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| 研究生： |
張宇賢 |
|---|---|
| 論文名稱： |
基於非齊次卜瓦松過程之動態違約相關性描述及其應用 On The Application of Inhomogeneous Poisson Arrivals in Default Intensity Modelling: Dynamic Default Correlations |
| 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： | 2009 |
| 畢業學年度： | 97 |
| 語文別： | 中文 |
| 論文頁數： | 55 |
| 中文關鍵詞： | 非齊次卜瓦松過程 、違約關聯性 、信用擔保債權 |
| 相關次數： | 點閱：272 下載：97 |
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本文假設信用事件為非致命性 (non-fatal)，其發生為外生非齊次卜瓦松過程 (Inhomogeneous Poisson Process)。當信用事件發生時，導致債權群組之標的資產違約機率同時上升，與市場上違約叢聚現象 (clustering effect)相似。本研究允許信用事件發生之頻率為系統及非系統性風險因素，且服從三參數伽瑪分配。進而提供一可校準的動態違約相關性模型，藉由對於信用事件發生頻率與信用事件影響幅度之刻劃，更能與市場報價貼近。本研究並以信用擔保債權為例，驗證本模型於評價及校準上之可行性，並對遠期信用擔保債權進行評價與敏感度分析。根據市場報價校準出之參數可反應目前信用市場上對於債權群組之標的資產間違約關聯性之看法。當模型中之參數變動時，對於違約關聯性之影響，亦可觀察權益分券與其他分券之合理信用價差產生之變化。
1 前言6
2 文獻回顧10
2.1 信用模型發展.. . . . . . . . . . . . . . . . . . . . 10
2.2 違約相關性. . . . . . . . . . . . . . . . . . . . . 11
2.3 跳躍過程. . . . . . . . . . . . . . . . . . . . . . 13
3 基本假設與模型設定14
3.1 擔保債權憑證之評價模型. . . . . . . . . . . . . . . . 15
3.2 存活機率. . . . . . . . . . . . . . . . . . . . . . 17
3.2.1 信用事件發生之頻率. . . . . . . . . . . . . . . . 19
3.2.2 信用事件影響幅度. . . . . . . . . . . . . . . . . 22
3.3 參數校準. . . . . . . .. . . . . . . . . . . . . . 23
3.3.1 信用事件影響幅度為常數之模型. . . . . . . . . . 23
3.3.2 信用事件影響幅度為信用事件次數函數之模型. . . 25
4 數值結果與分析27
4.1 評價結果. . . . . . . . . . . . . . . . . . . . . 28
4.2 多變數之評價模型. . . . . . . . . . . . . . . . . . 32
4.3 敏感度分析. . . . . . . . . . . . . . . . . . . . . 35
4.3.1 信用事件發生頻率之敏感度分析. . . . . . . . . . 36
4.3.2 跳躍幅度之敏感度分析. . . . . . . . . . . . . . . 38
4.3.3 回復率之敏感度分析. . . . . . . . . . . . . . . . 40
4.4 遠期信用擔保債權. . . . . . . . . . . . . . . . . . 42
4.4.1 遠期信用擔保債權之信用事件發生頻率敏感度分析44
4.4.2 遠期信用擔保債權之信用事件出現次數敏感度分析46
4.4.3 遠期信用擔保債券之回復率敏感度分析. . . . . . 47
5 結論與建議50
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