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研究生： 胡伯聖
Hu, Bo-shen
論文名稱： Default Risk Management of Credit Derivatives with HJM Model
指導教授： 胡聯國
學位類別： 碩士
Master
系所名稱： 商學院 - 國際經營與貿易學系
Department of International Business
論文出版年： 2006
畢業學年度： 91
語文別： 英文
論文頁數： 50
相關次數： 點閱：75  下載：0 
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    • 債券信用風險的規避,一直以來是學者有興趣研究的課題,本篇研究以HJM模型去衡量信用風險, 透過市場資料的輸入,去衡量違約程度,並對信用風險相關之衍生性金融商品作出適當的評價,以求規避信用風險.

    Abstract
    In this study, we combine credit valuation approaches developed by Jarrow＆Turnbull (1995)、Duffie＆Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as defaultable yield rate and its volatility to measure credit risk, however, because of the close form in our model, the comparative static analysis for parameters can be done. At last, after introducing the survivor probability measure, we can extend to price default related derivatives.

    Contents

    1 Introduction ~………………………………………………1

    1.1 Research Purpose and structure ……………………………………..1
    1.2 Bond Market ……………………………………………………………3

    2 Credit Risk Related Model ~…………………………….. 4

    2.1 Firm Value Model……………………………………………………… 4
    2.2 No arbitrage pricing model……………………………………………. 8
    2.3 Default Intensity Model…………………………………………………9
    2.4 Reduced Form Model…………………………………………………. 11

    3 H.J.M. Model For Default Intensity ~……………………13

    3.1 Traditional H.J.M (no default risk interest rate)……………………. 13
    3.2 H.J.M With Credit Spread……………………………………………. 15
    3.3 The Stochastic Process of Bond Price Fluctuation and the Yield Rate with Default Risk ……………………………………………………………16

    4 The Introduction and Valuation of Credit Derivatives
    with HJM model …………………………………………..22

    4.1 The Default Protect Put (DPP) ………………………………………..25
    4.2 The Credit Default Swap (CDS)……………………………………… 26
    4.3 The valuation of Credit Default Swap Contracts under Different Risk Structure ………………………………………………………………28

    5 Conclusion 34

    Reference 36

    Appendix 39

    Reference

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