預先還款事件對於抵押貸款合成型信用指數的影響

The impact of prepayment on LCDX Index

吳則儒(Tse-Ju Wu)

指導教授 ： 李賢源

共同指導教授 ： 邱宏仁(Hong-Jen Chiu)

國立臺灣大學/管理學院/國際企業學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10774

摘要

自從八零年代，到處都可以看到私募基金的蹤跡，尤其以他們最常用的融資收購最為廣為人知。九零年代開始，信用衍生性商品的開發以及研究逐漸成熟，以信用違約交換為根基的合成型商品也開始在這段吸引到投資人的目光。到了西元兩千年開始，大規模的金融創新，使得整個結構型信用商品市場進化到最能為大家所接受的規格。
信用移轉的工具，從最早的聯合貸款，到今日藉由證券化再將資產中的信用風險拿出來交易，發現資產價值，其中因為私募基金發展的迅速，抵押聯合貸款信用指數的重要性也隨之浮出檯面。本文將針對整個信用市場以及私募基金的發展有完整的研究，並且將信用違約交換指數加入貸款的特性後，根據有限的資料來研究其投資策略以及如何定價。

關鍵字

貸款 ； 信用衍生性商品 ； 違約機率 ； 縮減式模型

並列摘要

Leveraged buyout has been well-known since the booming M&A deals in 1980’s. On the other hand, since 1990’s development of financial innovation, we have also witnessed the booming credit derivative market, and the products in this market could be in any possible forms since they are engineered to meet different demands. Recently in the early 21st century, the so-called financial derivative markets including equity derivative, currency derivative, interest rate derivative and the most popular and innovative credit derivative have evolved to a certain standardized platform and what’s more, the standardized concept with the large scale of financial innovation. Products in these markets have their own individual functions with a consistency.
Syndicated secured loans or the leveraged loans have all been an important target underlying assets or reference entities with the booming of private equity funds. They have to measure the funding cost by trading the corresponding credit derivative and even by modeling some random factors into its price. In this thesis study, my purpose is to understand how leveraged loans are related to the synthetic credit derivatives and how they work.

並列關鍵字

LCDS ； LBO ； M&A ； prepayment risk ； counterparty

參考文獻

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。

盧琬靖，擔保債權憑證之評價—探討批次證券之槓桿效果，台灣大學財務金融研究所碩士論文，96年7月。

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Hull, J. & White, A., “Valuing Credit Default Swaps II: Modeling Default Correlations,” Journal of Derivatives, 3 (2001), p.12-22.