博碩士論文 93428035 詳細資訊




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:61 、訪客IP:3.145.41.108
姓名 邱信瑜(Hsin-Yu Chiu)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 擔保債務憑證市場價格隱含之相關係數結構
(Correlation Structure Implied form CDO Markets)
相關論文
★ 市場利率模型對區間型計息債券之定價及分析★ 標的物相關係數對合成式債務抵押債券及一籃子違約交換訂價的影響
★ 保險公司資產配置準則之分析★ 鞍點近似法於擔保債權憑證之評價與避險
★ 避險基金資產配置分析應用極值理論★ 抵押房貸證劵化之評價
★ 外匯市場的遠期與期貨價格差異:逐日結算效果的探討★ 市場利率模型下利率上限契約的評價與避險
★ 雙層擔保債務憑證評價與敏感性分析★ 合成式擔保債務憑證內非標準型分劵之定價與避險
★ 應用蒙地卡羅法對HJM 模型下的利率衍生性商品定價★ 利率上限及交換選擇權之定價-多因子市場利率模型
★ 固定比例投資組合保險策略在合成型擔保債權憑證權益分券之適用性★ 應用隨機跳躍模型評價死亡率商品
★ 修改Hull-White模型評價固定期間信用違約交換與信用違約交換選擇權★ 權益違約交換之評價
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]   至系統瀏覽論文 ( 永不開放)
摘要(中) 在這篇論文中,為了觀察高與低授信品質資產間不同的相關係數結構,我們將擔保債務憑證內的投資組合分成兩群,分別有不同的違約機率。首先,在單因子模型下,控制平均相關係數水準,我們發現低授信品質資產間的相關係數較高授信品質資產間的相關係數來的高。第二,在隨機因子負荷量模型下,我們可以從市場上擔保債務憑證的價格反推回隱含的相關係數結構。我們使用四組不同的相關係數結構假設並且使用敏感度分析,結果顯示低授信品質資產的相關係數在經濟出現極端狀況時會較高。
摘要(英) In this paper, to examine different correlation structures between high and low quality names in a CDO, we separate the portfolio into two groups with different hazard rates. First, under one-factor model, the results show that correlations are higher among low quality names than those among high quality names when controlling the average correlation level. Second, under random factor loadings model, we can calibrate the correlation structures from market spreads. We use four assumptions of correlation structures and conduct a sensitivity analysis. It shows that among low quality names, correlations are higher when extreme economy states occur.
關鍵字(中) ★ 擔保債務憑證
★ 隨機因子負荷量模型
★ 隱含相關係數結構
關鍵字(英) ★ Implied Correlation Structure
★ CDO
★ Random Factor Loadings Model
論文目次 Introduction 1
1. CDO market 1
1.1 Credit derivatives market 1
1.2 CDO structure 3
1.3 Single tranche CDO 4
1.4 Pricing a CDO 5
1.5 Implied correlation 7
2. Literature review 9
3. Model 12
3.1 Factor Copula Approach 12
3.1.1 Portfolio Loss Distributions 13
3.2 Random factor loadings model 15
3.2.1 The dependence structure of the random factor loadings model 17
4. Correlation Structure in a synthetic CDO 18
4.1 Separating the portfolio 18
4.2 Non-homogeneous correlations under one-factor model 21
4.3 Using random factor loadings model 25
4.4 Sensitivity analysis 28
4.5 Calibration to the market spreads 34
5. Conclusion 36
References 37
參考文獻 Andersen, L. and J. Sidenius, “Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings”, Journal of Credit Risk Winter 2004, 1(1), 29-70.
Burtschell, X., J. Gregory and J.-P. Laurent, “A Comparative Analysis of CDO pricing models”, working paper, April 2005.
Black, F., and J. C. Cox, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance 1976, 31, 351-367.
Davis, M. and V. Lo, “Infectious Defaults”, Quantitative Finance 2001, 1, 382-386.
Duffie, D. and N. Gârleanu, “Risk and Valuation of Collateralized Debt Obligations”, Financial Analysts Journal 2001, 57, 41-59.
Frey, R., and A.J. McNeil, “Modeling Dependent Defaults”, working paper, 2001.
Hull, J. and A. White, “Valuing Credit Default Swaps II: Modeling Default Correlations”, Journal of Derivatives 2001, Vol. 8, No. 3, 12-22.
Hull, J., M. Presescu, and A. White, “The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model”, working paper, May 2005.
Jarrow, R. A. and F. Yu, “Counterparty Risk and the Pricing of Defaultable Securities,” Journal of Finance 2001, 56 (5), 1765-99.
Laurent, J.-P. and J. Gregory, “Basket Default Swaps, CDOs and Factor Copula”, working paper, 2003.
Li, D.X., “On Default Correlations: A Copula Approach”, Journal of Fixed Incomes March 2000, Vol. 9, 43-54.
Lucas, D. J., “Default Correlation and Credit Analysis”, Journal of Fixed Income March 1995, 76-87.
Mashal, R. and A. Zeevi, “Beyond Correlation: Extreme Co-movements between Financial Assets, working paper, 2002.
Meneguzzo, D. and W. Vecchiato, “Copula sensitivity in Collateralized Debt Obligations and Basket Default Swaps”, Journal of Futures Markets 2004, Vol. 24, No. 1, 37-70.
Merton, R. C., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, Journal of Finance 1974, 29, 449-470.
Nomura Securities International, Inc., “Correlation Primer”, Nomura Fixed Income Research, August 6, 2004.
Nomura Securities International, Inc., “Tranching Credit Risk”, Nomura Fixed Income Research, October 8, 2004.
Societe Generale, “Pricing and Hedging Correlation Products”, Quantitative Credit Strategy, July 2004.
Zhou, C., “An Analysis of Default Correlations and Multiple Defaults”, Review of Financial Studies Summer 2001 Vol. 14, No. 2, 555-576.
指導教授 岳夢蘭(Meng-Lan Yueh) 審核日期 2006-7-13
推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu   
網路書籤 Google bookmarks   del.icio.us   hemidemi   myshare   

若有論文相關問題,請聯絡國立中央大學圖書館推廣服務組 TEL:(03)422-7151轉57407,或E-mail聯絡  - 隱私權政策聲明