信用違約交換之定價

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劉家齊(Chia-chi Liu) 查詢紙本館藏

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統計研究所

論文名稱

信用違約交換之定價
(On Pricing Credit Default Swaps)

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摘要(中)

近年來，衍生性金融商品發展越來越蓬勃。在這篇論文中，我們建構了一個CDS
的模型，假設違約強度服從CIR 模型。我們將此模型應用在四個歐洲國家的主權
債券的CDS 上，分別是希臘、葡萄牙、西班牙以及義大利。論文中顯示其參數如
何去影響CDS 價格以及CIR 模型可以配適大部分的資料。最後，本論文發現CIR
模型無法配適全部的市場資料。

摘要(英)

This paper presents a pricing framework of credit default swap (CDS), where the default intensity is driven by Cox-Ingersoll-Ross (CIR) model.
CDS spreads from four European countries,such as Greece, Portugal, Spain, and Italy are considered in the empirical analysis.
The paper investigates how the parameters effects CDS spreads, and show the adequacy of the CIR model for most cases.
This paper finally summarizes situations where CIR model doesn’’t fit the market observations.

關鍵字(中)

★ CIR model
★ CDS
★ reduced-form model

關鍵字(英)

★ CIR model
★ CDS
★ reduced-form model

論文目次

1 Introduction 1
2 Model assumptions 6
2.1 The default intensity . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2 Recovery rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.3 The valuation of CDS spreads . . . . . . . . . . . . . . . . . . . 8
3 Simulation studies 11
3.1 Cox-Ingersoll-Ross model . . . . . . . . . . . . . . . . . . . . . . 11
3.2 Generating synthetic data . . . . . . . . . . . . . . . . . . . . . 11
3.3 Grid search . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.4 Simulated Annealing . . . . . . . . . . . . . . . . . . . . . . . . 13
4 Empirical analysis 18
4.1 Greece . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
4.2 Portugal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
4.3 Spain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
4.4 Italy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
5 Conclusion 39
6 Future works 40
Reference 41

參考文獻

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Jarrow, R. A. and P. Protter (2004). Structural versus reduced form models: A new information based perspective. Journal of Investment Management 2, 1-10.
Jarrow, R. A. and S. M. Turnbull (1995). Pricing derivatives on financial securities subject to credit risk. The Journal of Finance 50, 53-85.
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指導教授

鄧惠文(Huei-wen Teng)

審核日期

2012-6-27

推文