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研究生： 黃月君
Yue-Jiun Huang
論文名稱： 固定比例投資組合保險策略在合成型擔保債權憑證權益分券之適用性
CPPI on CDO Equity Tranches
指導教授： 陳建中
Chien-Chung Chen
岳夢蘭
Meng-Lan Yueh
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 95
語文別： 中文
論文頁數： 62
中文關鍵詞： 權益分券 、合成型擔保債權憑證 、固定比例投資組合保險策略 、因子相關性結構模型 、信用違約交換指數
外文關鍵詞： CPPI, CDS index, Latent Factor Model, Synthetic CDO Equity Tranches
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    • 本研究探討在因子相關性結構模型下，固定比例投資組合保險策略在合成型擔保債權憑證權益分券上的應用結果。以過去兩年十個月的iTraxx Europe 5Y指數和iTraxx Hivol 5Y指數的歷史資料做為擔保債權憑證的連結指數，並針對不同目標乘數及觀察期間對策略適用性的影響作比較分析。
    實證結果顯示，對於連結iTraxx Europe 5Y指數的權益分券的應用結果而言，在適當的乘數設定之下，績效結果大致上是很好的；但連結iTraxx Hivol 5Y指數的權益分券的應用結果而言，因為權益分券本金是最早拿來償還違約損失的特性，再加上固定比例投資組合保險策略中的乘數效果會將iTraxx Hivol 5Y指數高波動度的特性放大，使得策略不但在指數反彈回升時無法鎖住原先獲利，更侵蝕到本金保護水準，而導致策略失敗。

    This paper examines whether the Constant Proportion Portfolio Insurance (CPPI) could achieve good performance on Synthetic Collateralized Debt Obligation (CDO) Equity Tranches. The standard two indexes, iTraxx Europe 5Y and iTraxx Hivol 5Y, are used as the underlying indexes of CDO Equity Tranches, which are considered Equity Tranches as the risky assets in the CPPI strategy. Moreover, I use monthly and quarterly data to investigate the impact of different target multipliers on the performance of the CPPI strategy.
    The result of this paper shows that if the target multipliers are suitable and the underlying index of portfolios is iTraxx Europe 5Y, the performances are good. On the contrary, if the underlying index is iTraxx Hivol 5Y, the CPPI strategy performs really badly and fails to satisfy the investment target. This is not only due to the property of Equity Tranche but the magnify effects of multipliers on the high volatilities of iTraxx Hivol 5Y index.

    第一章 緒論..........................................1 第一節 研究背景 .....................................1 第二節 研究動機與目的................................5 第三節 研究架構......................................6 第二章 文獻探討......................................................7 第一節 信用風險模型回顧..............................7 第二節 擔保債權憑證評價模式..........................8 第三節 投資組合策略方法回顧.........................11 第三章 模型設定.....................................16 第一節 擔保債權憑證評價模型..........................16 第二節 固定比例投資組合保險策略......................23 第四章 實證分析.....................................27 第一節 合成型擔保債權憑證的評價......................27 第二節 固定比例投資組合保險策略應用結果..............30 第三節 敏感度分析....................................38 第五章 結論與建議...................................59 第一節 結論..........................................59 第二節 建議..........................................60 參考文獻...............................................61

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