缺失。我們發現增進信用資產池損失分配的之厚尾性描述，得以改善高估或低估分券信用價差的情況。
By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit-structured products. Using MBS CDOs as an example, we examine how model-embedded variables, such as default correlation, reference-portfolio granularity, and cross-pool correlation, affect the risk profiles of MBS CDO tranches. Our numerical results echo the findings of Azzalini and Capitanio(2003) in that correlation structure obtained under the Gaussian factor copula model may be inadequate in capturing the fact-tailed characteristic of the reference-pool loss distribution, thus can result in over/under-estimation of CDO tranche spreads.參考文獻 [1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper. [2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227. [3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72. [4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN. [5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499. [6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389. [7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76. [8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13. [9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April. [10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June. [11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367. [12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654. [13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666. [14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664. [15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720. [16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36. [17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85. [18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552. [19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232. [20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322. [21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21. [22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23. [23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67. [24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85. [25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122. [26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54. [27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN. [28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819. [29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer. [30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN. [31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470. [32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90. [33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188. [34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp. [35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114. [36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576. [37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040.
[1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper. [2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227. [3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72. [4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN. [5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499. [6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389. [7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76. [8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13. [9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April. [10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June. [11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367. [12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654. [13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666. [14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664. [15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720. [16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36. [17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85. [18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552. [19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232. [20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322. [21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21. [22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23. [23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67. [24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85. [25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122. [26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54. [27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN. [28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819. [29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer. [30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN. [31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470. [32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90. [33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188. [34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp. [35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114. [36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576. [37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040.描述 博士
國立政治大學
金融研究所
96352503資料來源 http://thesis.lib.nccu.edu.tw/record/#G0963525031
http://thesis.lib.nccu.edu.tw/record/#G0963525031資料類型 thesis
thesisdc.contributor.advisor 江彌修 zh_TW dc.contributor.advisor Chiang, Mi Hsiu en_US dc.contributor.author (Authors) 楊啟均 zh_TW dc.contributor.author (Authors) Yang, Chi Chun en_US dc.creator (作者) 楊啟均 zh_TW dc.creator (作者) Yang, Chi Chun en_US dc.date (日期) 2015 en_US dc.date.accessioned 1-Sep-2015 16:12:42 (UTC+8) - dc.date.available 1-Sep-2015 16:12:42 (UTC+8) - dc.date.issued (上傳時間) 1-Sep-2015 16:12:42 (UTC+8) - dc.identifier (Other Identifiers) G0963525031 en_US dc.identifier (Other Identifiers) G0963525031 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/78063 - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/78063 - dc.description (描述) 博士 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) 96352503 zh_TW dc.description.abstract (摘要) 本文延伸Hull and White (2010)之跨池因子繫聯結構模型中違約相關性之描述，藉由納入Normal Inverse Gaussian分配並允許其帶有狀態轉換之特性，我們探究信用結構式商品清償順位結構中，影響次順位信用保護層(subordination level)之因素。我們以房屋抵押擔保貸款債權憑證(MBS CDO)為例，分析資產違約相關性、資產池微粒化程度、跨池違約相關性等結構性變數如何影響分券評等之合理性及風險特徵。本文的研究結果呼應Azzalini and Capitanio(2003)中所提及採用Gaussian因子繫聯結構模型之於評價信用結構商品的缺失。我們發現增進信用資產池損失分配的之厚尾性描述，得以改善高估或低估分券信用價差的情況。 zh_TW dc.description.abstract (摘要) By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit-structured products. Using MBS CDOs as an example, we examine how model-embedded variables, such as default correlation, reference-portfolio granularity, and cross-pool correlation, affect the risk profiles of MBS CDO tranches. Our numerical results echo the findings of Azzalini and Capitanio(2003) in that correlation structure obtained under the Gaussian factor copula model may be inadequate in capturing the fact-tailed characteristic of the reference-pool loss distribution, thus can result in over/under-estimation of CDO tranche spreads. en_US dc.description.tableofcontents 口試委員會審定書 # 誌謝 i 中文摘要 ii ABSTRACT iii 目錄 iv 圖目錄 vii 表目錄 viii Chapter 1 前言 9 Chapter 2 文獻探討 16 Chapter 3 資產證券化 21 3.1 資產證券化機制 21 3.1.1 信用增強機制的比較 23 3.2 資產證券化之效益 24 3.3 資產證券化產品 25 3.3.1 房屋抵押貸款證券 26 3.3.2 房屋抵押貸款擔保憑證 27 3.3.3 資產證券化之疑慮 29 Chapter 4 研究方法 31 4.1 房屋抵押貸款信用擔保憑證的支付型態 33 4.2 違約相關性描述 37 4.2.1 高斯因子相關性繫聯結構模型 (Gaussian factor copula model) 38 4.2.2 跨池多因子相關性繫聯結構模型的設定與違約相關性描述 40 4.3 風險值衡量與評等準則 42 4.4 構建損失分配的選擇 45 4.4.1 Normal Inverse Gaussian(NIG)分配與Regime-Switching Model 47 Chapter 5 數值結果與分析 51 5.1 MBS CDO的結構面 51 5.1.1 內層結構成分MBS 52 5.1.2 改變主券的構成分券 55 5.1.3 改變內層子分券範圍 57 5.2 MBS CDO各攸關變數的敏感度分析 59 5.2.1 跨池與池內違約相關性描述 59 5.2.2 預期違約率 61 5.2.3 隨機回復率 62 5.3 資產集中度與資本計提 64 5.3.1 單一資產集中度 64 5.3.2 資本緩衝 66 5.4 不同分配假設下的損失分配比較 70 5.4.1 CDO評價比較 71 5.4.2 MBS CDO主券損失的比較 72 5.4.3 改變標的資產預期違約率的影響 77 5.4.4 改變資產池違約相關性的影響 78 Chapter 6 結論 84 參考文獻 87 附錄 90 zh_TW dc.description.tableofcontents 口試委員會審定書 # 誌謝 i 中文摘要 ii ABSTRACT iii 目錄 iv 圖目錄 vii 表目錄 viii Chapter 1 前言 9 Chapter 2 文獻探討 16 Chapter 3 資產證券化 21 3.1 資產證券化機制 21 3.1.1 信用增強機制的比較 23 3.2 資產證券化之效益 24 3.3 資產證券化產品 25 3.3.1 房屋抵押貸款證券 26 3.3.2 房屋抵押貸款擔保憑證 27 3.3.3 資產證券化之疑慮 29 Chapter 4 研究方法 31 4.1 房屋抵押貸款信用擔保憑證的支付型態 33 4.2 違約相關性描述 37 4.2.1 高斯因子相關性繫聯結構模型 (Gaussian factor copula model) 38 4.2.2 跨池多因子相關性繫聯結構模型的設定與違約相關性描述 40 4.3 風險值衡量與評等準則 42 4.4 構建損失分配的選擇 45 4.4.1 Normal Inverse Gaussian(NIG)分配與Regime-Switching Model 47 Chapter 5 數值結果與分析 51 5.1 MBS CDO的結構面 51 5.1.1 內層結構成分MBS 52 5.1.2 改變主券的構成分券 55 5.1.3 改變內層子分券範圍 57 5.2 MBS CDO各攸關變數的敏感度分析 59 5.2.1 跨池與池內違約相關性描述 59 5.2.2 預期違約率 61 5.2.3 隨機回復率 62 5.3 資產集中度與資本計提 64 5.3.1 單一資產集中度 64 5.3.2 資本緩衝 66 5.4 不同分配假設下的損失分配比較 70 5.4.1 CDO評價比較 71 5.4.2 MBS CDO主券損失的比較 72 5.4.3 改變標的資產預期違約率的影響 77 5.4.4 改變資產池違約相關性的影響 78 Chapter 6 結論 84 參考文獻 87 附錄 90 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963525031 en_US dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0963525031 en_US dc.subject (關鍵詞) 信用結構商品 zh_TW dc.subject (關鍵詞) 信用結構商品 zh_TW dc.subject (關鍵詞) 跨池因子繫聯結構模型 zh_TW dc.subject (關鍵詞) 跨池因子繫聯結構模型 zh_TW dc.subject (關鍵詞) 違約相關性 zh_TW dc.subject (關鍵詞) 違約相關性 zh_TW dc.subject (關鍵詞) NIG分配 zh_TW dc.subject (關鍵詞) NIG分配 zh_TW dc.subject (關鍵詞) credit-structured products en_US dc.subject (關鍵詞) credit-structured products en_US dc.subject (關鍵詞) multi-pool correlation model en_US dc.subject (關鍵詞) multi-pool correlation model en_US dc.subject (關鍵詞) default correlation en_US dc.subject (關鍵詞) default correlation en_US dc.subject (關鍵詞) NIG distribution en_US dc.subject (關鍵詞) NIG distribution en_US dc.title (題名) 大投資組合異質分配假設下之信用結構商品內蘊風險分析 zh_TW dc.title (題名) 大投資組合異質分配假設下之信用結構商品內蘊風險分析 zh_TW dc.title (題名) The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions en_US dc.title (題名) The Risk Profiles of Credit-Structured Products under the Large Portfolio Assumption with Heterogeneous Distributions en_US dc.type (資料類型) thesis en dc.type (資料類型) thesis en dc.relation.reference (參考文獻) [1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper. [2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227. [3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72. [4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN. [5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499. [6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389. [7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76. [8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13. [9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April. [10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June. [11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367. [12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654. [13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666. [14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664. [15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720. [16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36. [17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85. [18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552. [19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232. [20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322. [21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21. [22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23. [23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67. [24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85. [25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122. [26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54. [27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN. [28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819. [29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer. [30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN. [31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470. [32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90. [33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188. [34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp. [35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114. [36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576. [37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040. zh_TW dc.relation.reference (參考文獻) [1] Adelino, M. (2009), “Do investors rely only on ratings? The case of mortgage-backed securities”, Working paper. [2] Altman, E. I., B. Brady, A. Resti, and A. Sironi (2005), “The link between default and recovery rates: Theory, empirical evidence, and implications”, Journal of Business, 78(6), 2203-2227. [3] Anderson, L., J. Sidenius, and S. Basu (2003), “All your hedges in one basket”, Risk, 16(11), 67-72. [4] An, X., Y. Deng and A. Sanders (2007), “Credit risk and subordination levels in commercial mortgage-backed securities (CMBS)”, working paper available on SSRN. [5] Ashcraft, A. B., P. Goldsmith-Pinkham, and J. Vickery (2010), “MBS ratings and the mortgage credit boom”, Federal Reserve Bank of New York Staff Report, No. 499. [6] Azzalini, A. and A. Capitanio (2003), “Distributions generated by perturbation of symmetry with emphasis on a multivariate skew T distribution”, Joural of the Royal Statistical Society: Series B, 65, 367-389. [7] Baheti, P., R. Mashal, M. Naldi, and L. Schloegl (2005), “Squaring factor copula models”, Risk, 18(6), 73-76. [8] Barndorff-Nielsen, O. E. (1997), “Normal inverse gaussian distributions and stochastic volatility modelling”, Scandinavian Journal of Statistics, 24(1), 1-13. [9] Basel Committee on Banking Supervision (2004a), “Bank failures in mature economies”, Basel Committee on Banking Supervision Working Paper Series, No. 13, April. [10] Basel Committee on Banking Supervision (2004b), “International convergence of capital measurement and capital standards: A revised framework”, Bank for International Settlements, June. [11] Black, F., and J. C. Cox (1976), “Valuing corporate securities: Some effects of bond indenture provisions”, The Journal of Finance, 31(2), 351-367. [12] Black, F., and M. Scholes (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, 81(3), 637-654. [13] Coval, J. D., J. W. Jurek, and E. Stafford (2009), “Economic catastrophe bonds”, American Economic Review, 99(3), 628-666. [14] Duffie, D., and D. Lando (2001), “Term structures of credit spreads with incomplete accounting information”, Econometrica, 69(3), 633-664. [15] Duffie, D., and K. J. Singleton (1999), “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12(4), 687-720. [16] Fermanian, J. D. (2011), “A Top-Down approach for asset-backed securities: A consistent way of managing prepayment, default and interest rate risks”, The Journal of Real Estate Finance and Economics, 1-36. [17] Cespedes G., J. Herrero, A. Kreinin, and D. Rosen (2006), “A simple multifactor "Factor Adjustment" for the treatment of credit capital diversification”, Journal of Credit Risk, 2(3), 57-85. [18] Geske, R. (1977), “The valuation of corporate liabilities as compound options”, The Journal of Financial and Quantitative Analysis, 12(4), 541-552. [19] Gordy, M. (2003), “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation, 12, 199-232. [20] Hull, J., and A. White (1995), “The impact of default risk on the prices of options and other derivative securities”, Journal of Banking and Finance, 19(2), 299-322. [21] Hull, J., and A. White (2001), “Valuing credit default swaps II: Modeling default correlations”, Journal of Derivatives, 8(3), 12-21. [22] Hull, J., and A. White (2004), “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation”, Journal of Derivatives, 12(2), 8-23. [23] Hull, J., and A. White (2010), “The Risk of Tranches created from mortgages”, Financial Analysts Journal, 66(5), 54-67. [24] Jarrow, R. A., and S. M. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk”, Journal of Finance, 50(1), 53-85. [25] Laurent, J., and J. Gregory (2005), “Basket default swaps, CDOs and factor copulas”, The Journal of Risk, 7(4), 103-122. [26] Li, D. X. (2000), “On Default Correlation: A copula function approach”, Journal of Fixed Income, 9(4), 43-54. [27] Li, D. X., and M. H. Liang (2005), “CDO squared pricing using Gaussian mixture model with transformation of loss distribution”, working paper available on SSRN. [28] Longstaff, F. A., and E. S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, The Journal of Finance, 50(3), 789-819. [29] Lütkebohmert, E. (2009), “Concentration risk in credit portfolios”, London: Springer. [30] Mason, J. R., and J. Rosner (2007), “Where did the risk go? How misapplied bond ratings cause mortgage backed securities and collateralized debt obligation market disruptions”, working paper available on SSRN. [31] Merton, R. C. (1974), “On the pricing of corporate debt: The risk structure of interest rates”, The Journal of Finance, 29(2), 449-470. [32] Pykhtin, M. (2004), “Multi-factor adjustment”, Risk, 17(3), 85-90. [33] Vasicek, O. (1977), “An equilibrium characterization of the term structure”, Journal of Financial Economics, 5(2), 177-188. [34] Vasicek, O. (1987), “Probability of loss on loan portfolio”, working paper available on KMV Corp. [35] Wendin, J. and A. J. McNeil (2006), “Dependent credit migrations”, Journal of Credit Risk, 2, 87-114. [36] Zhou, C. (2001a), “An analysis of default correlations and multiple defaults”, Review of Financial Studies, 14(2), 555-576. [37] Zhou, C. (2001b), “The term structure of credit spreads with jump risk”, Journal of Banking and Finance, 25(11), 2015-2040. zh_TW
