博碩士論文 954208023 完整後設資料紀錄

DC 欄位	值	語言
DC.contributor	財務金融學系	zh_TW
DC.creator	許書銘	zh_TW
DC.creator	Shu-Ming Hsu	en_US
dc.date.accessioned	2008-6-26T07:39:07Z
dc.date.available	2008-6-26T07:39:07Z
dc.date.issued	2008
dc.identifier.uri	http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=954208023
dc.contributor.department	財務金融學系	zh_TW
DC.description	國立中央大學	zh_TW
DC.description	National Central University	en_US
dc.description.abstract	本文在單因子高斯連繫結構模型下, 使用鞍點近似法求算損失函數, 以及計算擔保債權憑證分券的公平價差, 分券現值, 以及其對信用價差的敏感度, 及分券避險比例。 傳統上利用遞迴方法計算分券現值敏感度時, 假設信用價差變動 1 個基點, 求算其分券現值變化量, 但此法計算效率較低。 本文主要的貢獻在於利用鞍點近似法導求公平價差及分券現值敏感度之半解析公式解。	zh_TW
dc.description.abstract	This paper utilizes the saddlepoint approximation method to calculate loss distribution in the one factor Gaussian copula model, and evaluates the fair spread and mark-to-market of CDO tranches. Moreover, we analyze the sensitivity of the fair tranche spread to the changes of underlying portfolio spreads and work out the mark-to-market and hedge ratios for the tranches. Traditionally, using recursive method to calculate the sensitivity of mark-to-market has assumed a parallel shift of 1 basis point in the spread of the single name CDS or the underlying portfolio spreads. The recursive approach makes computation of mark-to-market and hedge ratios less efficient due to computing burden. Hence, the main contribution of this paper is to use saddlepoint approximation method to get semi-analytic formula for the sensitivity of fair spread and mark-to-market.	en_US
DC.subject	擔保債權憑證評價	zh_TW
DC.subject	損失分配函數	zh_TW
DC.subject	鞍點近似法	zh_TW
DC.subject	因子聯繫模型	zh_TW
DC.subject	擔保債權憑證避險	zh_TW
DC.subject	Hedging CDO	en_US
DC.subject	Loss Distribution	en_US
DC.subject	Pricing CDO	en_US
DC.subject	Factor copula	en_US
DC.subject	Saddlepoint approximation	en_US
DC.title	鞍點近似法於擔保債權憑證之評價與避險	zh_TW
dc.language.iso	zh-TW	zh-TW
DC.title	Saddlepoint Approximation for Pricing and Hedging Synthetic CDO	en_US
DC.type	博碩士論文	zh_TW
DC.type	thesis	en_US
DC.publisher	National Central University	en_US