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題名：	風險管理之研究
作者：	李志偉
作者(外文)：	Chih-Wei Lee
校院名稱：	臺灣大學
系所名稱：	國際企業學研究所
指導教授：	郭震坤
學位類別：	博士
出版日期：	2004
主題關鍵詞：	極值理論；風險值；兩階段傳輸；損失函數；共同因子卜瓦松分配模式；債權抵押證券；壓力測試；Value at Risk；collateralized debt obligation (CDO)；loss function；Poisson model with common shock；Copula；two-stage transmission；stress testing；Extreme Value Theory (EVT)
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:31

Risk management is the process by which various financial risk exposures are identified, measured, and controlled. Financial risks can be defined as those that relate to possible losses in financial markets, such as losses due to interest rate movements or defaults on financial obligations. Generally, financial risks are classified into the broad categories of market risks, credit risks, liquidity risks, operational risks, and legal risks.
This dissertation comprises three essays on risk management. In the first essay “Stress Testing for Two-stage Transmission Stress Events”, we use the two-stage conditional probability distributions to compute a new loss exposure measure for stress events that may have two-stage sequential impacts on various markets. The simulated results show that the proposed loss exposure measure improves upon the over- or under-estimation biases commonly found in stress testing conducted by financial institutions in their VaR calculations.
In the second essay “Estimating Extreme Correlation for the EVT-type VaR - a Copula Approach”, we propose to use the Clayton copula to derive a time-varying correlation model for calculating the extreme value theory (EVT) type Value at Risk (VaR). Using a historical VaR as benchmark, the results show that on average, the new approach outperforms that with constant correlation, especially in portfolios with less risk exposure to the NTD/USD foreign exchange rate.
In the third essay “A Poisson Model with Common Shocks for CDO Valuation”, we propose a collateralized debt obligation (CDO) valuation model without having to assume conditional independence. A Poisson model with common shocks is used for the derivation of CDO loss function. By grouping firms with equal credit ratings, the number of model parameters is reduced. Thereby, the implementation of models assuming conditional dependence can be made more efficient.

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References

Bluhm, C., 2003, CDO Modeling: Techniques, Examples and Applications, Working paper, Hypo Vereinsbank.
Cossette H., and Marceau E., 2000, The Discrete-Time Risk Model with Correlated Classes of Business, Insurance: Mathematics and Economics, 26, 133-149.
Croughy, M., Galai, D., and Mark, R., 2000, A Comparative Analysis of Current Credit Risk Models, Journal of Banking and Finance, 24, 1-2, 59-117.
Davis, M., and Lo, V., 2000, Modelling Default Correlation in Bond Portfolios, Working paper, Imperial College, London.
Duffie, D.J., and Singleton, K. J., 1999, Simulating Correlated Defaults, Working paper, Stanford University Graduate School of Business.
Esposito, M., 2002, Basic Insights in Pricing Basket Credit Derivatives, Series Financial Markets and Corporate Governance, 1, Liuc paper, 100.
Finger, C., C., 1999, Conditional Approaches for Credit Metrics Portfolio Distributions, Credit Metrics Monitor, 2, 1, 14-33.
Hull, J., and White, A., 2004, Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation, Working paper, University of Toronto.
Jarrow, R., A., and Yu, F., 2001, Counterparty Risk and the Pricing of Defaultable Securities, Journal of Finance, 56, 1765-1800.
Kijima, M., 2000, Valuation of a Credit Swap of the Basket Type, Review of Derivatives Research, 4, 81-97.
Lando, D., 1998, On Cox Processes and Credit Risky Securities, Review of Derivatives Research, 2, 99-120.
Laurent J.P., and Gregory J., 2002, Basket Default Swaps, CDOs, and Factor Copulas, Working paper, University of Lyon.
Li, D., 2000, On Default Correlation: A Copula Function Approach, Journal of Fixed Income, 9, 43-54.
Merino, S., and Nyfeler, M., 2002, Calculating Portfolio Loss, Risk, August.
Merton, R.C.,1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, 29, pp 449-470.
Schonbucher, P., and Schubert, D., 2001, Copula-Dependent Default Risk in Intensity Models, Working paper, Bonn University.
Skora, R., 1998, Rational Modeling of Credit Risk and Credit derivatives, Credit Derivatives, Risk Publications.
Vasicek, O. A., 1997, The Loan Loss Distribution, KMV Corporation.

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