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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63638


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63638


    Title: Valuation of Credit Derivatives under Systematic and Firm-specific Risks
    Authors: 廖四郎Szu-Lang Liao, ?嘉晃Chia-Huang Li
    Contributors: National Chengchi University,
    Keywords: state-space model;Variance Gamma process;credit default swaps
    Date: 2010
    Issue Date: 2013-08-07 09:21:15 (UTC+8)
    Publisher: National Chengchi University,
    Abstract: This study sets a system of pricing credit derivatives involving both the macro and
    firm-specific factors. The systematic and idiosyncratic risks are jointly affecting the
    default events. In macroeconomic part, through the state-space model of the Gibbs
    sampling and Kalman Filter, one can capture the fundamental of macroeconomic
    sectors driving the default intensity, including macroeconomic and financial variables.
    The state-space model gives the reduced-form model more economic point of view. In
    the microeconomic part, when the potential variable is lower than some barrier, it
    triggers the default. The Variance Gamma distribution describes the financial
    condition presenting kurtosis and skewness, it fits the market condition much well
    compared with the lognormal distribution. Under this setting, we price credit default
    swaps.
    Relation: 2010中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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