Sensitivity analysis of credit derivatives

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/65477

Title:	Sensitivity analysis of credit derivatives
Authors:	曾耀德;Tseng,Yao-Te
Contributors:	統計研究所
Keywords:	價格敏感係數;信用型衍生性商品;price sensitivity;Greeks;credit derivatives;Dirac delta function;simulation
Date:	2014-07-07
Issue Date:	2014-10-15 15:32:39 (UTC+8)
Publisher:	國立中央大學
Abstract:	信用型衍生性商品 (Credit derivatives) 為重要的風險管控的重要工具 ,可做為投資者轉移性用風險的重要商品,當要對信用型衍生性商品作分析預測與風險管理時如何計算信用型衍生性商品的敏感度成為重要的議題。本文特別應用了distribution theory 對信用型衍生性商品的價格敏感係數 (Greeks) 提供的一個不偏的估計量,文中對 the likelihood ratio method以及我們的新方法在計算 deltas、gammas、以及 cross-gammas 的效率做了比較,數值模擬驗證了我們的方法提供的估計是比較有效率的。;Credit derivatives have been hugely popular, as they provide a nice mechanism to transfer credit risk for investors. Sensitivity analysis for credit derivatives is essential for both speculation and hedging purposes. This paper considers the Greeks calculation for credit derivatives. In particular, we provide a direct method via the distribution theory that gives unbiased estimators of the Greeks. We compare the efficiency of our proposed direct method and the likelihood ratio method regarding deltas, gammas, and cross-gammas. Numerical simulation confirms that our method yields more efficient estimators.
Appears in Collections:	[Graduate Institute of Statistics] Electronic Thesis & Dissertation

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