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dc.contributor.author劉亮志en_US
dc.contributor.authorLiu, Liang-Chihen_US
dc.contributor.author戴天時en_US
dc.contributor.author李漢星en_US
dc.contributor.authorDai, Tian-Shyren_US
dc.contributor.authorLee, Han-Hsingen_US
dc.date.accessioned2014-12-12T01:42:14Z-
dc.date.available2014-12-12T01:42:14Z-
dc.date.issued2009en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079739502en_US
dc.identifier.urihttp://hdl.handle.net/11536/45639-
dc.description.abstract在不考慮交易手續費及其他佣金的情況下,給定一風險中立機率模型、報酬給付機制,synthetic CDO中各級分券的公平報酬皆可求;synthetic CDO架構中的分券報酬給付,特殊目的機構 (簡稱SPV) 根據premium waterfall的機制來給,但本文章發現此機制讓SPV有現金流收支不均等的問題,SPV有可能因此而承受鉅額損失。另一方面,若針對分券中的最先損失部位施以期初預先支付分券本金某個比例的現金,以降低之後每個支付日信用價差支付金額的規則,會使對SPV不安全的premium waterfall機制變得比較安全。最後,重新以對SPV絕對安全的ABS waterfall機制來進行分券公平信用價差的評價,會發現評價結果低於在premium waterfall機制下的結果。zh_TW
dc.language.isozh_TWen_US
dc.subject特殊目的機構zh_TW
dc.subjectsynthetic CDOen_US
dc.subjectpremium waterfallen_US
dc.subjectABS waterfallen_US
dc.title特殊目的機構在Premium Waterfall付款機制下的支付風險zh_TW
dc.titleMeasuring the Payment Risk of SPV under Premium Waterfall Mechanismen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
Appears in Collections:Thesis


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