李存修臺灣大學：財務金融學研究所余岍岱Yu, Chien-DaiChien-DaiYu2007-11-282018-07-092007-11-282018-07-092005http://ntur.lib.ntu.edu.tw//handle/246246/60815近年來證券化以及衍生性商品的蓬勃發展，導致信用衍生性商品的出現。市場上最新發展出一種可以取代信用違約交換的工具，稱之為股權違約交換。台灣目前資產證券化的市場尚在起步階段，許多金融機構都積極發行證券化商品，以增加資產的流動性。但由於目前台灣信用評等的相關資料不夠健全，以及投資人對信用相關投資工具的接受度不高，造成信用衍生性商品發展上的障礙。因此，我們可以預期股權違約交換(EDS)未來在台灣應該有相當大的發展空間。 本研究主要是利用蒙地卡羅模擬法同時模擬多支股票的價格，並利用GARCH模型來估計標的股票之變異數，來計算台灣市場上合理的股權違約交換權利金(EDS Spreads)。另外，針對合約中各種參數之設定做敏感度分析。例如，不同的違約水準(Trigger Level)、投資組合股票之數目與公司等級、投資組合股票間之相關係數、違約後賠償的比率(Rebate)，以及市場上無風險利率等因素，對股權違約交換權利金(EDS Spreads)之影響。The development of credit derivatives is an extension of two of the most significant developments of present times: Securitization and Derivatives. The latest development in structured credit is the Collateralized Debt Obligations (CDOs) of Equity Default Swaps (EDS), or Equity Collateralized Obligations (ECOs). EDS are viewed as attractive alternatives to CDS in the context of synthetic CDOs. In Taiwan, the passing of “The Financial Asset Securitization Law” in June 2002 marks the beginning of securitization market. However, the incomplete rating structure in the domestic market will serve as an obstruction for the development of credit derivatives. Furthermore, investors in Taiwan are less familiar with credit linked products as compared to equity linked products. Therefore, we can expect that EDS will be more attractive in the Taiwan market. This study gives a reasonable spread of EDS in Taiwan market by Monte Carlo Simulation. We conducted GARCH model to estimate the daily changing volatility instead of constant volatility of underlying stocks when simulating. Moreover, by comparing with different condition in the portfolio, such as the correlation between the underlying assets, trigger level of the contract, recovery rate at equity event, risk free rate, we find out how these factors will influence the EDS spread.Contents 1. Introduction……………………………………………………………1 1.1Research Structure ……………………………………………………5 2. Product Properties and Literature Review……………………..6 2.1. Equity Default Swaps versus Credit Default Swaps…………………8 2.2. Comparison with Exotic Options………………………………….....11 2.3 Pricing Equity Default Swaps……………………………………….14 3. Model Construction………………………………………………....20 3.1. Simulation of Multi-Assets………………………………………….20 3.2. Estimation of Volatility and Correlation……………………………..22 3.3. Indicative Terms and Conditions…………………………………….26 3.4. Portfolio Composing…………………………………………………29 4. Monte Carlo Simulation……………………………………………….30 4.1 Types and Terms of Hypothetical EDS…………………………...30 4.2. Simulation Steps……………………………………………………..33 4.3. Variance Reduction Techniques—Antithetic Variable Technique…..34 4.4 Simulation Results and Sensitivity Analyses………………………...38 5. Conclusions……………………………………………………………..47594338 bytesapplication/pdfen-US股權違約交換多資產equity default swaps (EDS)multi-assetMonte Carlo Simulationthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60815/1/ntu-94-R92723018-1.pdf