| 姓名 |
施凱程(Kai-Chen Shih)
查詢紙本館藏 |
畢業系所 |
財務金融學系 |
| 論文名稱 |
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
(The Correlation Impact of Underlying on Prices of Synthetic Collateralized Debt Obligations and Basket Default Swaps)
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| 相關論文 | |
| 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)
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| 摘要(中) |
在這篇論文中，我們將使用純統計的方法去分析在不同的相關係數(correlation)下，合成式債務抵押債券(synthetic CDOs)及一籃子違約交換(BDSs)的訂價。而之所以使用Copula function，因為它是目前所使用存活分析(survival analysis)方法中，可以將一個多維的分配，拆成單維的邊際函數及相關性的結構(dependent structure)兩個部分的一種方法，也是目前學術界非常熱門的一種統計方法。
使用常態Copula去找出標的債券的存活時間，利用它訂價synthetic CDOs及BDSs，可以發現不同的相關係數對於相關的信用衍生性金融商品如synthetic CDOs及BDSs影響很大，本篇最主要的目的就是討論相關係數對synthetic CDOs及BDSs的訂價影響程度。而不同的相關係數造成的風險，即所謂的相關係數風險，更是訂價信用衍生性金融商品所必須注意的。而本篇論文所推導求算出來的數據，更可以作為投資者或信用衍生性金融商品管理者一個參考的依據。 |
| 摘要(英) |
We analyzed the pricing of the Synthetic Collateralized Debt Obligations (synthetic CDOs) and Basket Default Swaps (BDSs) with different correction by using Statistical techniques in this paper. Copula function is a good way in present survival analysis method because it can divide multivariate distribution into two parts. One is marginal distribution, and the other is dependent structure. Therefore, copula is popularly used in many academic researches now.
To specify the survival times of the underlying securities by using Normal Copula, and using the analyzing result to price the synthetic CDOs and BDSs. The credit derivatives products (such as synthetic CDOs and BDSs) with different correlation will affect pricing large. The correlation impact of underlying on prices of synthetic CDOs and BDSs is the purpose of this thesis. The risk caused by different correlation, that is correlation risk, we should pay more attention on it when we price the credit derivatives. Therefore, our results could be a reference for investors and manager of investing credit derivatives, no matter in pricing or risk management. |
| 關鍵字(中) |
★ 相關係數風險
★ 相關性的結構
★ 邊際函數
★ Copula function
★ 相關係數
★ 一籃子違約交換
★ 合成式債務抵押債券 |
關鍵字(英) |
★ Basket Default Swaps (BDSs)
★ dependent structure
★ Synthetic Collateralized Debt Obligations
★ Copula function
★ correlation
★ marginal distribution
★ correlation risk |
| 論文目次 |
1.Introduction………………………………………………………1
2.The framework of CDO structure………………………………2
2.1 Four CDO tranches…………………………………………………...4
2.2 Importance of dependence of the reference entities………………...4
2.3 The Normal dependence structure…………………………………...5
3. Characterization of default events……………………………...7
3.1 Survival time function…………………………………………………7
3.2 Hazard rate function…………………………………………………...8
3.3 Definition the correlation of survival time……………………………9
3.4 Copula function………………………………………………………...9
4. The pricing of synthetic CDO…………………………………..12
4.1 Gaussian Normal Copula……………………………………………...13
4.2 The value of the default leg……………………………………………..16
4.3 The value of the premium leg…………………………………………..18
4.4 Monte Carlo simulation of CDO………………………………………..19
4.5 Result for CDO…………………………………………………………..19
4.6 CDO-Greeks values……………………………………………………...22
4.7 The correlation risk of CDO tranches………………………………….26
5. Credited-linked note………………………………………………28
5.1 First-to-default baskets…………………………………………………..29
5.2 Pricing of the homogeneous BDSs……………………………………….29
5.3 Monte Carlo simulation…………………………………………………..31
5.4 Result for BDSs…………………………………………………………...31
5.5 Sensitivity in BDSs………………………………………………………..33
6. Conclusions…………………………………………………………35
References.............................................37
Appendix A................................................39
Appendix B................................................45 |
| 參考文獻 |
Hans-Juergen Brasch (2004): "A Note on Efficient Pricing and Risk Calculation of Credit Basket Products" TD Securities, November 2004.
Ren-Raw Chen and Ben J.Sopranzetti (2003): "The Valuation of Default Triggered Credit Derivatives." Journal of Financial and Quantitative Analysis, June 2003.
Claudio Romano (2002): "Applying Copula Function to Risk Management." April 2002.
Darrell Duffie and Nicolae Garleanu (2001): "Risk and Valuation of Collaterlized Debt Obligations." September 23, 2001.
Michael S. Gibson (2004): "Understanding the Risk of Synthetic CDOs." FEDS Working Paper No. 2004-36, July 2004.
David X. Li (2000): "On Default Correlation: A Copula Approach." Journal of Fixed Income, March, Vol. 9, Issue 4, pp. 43-54, 2000.
Shu-Ying Lin (2004): "Two Essays on Credit Derivatives CB Asset Swap and CDO" Ph.D thesis, NCU.
Frey R, McNeil AJ, Nyfeler M (2001): "Copulas and credit models." RISK, pp. 111-114, October 2001.
Meneguzzo and Vecchiato (2002): "Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps Pricing and Risk Monitoring." October 2002.
Meneguzzo and Vecchiato (2004): "Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps." Journal of Futures Markets, Vol. 24, No. 1, 37-70, 2004.
Vinod Kothari (2002): "Credit Derivatives and Synthetic Securitisation." St New York.
Salih N. Neftci (2004): "Principles of Financial Engineering." Academic Press.
Israel Nelken (1999): "Implementing Credit Derivatives." McGraw-Hill.
Nelson R.(1999): "An Introduction to Copulas." Springer, New York.
Charles W. Smithson (2003): "Credit Portfolio Management." Wiley, New York.
Janet M. Tavakoli (1998): "Credit Derivatives." Wiley.
Janet M. Tavakoli (2001): "Credit Derivatives Synthetic Structures." Wiley.
Bernd Will (2003): "Valuation of Multi-Name Credit Derivatives." Mathematical Finance, Oxford, September 29, 2003. |
| 指導教授 |
岳夢蘭(Meng-Lan Yueh)
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審核日期 |
2005-7-7 |
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