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標題: Information Implied in Credit Derivatives
作者: 葉仕國
關鍵字: 應用研究;credit risk;經濟學;信用風險;結構式模型;縮減式模型;信用衍生性商品;structural model;reduced form model;credit derivative
由於信用衍生性金融商品、資產證券化及其他結構性商品的迅速成長,促進許多複雜的信用風險評價模型的發展,這些評價模型的發展同時對於投資組合風險的衡量及信用風險管理產生了顯著的影響。此外,隨著巴塞爾新資本協定的即將實施,應用數量化的工具建構信用風險模型也成了金融業的重點工作,其中又以個別企業的違約機率計算最受到關注。常見的信用風險模型可以分為結構式以及縮減式模型,各自都有其優劣點。通常結構式模型乃是用來作為進行倒閉預測以及信用風險管理,而縮減式模型由於具備了快速地從市場資訊反推模型參數的能力,使得此一模型往往被實務界人士拿來對信用衍伸性商品進行評價。Chen(2003)所建構的模型則是延伸自Geske and Johnson(1984)的結構式模型,其貢獻在於能處理多期間和隨機利率的情境。更重要的是,在離散的二元樹架構下,此一模型可以與縮減式進行比較。儘管此一論文在理論上有重大突破,但在實證上則尚未被驗證。基於這樣的瞭解,本研究計畫嘗試援用國外的信用衍生性商品交易資料來針對此一模型進行實證研究,並期望能從實證結果中萃取出信用衍生性商品所隱含的一些重要資訊。

Many sophisticated credit risk models have been developed following a fast growingbusiness of credit derivatives, securitization products and structured notes. Meanwhile, thesemodels have imposed profound impacts on how credit risk imbedded in portfolio can bemeasured and managed. On the other hand, a lot of quantitative credit risk models have beenessential to setting up the Internal Rating-Based models as the proposed New Basel CapitalAccord will be implemented in the near future. Consequently, estimating a company』sprobability of default has become the most important task of all. The two well-knowapproaches for credit risk modeling, structural and reduced form models, have theiradvantages and disadvantages. The structural-based models are used for default predictionand credit risk management. The ability to quickly calibrate is the major reason why reducedform model are strongly favored by market practitioners in the credit derivatives market forpricing. Chen (2003) extends the Geske and Johnson model (1984) which is structural modelto multiple periods and to incorporate random interest rates. Furthermore, this article showsthat extended Geske and Johnson model can be compared with reduced form models in adiscretized binomial framework. Despite this paper makes some breakthroughs, the model hasnot yet been implemented. Based on this understanding, we propose an empirical study usingdata of credit derivatives traded in foreign markets to verify the applicability of the extendedGeske and Johnson model. Hopefully, the derived empirical results can provide some betterinsights into the information contained in credit derivatives.
其他識別: NSC95-2416-H005-013-MY3
Appears in Collections:財務金融學系所

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