| DC 欄位 |
值 |
語言 |
| DC.contributor | 統計研究所 | zh_TW |
| DC.creator | 劉家齊 | zh_TW |
| DC.creator | Chia-chi Liu | en_US |
| dc.date.accessioned | 2012-6-27T07:39:07Z | |
| dc.date.available | 2012-6-27T07:39:07Z | |
| dc.date.issued | 2012 | |
| dc.identifier.uri | http://ir.lib.ncu.edu.tw:444/thesis/view_etd.asp?URN=992205005 | |
| dc.contributor.department | 統計研究所 | zh_TW |
| DC.description | 國立中央大學 | zh_TW |
| DC.description | National Central University | en_US |
| dc.description.abstract | 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。
| zh_TW |
| dc.description.abstract | 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.
| en_US |
| DC.subject | CIR model | zh_TW |
| DC.subject | CDS | zh_TW |
| DC.subject | reduced-form model | zh_TW |
| DC.subject | CIR model | en_US |
| DC.subject | CDS | en_US |
| DC.subject | reduced-form model | en_US |
| DC.title | 信用違約交換之定價 | zh_TW |
| dc.language.iso | zh-TW | zh-TW |
| DC.title | On Pricing Credit Default Swaps | en_US |
| DC.type | 博碩士論文 | zh_TW |
| DC.type | thesis | en_US |
| DC.publisher | National Central University | en_US |