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研究生： 劉家齊
Chia-chi Liu
論文名稱： 信用違約交換之定價
On Pricing Credit Default Swaps
指導教授： 鄧惠文
Huei-wen Teng
口試委員:
學位類別： 碩士
Master
系所名稱： 理學院 - 統計研究所
Graduate Institute of Statistics
畢業學年度： 100
語文別： 英文
論文頁數： 53
中文關鍵詞： CIR model 、CDS 、reduced-form model
外文關鍵詞： CIR model, CDS, reduced-form model
相關次數： 點閱：11  下載：0 
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    • 近年來，衍生性金融商品發展越來越蓬勃。在這篇論文中，我們建構了一個CDS
    的模型，假設違約強度服從CIR 模型。我們將此模型應用在四個歐洲國家的主權
    債券的CDS 上，分別是希臘、葡萄牙、西班牙以及義大利。論文中顯示其參數如
    何去影響CDS 價格以及CIR 模型可以配適大部分的資料。最後，本論文發現CIR
    模型無法配適全部的市場資料。

    This paper presents a pricing framework of credit default swap (CDS), where the default intensity is driven by Cox-Ingersoll-Ross (CIR) model.
    CDS spreads from four European countries,such as Greece, Portugal, Spain, and Italy are considered in the empirical analysis.
    The paper investigates how the parameters effects CDS spreads, and show the adequacy of the CIR model for most cases.
    This paper finally summarizes situations where CIR model doesn''t fit the market observations.

    1 Introduction 1 2 Model assumptions 6 2.1 The default intensity . . . . . . . . . . . . . . . . . . . . . . . . 6 2.2 Recovery rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.3 The valuation of CDS spreads . . . . . . . . . . . . . . . . . . . 8 3 Simulation studies 11 3.1 Cox-Ingersoll-Ross model . . . . . . . . . . . . . . . . . . . . . . 11 3.2 Generating synthetic data . . . . . . . . . . . . . . . . . . . . . 11 3.3 Grid search . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.4 Simulated Annealing . . . . . . . . . . . . . . . . . . . . . . . . 13 4 Empirical analysis 18 4.1 Greece . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 4.2 Portugal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 4.3 Spain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 4.4 Italy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 5 Conclusion 39 6 Future works 40 Reference 41

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