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| 研究生： |
揚濬濂 |
|---|---|
| 論文名稱： |
違約傳染模型及其應用 A contagion model of defaults and its applications |
| 指導教授： | 江彌修 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2010 |
| 畢業學年度： | 98 |
| 語文別： | 中文 |
| 論文頁數： | 53 |
| 中文關鍵詞： | 傳染 、違約 、信用 |
| 相關次數： | 點閱：209 下載：48 |
| 分享至: |
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目前市場多以因子聯繫模型（factor copula）作為擔保信用憑證之評價基礎，然而其靜態的性質無法捕捉違約環境之演變，且其對條件獨立的假設經實證資料而遭質疑。本文以Davis and Lo(2001)的違約傳染模型為基礎，傳染是新的一種描述違約相關性的方式，我們將Davis and Lo(2001)的模型作了延伸，改變其違約狀態及傳染形式，讓其應用性更廣，使違約傳染模型能用來評價擔保信用憑證。
第一章 導論 ...................................................... 4
第二章 文獻回顧 .................................................. 6
第一節 信用風險模型與違約傳染模型................................................................ 6
第二節 DAVIS AND LO的傳染模型 ....................................................................... 9
第三章 模型設定 ................................................. 11
第一節 模型基本設定.......................................................................................... 11
第二節 單期模型.................................................................................................. 13
第三節 跨期模型.................................................................................................. 17
第四節 模型結合BETA分配 ............................................................................... 19
第四章 數值分析 .................................................. 21
第一節 違約狀態及傳染型式對違約次數的影響.............................................. 21
第二節 模型參數對違約次數的影響.................................................................. 26
第三節
模型評價合成型的擔保信用憑證 .......................................................... 35
第五章 結論 ..................................................... 44
附錄 ......................................................... 45
參考文獻 ......................................................... 48
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