信用衍生性金融商品之研究:CB Asset Swap 及CDO

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：32

、訪客IP：18.118.255.51

姓名

林淑瑛(Shu-Ying Lin) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

信用衍生性金融商品之研究:CB Asset Swap 及CDO
(Two Essays on Credit Derivatives: CB Asset Swap and CDO)

相關論文

★ 台灣證券公司境外金融商品交易之風險管理－M公司個案分析	★ Merton模型違約預警之研究--台灣上市電子違約公司實證分析
★ 台灣不動產資產信託—以發行個案為例	★ 台灣高科技產業策略聯盟之研究
★ 台灣金融控股公司市場風險資本配置之研究	★ 勞工退休金條例草案之轉換選擇權的評價與分析
★ 一般化的美式選擇權解析上界	★ 不動產投資信託對投資組合多角化的影響---全球實證
★ 風格投資在台灣的運用	★ 台灣加權指數波動率之實證研究
★ 私募股權投資管理公司實證研究與個案探討	★ 權證發行商之風險與損益評估
★ 台灣購併架構之研究－－以「聯電五合一」案為例	★ 國內企業使用衍生性金融商品避險之實證研究
★ 蒙地卡羅模擬在選擇權評價上之運用	★ 固定匯率下跨國股酬交換之評價

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

信用風險為近年來財務上重要議題之一，許多信用衍生性金融商品被創造來管理信用風險。本文由二篇有關信用衍用性金融商品之文章構成。第一篇對可轉換公司債拆解之信用部份，即可轉債資產交換，提供評價方法。可轉債資產交換可以美式分期付款選擇權(American installment option)來訂資產交換之加減碼，經由模擬結果得出：較高的資產交換加碼，券商越易提早執行可轉債選擇權。第二篇探討信用風險溢酬與違約相關性之關係。在文獻上，信用風險溢酬主要由違約機率及回收率決定，而無考慮違約相關性。由於CDO市場及信用分層技術的發展對金融市場產生了一些衝擊，在相關性產品之交易市場（correlation trading）出現後，促使我們以違約相關性觀點來探討信用風險溢酬的訂定。以信用交換契約之報價資料來作實證分析，實證結果顯示出違約相關性會影響信用風險溢酬的大小。

摘要(英)

Credit risks have recently received much academic interest. Many credit derivative instruments have been created in recent years to manage credit risk. This dissertation purposes two essays about credit derivative products.
Essay one provides pricing models for credit component of the convertible bond (CB) Stripping structured products. CB asset swap can be priced as American installment option to take into account the right to cancel the swap and stop paying future interest payments before maturity. The results indicate that a higher asset swap spread paid by the dealer could lead to early exercise of the CB option.
Essay two investigates the relationship between credit spread of individual credit name and default correlation of a credit basket. Credit spread in a risk-neutral environment has been regarded as a function of default probability and recovery rate. Most importantly, default correlation is not considered as a factor in determining the credit spread. However, recent developments of the credit basket market such as collateralized debt obligation (CDO) and credit tranching techniques have some impact on financial markets. A new market, called correlation trading market, has forced the credit spread to approach a new equilibrium based on default correlation. Credit default swap (CDS) market data is provided to test empirically the correlation effect. The results indicate some evidence that the correlation between individual name and market index affects the mean spread on CDS.

關鍵字(中)

★ 信用風險溢酬
★ 可轉債資產交換
★ 信用交換契約
★ CDO分層結構
★ 違約相關性

關鍵字(英)

★ CDO Tranching
★ Default Correlation
★ Credit Default Swap
★ CB Asset Swap
★ Credit Spread

論文目次

Contents
I. Introduction……………………………………………..…………….1
II. Essay 1: CB Asset Swaps
1. Introduction………………………………………………………………6
2. Assumptions…………………………………………………………………9
3. Valuation Procedures for a CB Asset Swap Transaction…………10
4. An Example…………………………………………………………………11
5. The Greek Letters………………………………………………………16
6. Discussion……………………………………………………………………18
References………………………………………………………………………20
III. Essay 2: Credit Spreads, Default Correlations and CDO Tranching: New Evidence from CDS Quotes
1. Introduction……………………………………………………………………22
2. CDO Valuations……………………………………………………………….24
2.1 Framework for Valuing CDO Tranches……………………………………26
2.2 Numerical Example………………………………………………………..32
2.3 Synthetic CDOs and Tranches……………………………………………..35
2.4 Summary…………………………………………………………………..42
3. Credit Spread and Rating Arbitrage……………………….…………………..42
4. Description of Data……………………………………………………………45
5. Cross-Sectional Analysis………………………………….…………………..48
5.1 Methodology………..………………………………….…………………48
5.2 Results……………………………………………………..………………50
6. Panel Data Analysis……………………………………………………………53
7. Conclusions……………………………………………………………………54
References…………………………………………………………..……………56
Appendix A: The Value of Premium Leg in a Synthetic CDO Structure…..…….59
Appendix B: Names and Credit Rating of Sampled Entities………….….….…..60
Appendix C: The Results of Cross-Sectional Regression (Pearson’s Correlation and Kendall’s Tau)……………………..………………….……….62
IV. Concluding Remarks………………………………………………63

參考文獻

Essay 1: CB Asset Swaps
References:
Bloomberg, 1998, “A Derivative for Asia’s Season of Financial Discontent,” Bloomberg Magazine, May.
Brennan, M. J. and E. Schwartz (1977), “Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion,” Journal of Finance, 32, 1699-1715.
Brennan, M. J. and E. Schwartz (1980), “Analyzing Convertible Bonds,” Journal of Financial and Quantitative Analysis, 15, 907-929.
Chance, D.M. and D. Rich (1998), “The Pricing of Equity Swaps and Swaptions,” The Journal of Derivatives, Summer, 19-31.
Cox, J. C., J. E. Ingresoll and S.A. Ross (1985), “A Theory of the Term Structure of Interest Rates”, Econometrica, Vol. 36(7), 385-407.
Cox, J.C., S. A. Ross and M. Rubinstein (1979), “Option Pricing: A Simplified Approach”, Journal of Financial Economics, Vol. 7, 229-264.
Davis, M., W. Schachermayer and R. Tompkins (2001), “Pricing, No-arbitrang Bounds and Robust Hedging of Installment Options,” Quantitative Finance 1, 597-610.
Deutsche Bank Group, 2001, Yageo Corp. Stripped Convertible Asset Swap -Indicative Terms and Conditions.
Duffie, D. and K. Singleton (1999), “Modeling Term Structure of Defaultable Bonds,” Review of Financial Studies, 12, 687-720.
Euro Money 2002, “The Guide to Global Fixed Income, 2002”.
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, 299–322.
Hung, M. W. and J. Y. Wang (2001), “Pricing Convertible Bonds Subject to Default Risk,” Journal of Derivatives, Winter, 75-87.
Ingersoll, J. E. (1977), “A Contingent Claims Valuation of Convertible Securities,” Journal of Financial Economics, 4, 289-322.
Jarrow, R. A., D. Lando and S. M. Turnbull (1997), “A Markov Model for the Term Structure of Credit Risk Spreads,” Review of Financial Studies, Vol. 10(2), 481-523.
Jarrow, R. and S. Turnbull (1995), “Pricing Options on Financial Securities Subject to Credit Risk,” Journal of Finance, 50, 53–85.
MONIS, 2002, “Structuring Convertible Bonds,” MONIS Convertible XL V4.00 User Guide.
Essay 2: Credit Spreads, Default Correlations and CDO Tranching: New Evidence from CDS Quote
References
Black, F., and J. Cox (1976), “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, 31, 351367.
Bluhm, C. (2003), “CDO Modeling: Techniques, Examples and Applications”, Working Paper.
Brooks, R., and D. Y. Yan, (1998), “Pricing Credit Default Swaps and the Implied Default Probability”, Derivatives quarterly, Winter, 34-41.
Cifuentes A., and G. O’Connor (1996), “The Binomial Expansion Method Applied to CBO/CLO Analysis,” Moody’s Special Report.
Collin-Dufresne, P., R. S. Goldstein and J. S. Martin (2001), “The Determinants of Credit Spread Changes”, The Journal of Finance, Vol. LVI, No. 6, 2177-2207.
Dan diBartolomeo (1998), “A Review of Moody’s Methods Used to Assign Credit Ratings to Collateralized Loan Obligations”, Northfield Information Services.
Dichev, I. D. (1998), “Is the Risk of Bankruptcy a systematic Risk?” The Journal of Finance, 3, 1131-1147.
Duffie, D., and N. Gârleanu (2001), “Risk and Valuation of Collateralized Debt Obligations,” Financial Analyst Journal, 57(1), 41-59.
Fama, E., and J. MacBeth (1973), “Risk, Return and Equilibrium: Empirical Tests,” Journal of Political Economy, Vol. 81, 607-636.
Gatfaoui, H. (2003), “Risk Disaggregation and Credit Risk Valuation in the Merton Like Way,“ The Journal of Risk Finance, Vol. 4, No. 3, 27 - 42
Geske, R., and H. Johnson (1984), “The Valuation of Corporate Liabilities as Compound Options: A Correction,” Journal of Financial and Quantitative Analysis, 19 (2), 231-232.
Geske, R. (1977), “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis, 12, 541552.
Hull, J., and A. White (2000), “Valuing Credit Default Swaps: No Counterparty Default Risk,” Journal of Derivatives, Vol. 8, No. 1, 29-40.
Jarrow, R.A., D. Lando, and F. Yu (2003), “Default Risk and Diversification: Theory and Applications,” Working Paper.
Jarrow, R.A., D. Lando, and S. Turnbull (1997), “A Markov Model for the Term Structure of Credit Spreads,” Review of Financial Studies, 10, 481523.
Jarrow, R. A., and S. M. Turnbull (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, Vol. 50, 53-85.
Kakordkar, A., B. Martin, and S. Galiani (2003), “Correlation Trading,” Merrill Lynch Global Securities Research & Economics Group.
Li, D. X. (2000), “On Default Correlation: A Copula Function Approach,” Journal of Fixed Income, March, 43-54.
Li, D. X. (1999), “The Valuation of Basket Credit Derivatives,” CreditMetrics Monitor, April, 34-50, JP Morgan.
Li, D. X. (1998), “Constructing a Credit Curve,” Credit Risk, A Risk special Report, 40-41.
Longstaff, F. A., S. Mithal, and E. Neis, (2003), “The Credit-Default Swap Market: Is Credit Protection Price Corrected?” Working Paper.
Lucas, D. J. (1995) “Default Correlation and Credit Analysis,” Journal of Fixed Income, March, 76-87.
Martin, B., A. Batchvarov, and A. Kakodkar (2003), “Single Tranche synthetic CDOs,” Merrill Lynch Global Securities Research & Economics Group.
Meneguzzo, D., and W. Vecchiato (2002), “Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps Pricing and Risk Monitoring,” Working Paper.
Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470.
O’Kane, D., and S. M. Turnbull (2003), “Valuation and Risk Management of Credit Default,” Working Paper.
Wilson, T. C. (1998), “Portfolio Credit Risk,” FRBNY Economic Review, 71-82.

指導教授

史綱、張森林
(Gang Shyy、San-Lin Chung)

審核日期

2004-5-18

推文