信用交換契約的評價與應用

• Main Author: 王柏祥
• Other Authors: 李賢源
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/80386724523658417951

碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === Except credit risk, most financial risks are able to be well resolved in the market directly. The main reason is almost all financial products have been developed based on the interest, the exchange rate, and the equity for a long time. Which makes plenty of applications in the related field easy certainly. On the other hand, owing to vagueness of the credit itself, credit derivatives are not popularized as other derivatives described above are. But by observing the booming trading volume of the credit derivatives in recent years, we can realize that there are more and more participants getting into this unique market. So, it is the right time to pay attention to the credit swap, the simplest type of the so-called credit derivatives, with which people can deal with the most primitive credit risk and build more complicated credit products. There are two divisions in this thesis. First, having a replicated portfolio to price a credit swap at the beginning of the contract. Which made us know the risk degree of the reference asset is the dominant pricing factor. Second, using the valuation of the floating-rate note to get such a contract price during the period. Between the interest movements driven by the Ho-Lee model, we saw the prices.