李賢源臺灣大學:財務金融學研究所貝永和Belzer, KyleKyleBelzer2010-05-112018-07-092010-05-112018-07-092009U0001-1008200916162000http://ntur.lib.ntu.edu.tw//handle/246246/182777基差交易策略在2008年完全崩潰瓦解，造成投資銀行和避險基金數十億元的損失。因應現今市場條件，新的交易概念和策略已經復甦。本論文將針對新的交易概念如何影響固定收入信用貿易上，做出精確的分析：包括什麼因素會影響逐日計算損益評估及在基本貿易上的長期獲利。另外論述持有基差如何影響到債務人和債權人之間的關係。最後，我也會針對新基差交易的長期持續性做出討論。The basis arbitrage trading strategy collapsed at the end of 2008, causing billions of dollars in losses for investment banks and hedge funds. New trading mentalities and practices have revived this trade and adapted it to current market conditions. This paper presents a rigorous analysis of new practices in fixed income credit trading, including what factors affect mark-to-market valuation and long-term returns on the new basis trade. Special attention is paid to the way holding basis affects the relationship between debtor and creditor. Finally, I comment on the long-term sustainability of the new basis trade.Table of Contentsntroduction 5ection 1: Basis Arbitrage Before September, 2008 6undamentals of the Trade 6he collapse of basis arbitrage 8ection 2: The New Basis 10ection 3: Sensitivity Analysis 12ensitivity to Changes in the Dirty Price 15ensitivity to changes in coupon size 16ensitivity to parallel shifts in CDS curve 17ensitivity of the basis to changes in the Slope of the CDS curve 19ensitivity of the basis package to recovery rate assumptions: 21ection 4: Mark-to-Market Changes in the Value of a Basis Package 23ark to market sensitivity to parallel shifts in CDS curve: 24ark-to-market sensitivity to changes in the steepness of the CDS curve: 26ark to market sensitivity to changes in the recovery rate: 26ection 5: Basis package using forward CDS 28ection 6: How CDS Change the Rules of the Game 31cenario 1: The hedged loan 32cenario 2: Predatory behavior by basis holders 33onclusion 37eferences: 40application/pdf1544824 bytesapplication/pdfen-US基差交易single name CDScredit derivative tradingbasisbasis arbitragethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182777/1/ntu-98-R96723072-1.pdf