Please use this identifier to cite or link to this item:
標題: The study of credit default swap pricing-The application of Hull-White model and KMV model
作者: 蔡効廷
Tsai, Shiau-Ting
關鍵字: credit default swap
Hull-White model
KMV model
出版社: 財務金融系所
引用: 中文部分: 1.沈大白、敬永康與蔡嘉倩(2003),「運用TEJ資料計算台灣債務償還率(回收率)之研究」,《金融業風險管理實證論文集》。 2.王瑞銘(2008),「利用分量迴歸法探討KMV信用風險模型:違約點定義之檢討」,國立中山大學財務管理學系財務在職專班碩士論文。 3.陳建良(2004),「違約機率與銀行信用風險管理之探討」,國立中山大學財務管理學系碩士班。 4.游日傑(2006),「信用風險的衡量與信用衍生性商品的簡介」。 5.沈大白與凌志銘(2006),「信用違約交換評價之實證研究-TCRI信用評等資訊之應用」,金融風險管理季刊,第二卷第二期,頁47- 74。 6.黃銘祥、許光華、黃榮彬與陳鈺鈴(2005),「KMV模型在台灣金融機構信用風險管理機制有效性研究」,財金論文叢刊,第三期,頁29-50。 英文部份: 1.Hull, J. and A. White. (2000), “Valuing Credit Default Swaps I:No Counterparty Default Risk,” Journal of Derivatives, 8, No.1, Fall. pp. 29-40. 2.Hull, J. and A. White. (2001), “Valuing Credit Default Swaps II:Modeling Default Correlations,” Journal of Derivatives, 8, No.3, Spring. pp. 12-22. 3.Merton, R. (1974), “On the Pricing of Corporate Debt: the Risk Structure of Interest Rate,” Journal of Finance, Vol. 28, pp. 449-470. 4.Black, F. and J. C. Cox. (1976), “Valuing Corporate Securities:Some Effect of Bond Indenture Provisions,” Journal of Finance, Vol. 31, pp. 351-367. 5.Longstaff, F. A. and E. S. Schwartz. (1995), “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,” Journal of Finance, Vol. 50, pp. 788- 819 6.Zhou, C. (1997), “A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities,” Working Paper, Washington, DC:Federal Reserve Board. 7.Jarrow, R. and S. Turnbull. (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, Vol. 50, pp. 53-86. 8.Madan, D. B. and H. Unal. (1998), “Pricing the Risks of Default,” Review of Derivatives Research 2, pp. 121-160. 9.Duffie, D. and K. Singleton. (1997), “An Econometric Model of the Term Structure of Interest Rate Swap Yields,” Journal of Finance, Vol. 52, pp. 1287-1321. 10.Jarrow, R. A., D. Lando, and S. M. Turnbull. (1997), “A Markov Model for the Term Structure of Credit Risk Spread,” The Review of Financial Studies, Vol. 10, pp. 481-523. 11.Duffie, D. and K. Singleton. (1999), “Modeling Term Structures of Defaultable Bonds,” The Review of Financial Studies, Vol. 12 pp. 687-720. 12.Lando, D. (1998), “On Cox Processes and Credit Risky Securities,” Review of Derivatives Research, Vol. 2 pp. 99-120. 13.Schönbucher Philipp J. (2000), “The Pricing of Credit Risk and Credit Risk Derivatives,” Working Paper, London School of Economics, Financial Markets Group. 14.Naoya Takezawa and Noubuya Takezawa (2003), “A Note On Credit Risk of Vertica Keiretsu Firms:Evidence from the Japanese Automobile Industry,” Asia-Pacific Financial Markets, pp. 377-398.
摘要: The credit risk did not be concerned with investor before 1990. However, there are many companies have raised the credit crisis and bankruptcy since 1990. These events have also been occurred in Taiwan. Therefore, the measurement and monitoring of the credit risk has begun a big issue in risk management. In this study, the author selected the 18 electronic service companies which had issued the bonds and listed in Stock Market from the year of 2000 to 2010 for CDS spread calculation. The KMV model and Hull-White model is applied to CDS spread calculation.
其他識別: U0005-2501201103543900
Appears in Collections:財務金融學系所



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.