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系統識別號 U0002-0303200812292100
中文論文名稱 擔保債權憑證之評價分析
英文論文名稱 Valuation of Collateralized Debt Obligations
校院名稱 淡江大學
系所名稱(中) 管理科學研究所博士班
系所名稱(英) Graduate Institute of Management Science
學年度 96
學期 1
出版年 97
研究生中文姓名 李福慶
研究生英文姓名 Fu-Ching Lee
學號 889560065
學位類別 博士
語文別 中文
口試日期 2008-01-19
論文頁數 68頁
口試委員 指導教授-廖四郎
指導教授-陳淼勝
委員-林進財
委員-歐陽良裕
委員-婁國仁
委員-莊忠柱
委員-賴奎魁
委員-陳山火
中文關鍵字 擔保債權憑證分析  Copula  Factor Copula  隨機違約率模型 
英文關鍵字 Copula  Factor Copula  CDO Tranche  Strochastic hazard rate process 
學科別分類
中文摘要 自2002年底起,國際主要投資機構開始將投資重心轉向新奇信用衍生性CDO指數型分券(index tranche),例如標準化CDO指數型分券(index tranche)與CDO-Squared分券等。台灣金融產業目前正值轉型期,銀行業者不但面臨低利帶來經營壓力外,同時亦需規避評等較差之企業貸款的信用風險。此外,由於公司債連鎖違約與逆浮動結構債的鉅額損失,導致債券的投資資本轉向CDO市場。因此,此一環境背景下恰為發行CDO之良好契機。
從1997年發生東南亞金融危機,乃至1998年韓國的亞洲金融危機,造成許多跨國企業紛紛裁員、關廠、甚至倒閉,造成一連串的金融危機連鎖效應。由此可知,公司間或產業間之榮枯是相互關聯的,公司的破產機率除受債信評等高低所影響外,且均受總體經濟因素所影響。因此,本文嘗試以copula與factor copula方法來探究CDO資產池內標的間的違約相關性,以準確地估算CDO各分券之信用價差。

本研究之主要目的在於能更真實地捕捉CDO資產池的違約行為,在回復率隨機的假設設,採用CIR 隨機違約率模型與KMV-Merton Model合成的factor copula模型來評價指數型分券,同時利用兩階段probability bucketing方法來評價寶來證券所發行的第一檔CDO2。
本文與Hull and White (2004)模式double student’s t factor copula 模型作一比較,發現
採用兼具CIR 隨機違約率與隨機回復率模式將產生相對於Hull and White(2004) 模式來得
低之各分券信用價差。此即意味著違約率與回復率之常數假設是不合理的因為CDS 契約
存在著不同到期日之每日市場報價,亦即信用價差之訊息可及時地由市場報價獲得。
英文摘要 After 2002, many originators turn to consider various bespoke tranches of other CDOs (including standardized contract of CDS Index) as underlying of collateral for both raising the return of its tranches and diversifying underlying of its collateral. The type of exotic CDOs is referred to as Synthetic CDO-Squared. Currently, the Taiwanese financial industry is going through a period of transformation. The banks face not only the pressure of operating pressures owing to declining interest rate, but also the pressure to control credit risk on loans. Additionally, the crisis resulting from successive corporate bond default events and a huge loss of inverse floating structured notes have led to the switch of financial investments from bond mutual funds to Collateralized Debt Obligation (CDO) markets in Taiwan.
The Southeast Asian financial crisis occurred in year 1997, followed by the Asian financial crisis of affecting S. Korea of 1998. They both resulted in numerous multinational enterprises laying off employees, shutting down factories, and even going bankrupt, and caused widespread financial pain. For risk management and valuation of multi-name credit derivatives, the estimation of the default dependence is considered an extremely important factor. Default dependency may be influenced by both overall economy factor, sectoral and firm-specific factors.
For hybrid portfolio of the first CDO-Squared issued by the Polaris Securities Group in Taiwan, we propose hybrid factor copula model which involves CIR stochastic intensity model and KMV-Merton Model developed by Leland (2004) under random recovery rate environment to price CDO-Squared.
Compared with the double student’s t factor copula method developed by Hull and White (2004), we find that the proposed model which uses CIR intensity rate, random recovery rate of various secured-level brackets, and double student’s t copula produces fair credit spreads of tranches lower than the Hull and White (2004) model except 15%~30% tranche. The assumptions of positive mean-reverting hazard rate and stochastic recovery rates of various classifications are more realistic since CDS has daily market quotes of different maturities, and thus market trading can expose credit spread information of obligors.
論文目次 目錄
表目錄
圖目錄
第一章緒論
1.1研究動機與目的…1
1.2文獻探討…3
1.3本文結構…14
第二章擔保債權憑證之評價---Copula分析法
2.1前言.…15
2.2 Copula方法簡介..…15
2.3擔保債權證券(CDO)之評價模式…..17
2.4實證方法與結果分析….19
2.5本章小結..….29
第三章擔保債券憑證平方之評價--- Factor Copula分析法
3.1前言30
3.2 CDO評價模式設定32
3.3實證分析………41
3.4本章小結……….46
第四章結論與未來研究方向
4.1要研究成果………48
4.2未來研究方向………50
參考文獻……52
附錄1……..57
附錄2……..58
附錄3…64
附錄4……………..65
表目錄
表1-1美國近十年各類資產證券化之變化….…1
表1-2國內擔保債權憑證之發行個案……..3
表1-3現金流量型與市場價值型CDO之比較……..6
表2-1估計GARCH(1,1)參數和標準誤(SE)……..21
表2-2 Empirical Kendall’s (τ)之相關係數矩陣…..22
表2-3分券之信用價差…..…23
表2-4損失函數的統計量……….25
表3-1PROBIT 模式相關係數………..42
表3-2隨機回復率模型之參數估計…42
表3-3違約相關性之敏感度分析…….43
表3-4信用均數復歸速度參數 之敏感度分析…….44
表3-5CDO2信用均數復歸速度參數 之敏感度分析…….45
圖目錄
圖1-1CDO類型分類……………4
圖1-2擔保債權憑證之架構圖…….5
圖1-3擔保債權證券之現金流量瀑布………8
圖2-1標的資產報酬散佈圖…22
圖2-2實際市場資料模擬損失分配圖….26
圖2-3高風險的債權群組模擬損失分配圖….27
圖2-4權益分券之信用價差變化…….28
圖2-5次償分券之信用價差變化…….28
圖2-6先償分券之信用價差變化…….28
圖3-110~3%指數分券信用價差變化……45
圖3-213~7%指數分券信用價差變化……… 45
圖3-317~10%指數分券信用價差變化.…..46
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