Collateralized Bond Obligation Credit Risk Evaluation: An Integration of Intrinsic Valuation and Fourier Transform Method
Date Issued
2006
Date
2006
Author(s)
Tao, Ming-Chung
DOI
zh-TW
Abstract
The purpose of this research is to develop a portfolio credit risk evaluation model that not only provides estimations of portfolio default and loss distributions but also is simpler and flexible in implementing than other models. We adopt a cash-flow based structure form credit model and employ a Fourier Transform method with a factor model to handle the default correlation issues. By using this portfolio credit risk evaluation model, we can obtain the portfolio loss distributions in future periods and use it to design different credit rating trenches for a Collateralized Bond Obligation (CBO).
Subjects
債權抵押受益憑證信用風險評估
內部價值法
傅立葉轉換法
Collateralized Bond Obligation Credit Risk Evaluation
Intrinsic Valuation
Fourier Transform
Type
thesis
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