信用衍生性金融商品之研究:CB Asset Swap 及CDO

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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)

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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

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指導教授

史綱、張森林
(Gang Shyy、San-Lin Chung)

審核日期

2004-5-18

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