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

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：16

、訪客IP：3.147.103.234

姓名

黃月君(Yue-Jiun Huang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

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
(CPPI on CDO Equity Tranches)

相關論文

★ 公股銀行在低利環境與過度競爭下經營策略之研究-以A銀行為例	★ 勞工退休金條例草案之轉換選擇權的評價與分析
★ 一般化的美式選擇權解析上界	★ 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	★ 擔保債務憑證市場價格隱含之相關係數結構
★ 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	★ 選擇權實證研究:以臺指選擇權為例
★ 選擇權實證研究-以S&P500指數選擇權為例	★ 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

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]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本研究探討在因子相關性結構模型下，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上的應用結果。以過去兩年十個月的iTraxx Europe 5Y指數和iTraxx Hivol 5Y指數的歷史資料做為擔保債權憑證的連結指數，並針對不同目標乘數及觀察期間對策略適用性的影響作比較分析。
實證結果顯示，對於連結iTraxx Europe 5Y指數的權益分券的應用結果而言，在適當的乘數設定之下，績效結果大致上是很好的；但連結iTraxx Hivol 5Y指數的權益分券的應用結果而言，因為權益分券本金是最早拿來償還違約損失的特性，再加上固定比例投資組合保險策略中的乘數效果會將iTraxx Hivol 5Y指數高波動度的特性放大，使得策略不但在指數反彈回升時無法鎖住原先獲利，更侵蝕到本金保護水準，而導致策略失敗。

摘要(英)

This paper examines whether the Constant Proportion Portfolio Insurance (CPPI) could achieve good performance on Synthetic Collateralized Debt Obligation (CDO) Equity Tranches. The standard two indexes, iTraxx Europe 5Y and iTraxx Hivol 5Y, are used as the underlying indexes of CDO Equity Tranches, which are considered Equity Tranches as the risky assets in the CPPI strategy. Moreover, I use monthly and quarterly data to investigate the impact of different target multipliers on the performance of the CPPI strategy.
The result of this paper shows that if the target multipliers are suitable and the underlying index of portfolios is iTraxx Europe 5Y, the performances are good. On the contrary, if the underlying index is iTraxx Hivol 5Y, the CPPI strategy performs really badly and fails to satisfy the investment target. This is not only due to the property of Equity Tranche but the magnify effects of multipliers on the high volatilities of iTraxx Hivol 5Y index.

關鍵字(中)

★ 權益分券
★ 合成型擔保債權憑證
★ 固定比例投資組合保險策略
★ 因子相關性結構模型
★ 信用違約交換指數

關鍵字(英)

★ CPPI
★ CDS index
★ Latent Factor Model
★ Synthetic CDO Equity Tranches

論文目次

第一章緒論..........................................1
第一節研究背景 .....................................1
第二節研究動機與目的................................5
第三節研究架構......................................6
第二章文獻探討......................................................7
第一節信用風險模型回顧..............................7
第二節擔保債權憑證評價模式..........................8
第三節投資組合策略方法回顧.........................11
第三章模型設定.....................................16
第一節擔保債權憑證評價模型..........................16
第二節固定比例投資組合保險策略......................23
第四章實證分析.....................................27
第一節合成型擔保債權憑證的評價......................27
第二節固定比例投資組合保險策略應用結果..............30
第三節敏感度分析....................................38
第五章結論與建議...................................59
第一節結論..........................................59
第二節建議..........................................60
參考文獻...............................................61

參考文獻

Altman, E.I., Brady, A. Resti and A. Sironi, “The link between default and recovery rate: Theory, empirical evidence and implications”, Journal of Business, 2004.
Andersen, L., J. Sidenius, and S. Basu, “All your hedges in one basket”, RISK, November, 2003.
Andersen, L. and J. Sidenius, “Extensions of the Gaussian copula model”, Journal of Credit Risk, Vol. 1, No. 1, 2004, pp. 29-70
Bertrand, P., and J.L. Prigent, “Portfolio Insurance: The extreme value approach to the CPPI method“, Working Paper, 2001.
Bertrand, P., J. et al., “Portfolio Insurance Strategies: OBPI versus CPPI“, Working Paper, 2002
Black, F. and R. Jones, “Simplifying portfolio insurance”, Journal of Porfolio Management, Vol. 14, No. 1, 1987, pp. 48-51.
Black, F. and R. Jones, “Simplifying portfolio insurance for corporate pension plans”, Journal of Porfolio Management, Vol. 14, No. 4, 1988, pp. 33-37.
Felsenheimer, J., et al., “Credit Derivatives Special”, HVB Global Markets Research, 2004
Garcia C.B. and F.J. Gould, “A note on the measurement of risk in a portfolio”, Financial Analysts Journal, 1987, pp. 61-69
Gibson, M., “Understanding the risk of synthetic CDOs”, Working Paper, rev. 2004
Gill, K., et al., “Principal protection strategies for alternative investments”, FitchRatings Structured Finance, 2004
Gregory, J. and J. Laurent, “Basket default swaps, CDO’s and factor copulas”, Journal of Risk, Vol. 7, No. 4, 2005, pp. 103-22.
Hull, J., and A. White, “Valuing credit default swapⅡ: Modeling default correlations”, Journal of Derivatives, Vol. 8, No. 3, 2004, pp. 8-23.
Hull, J., and A. White, “Valuation of a CDO and nth to default CDS without Monte Carlo Simulation”, Journal of Derivatives, Vol. 12, No. 2, 2004, pp. 8-23
Hull, J., and A. White, “Valuing credit derivatives using an implied copula approach”, Journal of Derivatives, Vol. 14, No. 2, 2006, pp. 8-28.
Hull, J., and A. White, “Dynamic models of portfolio credit risk: a simplified approach”, Working Paper, 2006.
Li, D.X. “On Default Correlation: A Copula Approach”, Journal of Fixed Income, Vol. 9 (March 2000), pp. 43-54.
Meneguzzo, D., and W. Vecchiato, “Coupula sensitivity in collateralized debt obligations and basket default swaps pricing and risk monitoring”, Risk Management Dept. Intesa Bank, 2002
Montenay, A., et al., “Credit CPPI”, DrKW Debt research, 2005
Perold, A. and W. Sharp, “Dynamic strategies for asset allocation”, Financial Analysts Journal, 1988, pp. 16-27
Rubinstein, M. and H.E. Leland, “Replicating Options with Positions in stock and cash”, Financial Analysts Journal, 1981, pp. 63-72
Whetten, M., et al., “Tranching credit risk: Examples with CDOs and the iTraxx index”, Nomura Fixed Income Research, 2004.
Whetten, M., et al., “Anatomy of Credit CPPI”, Nomura Fixed Income Research, 2005.
Zhu, Y. and R.C. Kavee, “Performance of Portfolio Insurance Strategies”, Journal of Portfolio Management, 1988, pp. 48-54
林恩平，「因子相關性結構模型之下合成型擔保債權憑證之評價與避險」，國立政治大學金融研究所，碩士論文，2006

指導教授

陳建中、岳夢蘭
(Chien-Chung Chen、Meng-Lan Yueh)

審核日期

2007-7-11

推文