考慮交易對手風險之下，以簡單樹狀法評價資產交換與信用違約交換

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葉文琦(Wen-Chi Yeh) 查詢紙本館藏

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財務金融學系

論文名稱

考慮交易對手風險之下，以簡單樹狀法評價資產交換與信用違約交換
(A Simplified Lattice Approach for Pricing Asset Swaps and Default Swaps with Counterparty Risks)

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摘要(中)

在本論文中我們結合了Jarrow and Yu (2001)在連續時間下衡量交易對手風險的模型與Hung and Wang (2002)的樹狀架構。以此評價在考慮交易對手風險下的信用違約交換與可轉換公司債資產交換。我們這個模型的優點在於可利用無風險利率與風險性公司債的期限結構等市場資訊來當作投入變數，使得模型變的容易執行。此外，我們從模擬的結果得知，違約風險與交易對手風險皆在決定資產交換與信用違約交換價值的過程中扮演了一個重要的角色。

摘要(英)

In this paper we incorporate the counterparty risk concept of the Jarrow and Yu (2001) continuous-time model into the Hung and Wang (2002) lattice framework to develop a simple binomial method for valuing default swaps and asset swaps on convertible bonds with counterparty risks. The advantage in using our model is easily implemented for practitioners since the needed parameters in our model can be deduced from the market data of the term structures for the risk-free and risky bonds. From the simulation results, we find that both the default and counterparty risks play important roles in determining the values of asset swaps and default swaps.

關鍵字(中)

★ 交易對手風險
★ 樹狀法
★ 信用違約交換
★ 可轉換公司債資產交換

關鍵字(英)

★ Lattice Approach
★ Credit Default Swap
★ Asset Swap on CB
★ Counterparty Risk

論文目次

1. INTRODUCTION 1
2. LITERATURE REVIEW 4
2.1 Jarrow and Turnbull (1995) Model 4
2.2 Hung and Wang (2002) Model 5
2.3 Jarrow and Yu (2001) model 6
3. PRICING ASSET SWAPS ON CBS 9
3.1 The Structure of an Asset Swaps on a CB 9
3.1.1 The Transaction of an Asset Swap on a CB 9
3.1.2 The Call Option on a CB Transaction 10
3.2 Pricing an Asset Swap on a CB 12
3.2.1 Valuation Procedures for An Asset swap on a CB Transaction 12
3.3 Numerical Example 18
4. PRICING DEFAULT SWAPS WITH COUNTERPARTY RISKS 28
4.1 The Structure of a Default Swap 28
4.2 Pricing Default Swaps with Counterparty Risks 30
4.2.1 A Lattice Approach to Price A Default Swap with Counterparty Risks 30
4.3 A Numerical Example for A Default Swap Pricing Using Our Model 34
5. CONCLUSION 39
References 40

參考文獻

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指導教授

張傳章(Chuang-Chang Chang)

審核日期

2003-7-17

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