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題名 信用風險之評價與應用
Valuation and Application of Credit Risk
作者 施宜君
Shih, Yi-Chun
貢獻者 陳松男
Chen, Son-Nan
施宜君
Shih, Yi-Chun
關鍵詞 信用風險
信用衍生性商品
違約強度模型
Credit Risk
Credit Derivatives
Intensity Model
日期 2001
上傳時間 18-Apr-2016 16:27:49 (UTC+8)
摘要 信用風險對銀行、債券發行者及債券投資者而言是個很重要的考量，因此信用風險的管理成為一個很重要的課題。但管理信用風險的傳統方法，對控制信用風險都只能解決部分的問題。信用衍生性商品便應運而生。
Credit risk is an important consideration for banks, bond issuers, and bond investors. The conventional methods of managing credit risk, such as diversification, bank loan sales, and asset securitization, offer only a partial solution to controlling credit risk exposure. In recent years, the growing market for credit derivatives has provided powerful new tools for managing credit risk that can be less costly and more effective than traditional methods.
參考文獻 【中文部分】
     1. 陳松男，「信託及投資銀行業務研究」，民國九十年。
     2. 張如淵，「信用衍生性商品之介紹與設計」，國立中央大學財務管理研究所碩士論文，民國八十八年六月。
     3. 蔡豐澤，「信用衍生性商品之評價：違約與回復率模型之應用」，國立台灣大學財務金融研究所碩士論文，民國八十九年六月。
     【英文部分】
     1. Ammann, Manuel, Pricing Derivative Credit Risk , Springer ,1999.
     2. Arvanitis, Gregory and Laurent, “Building Models for Credit Spreads”, Journal of Derivatives, Spring 1999, 27-43.
     3. Brzezniak, Zdzislaw and Tomasz Zastawniak, “Markov Chains”, Chapter 5, Basic Stochastic Processes, Springer,1999.
     4. Carty, Lea V. “Corporate Credit-Risk Dynamics”, Financial Analysts Journal, July/August 2000, 67-81.
     5. Chen, Derek H., Harry H. Hung, Rui Kan, Ashok Varikooty and Henry N. Wang,“Modelling and Managing Credit Risk”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 97-115.
     6. Das S. and T. Tufano, “Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic”, Journal of Financial Engineering, vol. 5, 1996, 161-198.
     7. Das, S. “Credit Derivatives”, Journal of Derivatives, Spring 1995, 7-23.
     8. Das, Satyajit, Credit Derivatives: Trading & Management of Credit & Default Risk, John Wiley & Sons Pte Ltd ,1998.
     9. Francis, Jack Clark, Joyce A. Frost and J. Gregg Whittaker, Handbook of Credit Derivatives, McGraw-Hill,1999.
     10. Gupton, G.M., Finger, C. and Bhatia, M., CreditMetricsTM-Technical Document, J.P. Morgan & Co. Incorporated., 1997.
     11. Hull, John C. “Credit Risk”, Chapter 23, Options, Futures & Other Derivatives, Prentice Hall(Fourth Edition).
     12. Jarrow & Turnbull, “Credit Risk”, Chapter 18, Derivative Securities, South Western College Publishing,1996.
     13. Jarrow and Turnbull, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, 1995, vol 50, 53-86.
     14. Jarrow, Lando and Turnbull, “A Markov Model for the Term Structure of Credit Risk Spread”, The Review of Financial Studies, Summer 1997, vol 10, No.2, 481-523.
     15. Jarrow, Rober A. and Donald R. van Deventer, “Integrating Interest Rate Risk and Credit Risk in ALM”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 87-96.
     16. Kijima and Komoribayashi, “A Markov Chain Model for Valuing Credit Risk Derivatives”, The Journal of Derivatives, Fall 1998, 97-108.
     17. Tavakoli, Janet M., Credit Derivatives: A Guide to Instruments and Applications, John Wiley & Sons, Inc.,1998.
     18. Wilson, Thomas “Portfolio Credit Risk(Ⅰ)”, Risk, September 1997, vol. 10, No. 9, 111-117.
     19. Wilson, Thomas “Portfolio Credit Risk(Ⅱ)”, Risk, October 1997, vol. 10, No. 10, 56-61.
描述 碩士
國立政治大學
金融研究所
88352012
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001538
資料類型 thesis
dc.contributor.advisor 陳松男zh_TW
dc.contributor.advisor Chen, Son-Nanen_US
dc.contributor.author (Authors) 施宜君zh_TW
dc.contributor.author (Authors) Shih, Yi-Chunen_US
dc.creator (作者) 施宜君zh_TW
dc.creator (作者) Shih, Yi-Chunen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:27:49 (UTC+8)-
dc.date.available 18-Apr-2016 16:27:49 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:27:49 (UTC+8)-
dc.identifier (Other Identifiers) A2002001538en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85395-
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) 88352012zh_TW
dc.description.abstract (摘要) 信用風險對銀行、債券發行者及債券投資者而言是個很重要的考量，因此信用風險的管理成為一個很重要的課題。但管理信用風險的傳統方法，對控制信用風險都只能解決部分的問題。信用衍生性商品便應運而生。zh_TW
dc.description.abstract (摘要) Credit risk is an important consideration for banks, bond issuers, and bond investors. The conventional methods of managing credit risk, such as diversification, bank loan sales, and asset securitization, offer only a partial solution to controlling credit risk exposure. In recent years, the growing market for credit derivatives has provided powerful new tools for managing credit risk that can be less costly and more effective than traditional methods.en_US
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     目錄
     表目錄
     圖目錄
     第一章 緒論
     第一節 研究動機及目的
     第二節 研究架構
     第二章 信用衍生性商品
     第一節 信用衍生性商品的意義與功能
     第二節 信用衍生性商品的種類
     第三節 建立信用衍生性商品一般化評價公式的困難
     第三章 文獻回顧
     第四章 研究模型
     第一節 Jarrow, Lando and Turnbull（1997）
     第二節 Kijima and Komoribayashi（1998）
     第三節 信用價差選擇權的評價
     第五章 信用價差選擇權相關探討
     第一節 研究方法
     第二節 資料來源與限制
     第三節 信用價差賣權之理論價格與分析
     第四節 敏感度分析
     第五節 結論
     第六章 結論
     參考資料
     附表
     附錄		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001538en_US
dc.subject (關鍵詞) 信用風險zh_TW
dc.subject (關鍵詞) 信用衍生性商品zh_TW
dc.subject (關鍵詞) 違約強度模型zh_TW
dc.subject (關鍵詞) Credit Risken_US
dc.subject (關鍵詞) Credit Derivativesen_US
dc.subject (關鍵詞) Intensity Modelen_US
dc.title (題名) 信用風險之評價與應用zh_TW
dc.title (題名) Valuation and Application of Credit Risken_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 【中文部分】
     1. 陳松男，「信託及投資銀行業務研究」，民國九十年。
     2. 張如淵，「信用衍生性商品之介紹與設計」，國立中央大學財務管理研究所碩士論文，民國八十八年六月。
     3. 蔡豐澤，「信用衍生性商品之評價：違約與回復率模型之應用」，國立台灣大學財務金融研究所碩士論文，民國八十九年六月。
     【英文部分】
     1. Ammann, Manuel, Pricing Derivative Credit Risk , Springer ,1999.
     2. Arvanitis, Gregory and Laurent, “Building Models for Credit Spreads”, Journal of Derivatives, Spring 1999, 27-43.
     3. Brzezniak, Zdzislaw and Tomasz Zastawniak, “Markov Chains”, Chapter 5, Basic Stochastic Processes, Springer,1999.
     4. Carty, Lea V. “Corporate Credit-Risk Dynamics”, Financial Analysts Journal, July/August 2000, 67-81.
     5. Chen, Derek H., Harry H. Hung, Rui Kan, Ashok Varikooty and Henry N. Wang,“Modelling and Managing Credit Risk”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 97-115.
     6. Das S. and T. Tufano, “Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic”, Journal of Financial Engineering, vol. 5, 1996, 161-198.
     7. Das, S. “Credit Derivatives”, Journal of Derivatives, Spring 1995, 7-23.
     8. Das, Satyajit, Credit Derivatives: Trading & Management of Credit & Default Risk, John Wiley & Sons Pte Ltd ,1998.
     9. Francis, Jack Clark, Joyce A. Frost and J. Gregg Whittaker, Handbook of Credit Derivatives, McGraw-Hill,1999.
     10. Gupton, G.M., Finger, C. and Bhatia, M., CreditMetricsTM-Technical Document, J.P. Morgan & Co. Incorporated., 1997.
     11. Hull, John C. “Credit Risk”, Chapter 23, Options, Futures & Other Derivatives, Prentice Hall(Fourth Edition).
     12. Jarrow & Turnbull, “Credit Risk”, Chapter 18, Derivative Securities, South Western College Publishing,1996.
     13. Jarrow and Turnbull, “Pricing Derivatives on Financial Securities Subject to Credit Risk”, Journal of Finance, 1995, vol 50, 53-86.
     14. Jarrow, Lando and Turnbull, “A Markov Model for the Term Structure of Credit Risk Spread”, The Review of Financial Studies, Summer 1997, vol 10, No.2, 481-523.
     15. Jarrow, Rober A. and Donald R. van Deventer, “Integrating Interest Rate Risk and Credit Risk in ALM”, Asset & Liability Management: A Synthesis of New Methodologies, Risk Books, The Kamakura Corporation, 1998, 87-96.
     16. Kijima and Komoribayashi, “A Markov Chain Model for Valuing Credit Risk Derivatives”, The Journal of Derivatives, Fall 1998, 97-108.
     17. Tavakoli, Janet M., Credit Derivatives: A Guide to Instruments and Applications, John Wiley & Sons, Inc.,1998.
     18. Wilson, Thomas “Portfolio Credit Risk(Ⅰ)”, Risk, September 1997, vol. 10, No. 9, 111-117.
     19. Wilson, Thomas “Portfolio Credit Risk(Ⅱ)”, Risk, October 1997, vol. 10, No. 10, 56-61.		zh_TW