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المؤلفون: 林朕陞, Lin, Jhen-Sheng
المساهمون: 臺灣大學: 經濟學研究所, 林金龍
مصطلحات موضوعية: 波動度預測, 跳躍, 槓桿效果, 修正後門檻估計量, 異質結構, 高頻率資料, volatility forecasting, jumps, leverage effects, corrected threshold estimator
وصف الملف: 548441 bytes; application/pdf
العلاقة: http://ntur.lib.ntu.edu.tw/handle/246246/253355Test; http://ntur.lib.ntu.edu.tw/bitstream/246246/253355/1/ntu-99-R96323038-1.pdfTest
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2رسالة جامعية
المؤلفون: 黃琮凱, Huang, Tsung-Kai
المساهمون: 呂育道, 臺灣大學:財務金融學研究所
مصطلحات موضوعية: 二元樹, 信用組合違約交換, 擔保債務憑證, 槓桿效果, binomial lattice, basket default swaps, collateralized debt obligations, leverage effect
وصف الملف: application/pdf; 421156 bytes
العلاقة: U0001-1801200921561000; http://ntur.lib.ntu.edu.tw/handle/246246/182708Test; http://ntur.lib.ntu.edu.tw/bitstream/246246/182708/1/ntu-98-R95723061-1.pdfTest
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3رسالة جامعية
المؤلفون: 盧琬靖, Lo, Wan-Ching
المساهمون: 李賢源, 臺灣大學:財務金融學研究所
مصطلحات موضوعية: 擔保債權憑證, 批次證券, copula函數, 槓桿效果, Collateralized debt obligations, tranches, copula function, leverage effect
وصف الملف: 638935 bytes; application/pdf
العلاقة: 中文部分 儲蓉,CDO論述—證券化的信主流,證券櫃檯月刊,第七十五期,91年5月。 高慧儀,擔保債務憑證(CDO)發展現況及其衍生問題探討,證券櫃檯月刊,第七十五期,93年。 廖四郎、李福慶,擔保債權憑證之評價-Copula 分析法,台灣金融財務季刊,第六輯第二期,94年6月。 黃裕烈,擔保債權憑證之評價:Copula 函數的應用,經濟論文,95年3月。 戴玉玲,CDO個案分析與評價,政治大學金融研究所碩士論文,95年6月。 郭銚倫,信用評等分組下之合成型CDO評價,政治大學金融研究所碩士論文,95年6月。 英文部分 Black, F. and J. C. Cox (1976), “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, 351-367. Crosbie, P. and J. Bohn (2003), “Modeling Default Risk,” Technical Report, Moody’s KMV Company. New York. Duffie. D. and N. Garleanu (2001), “Risk and Valuation of Collateralized Debt Obligations,” Financial Analysis Journal, 57, 41-59. Frey, R. and A. J. McNeil (2001). “Dependent Defaults in Models of Portfolio Credit Risk,” Journal of Risk, 6, 59-92. Galiani, S. S. (2003), “Copula Functions and their application in pricing and risk managing multiname credit derivative product,” Working paper. Genest, C., K. Ghoudi and L. P. Rivest (1995), “A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions,” Biometrika, 82, 542-552. Hull, J. and A. White (2004), “Valuation of a CDO and An N-th to Default CDS without Monte Carlo Simulation,” Journal of Derivatives, 12(2), 8-48. Jarrow, R. A., D. Lando, and F. Yu (2001), “Default Risk and Diversification: Theory and Applications,” Working paper. Jarrow, R., D. Lando, and S. Turnbull (1997), “A Markov Model for The Term Structure of Credit Spread,” Review of Financial Studies, 10, 481- 523. Li, D. X. (2000), “On Default Correlation: A Copula Function Approach,” Journal of Fixed Income, 9, 43-54. Meneguzzo, D. and W. Vecchiato (2004), “Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps,” Journal of Futures Markets, 24, 37-70. Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470. Nelson. R. B. (1998), An Introduction to Copulas, Springer. New York. Schonbucher J. and D. Schubert (2001), “Copula-Dependent Default Risk in Intensity Modles,” Working paper, Department of Statistics, Bonn University. Sklar, A. (1959), “Fonctions de R’epartition `a n Dimensions et Leurs Marges,”Publications de l’Institut de Statistique de l’Universit´e de Paris, 8, 229-231.; zh-TW; http://ntur.lib.ntu.edu.tw/handle/246246/60786Test; http://ntur.lib.ntu.edu.tw/bitstream/246246/60786/1/ntu-96-R94723023-1.pdfTest