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| 研究生： |
周政偉 Jheng Wei,Jhou |
|---|---|
| 論文名稱： |
股權擔保債權憑證之研究:因子模型的延伸 The Pricing and Hedging of Equity Collateralized Debt Obligations (ECDOs): Using an Autonomous Factor Copulae Model |
| 指導教授： |
江彌修
Mi Hisu,Chiang |
| 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： | 2007 |
| 畢業學年度： | 95 |
| 語文別： | 英文 |
| 論文頁數： | 50 |
| 中文關鍵詞： | 無 |
| 相關次數： | 點閱：172 下載：0 |
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1 Introduction.............................................7
2 Literature review.......................................11
2.1 EDSs................................................11
2.2 ECDOs...............................................12
3 The pricing model.......................................14
3.1 The default event correlation model.................14
3.2 An autonomous factor copulae model..................15
3.2.1 Equity default probability....................16
3.3 Calibration.........................................18
3.4 Pricing an EDS......................................19
3.5 Pricing an ECDO.....................................20
4 Numercial results.......................................22
4.1 Results for an EDS..................................22
4.1.1 Impact of hazard rates and stock volatilities.24
4.1.2 Impact of trigger equity values...............25
4.1.3 Impact of correlation between the stock
critical variable and the common factor.......26
4.2 Results for an ECDO.................................27
4.2.1 Pricing.......................................27
4.2.2 Impact of the number of EDSs in an ECDO.......29
4.2.3 Impact of the hazard rates and stock
volatilities..................................30
4.2.4 Risk measure for an ECDO......................30
4.2.5 Hedge parameters for an ECDO..................38
5 Conclusions.............................................47
Albanese, C. and O. Chen (2005), “Pricing equity default swaps”, Risk, 18(6), 83–87.
Christian Bluhm, Ludger Overbeck and Christoph Wagne (2003), An Introduction to CREDIT RISK MODELING, CHAPMAN &
HALL/CRC.
David X. Li (2000), “On Default Correlation: A Copula
Function Approach”, The Journal of Fixed Income, 9(4), 43–54.
Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives, 12(2),8–24.
Medova, E. and R. Smith (2006), “A structural approach to EDS pricing”, Risk, 19(4), 84–88.
Musiela, M. and M. Rutkowski (2004), Martingale methods in financial modelling, Springer-Verlag, second edition.
Satyajit Das (2005), CREDIT DERIVATIVES CDOs AND STRUCTURED
CREDIT PRODUCTS, John Wiley and Sons, third edition.
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