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作者(中文):湯益萍
作者(外文):TANG, YIPING
論文名稱(中文):基於Basel III交易對手信用風險架構下的信用估值調整研究
論文名稱(外文):Research on Credit Value Adjustment Based on Basel Ⅲ Counterparty Credit Risk Framework
指導教授(中文):鍾經樊
指導教授(外文):Chung, Ching-Fan
口試委員(中文):張焯然
蔡子晧
口試委員(外文):Chang, Jow-Ran
Tsai, Tzu-Hao
學位類別:碩士
校院名稱:國立清華大學
系所名稱:計量財務金融學系
學號:101071467
出版年(民國):103
畢業學年度:102
語文別:中文
論文頁數:30
中文關鍵詞:交易對手信用風險信用估值調整錯向風險
外文關鍵詞:Counterparty Credit RiskCredit Value AdjustmentWrong Way Risk
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2008年金融危機中,銀行衍生品交易部位損失重大,這引起了巴塞爾委員會的高度關注,因此在隨後推出的Basel III(2011),交易對手信用風險(Counterparty Credit Risk, CCR)的最低資本需求成為其重點之一。在交易對手信用風險損失中占很大比重的是由於交易對手信用變差導致的損失(即信用估值調整Credit Value Adjustment, CVA的變大)而非實際違約導致的損失,這使得關於CVA的衡量成為銀行較大的課題和挑戰。
本文在Basel III的架構下,介紹銀行在店頭市場上交易的衍生性金融商品部位所面臨的CVA,同時我們嘗試更深入的研究CVA,首先通過考慮曝險對於風險率(hazard rate)的影響建立一個簡單的模型把錯向風險加入CVA的計算,其次探討幾種抵減交易對手信用風險的方式,特別是對比不同擔保品條例下的CVA的變化,觀察擔保品多寡對於CVA的衝擊。本文使用的數量工具皆為蒙地卡羅模擬。
Instances of massive losses in derivative markets in the 2008 financial crisis urged Basel Committee to introduce the policy of Basel III in 2011, which is also called CCR (Counterparty Credit Risk). As we know, the loss caused by the downgraded counterparty credit rating accounts more than that of default of contracts in CCR, which means the result gets higher in the calculation of the CVA (Credit Value Adjustment). For the banks, it’s a big issue to find an open and high-powered CVA solution.
Under the framework of the Basel III, this paper will introduce the CVA on the OTC (over the counter) derivative for the banks. Except for the basic requirements of the Basel, this paper tries to put more attention on the calculation of the CVA and the mitigation. As a whole, there are two key points in this paper. Firstly, with the consideration of the effects of exposure on hazard rate, this paper will establish a model which has commingled the WWR(Wrong Way Risk) to calculate CVA; Secondly, this paper will introduce some risk mitigation methods. The Monte Carlo method (or Monte Carlo experiments) is the main numerical method to solve the mathematical problems in this paper.
摘要 I
Abstract II
目錄 III
圖表目錄 IV
1. 研究動機與目的 1
2. 理論背景 2
2.1 交易對手信用風險 (Counterparty Credit Risk, CCR) 2
2.2 信用估值調整 (Credit Value Adjustment, CVA) 3
2.3 錯向風險 (Wrong Way Risk, WWR) 3
2.4 信用支持附約 (credit support annex, CSA) 4
3. 巴塞爾條約 5
3.1 交易對手違約的資本計提需求 5
3.2 曝險額 6
3.3 CVA變動帶來的資本計提需求 8
4. 研究方法及過程 11
4.1 加入錯向風險的CVA模型建構 11
4.1.1 CVA的衡量 11
4.1.2 加入WWR的模型建置 12
4.1.3 蒙地卡羅模擬及計算過程 14
4.2 風險抵減方式 15
4.2.1提供擔保品(CSA) 15
4.2.2.淨額結算(netting) 20
4.2.3 避險(hedging) 20
4.2.4 集中交易對手(Central Counterparties, CCP) 22
5. 研究結果 23
5.1 加入錯向風險的CVA 23
5.2. 不同CSA條約下的CCR研究 25
參考文獻 29
Basel Committee on Banking Supervision , “Basel III: A lobal Regulatory Framework for More Resilient Banks and Banking Systems”,2010.

Basel Committee on Banking Supervision. “Guidelines for computing capital for incremental risk in the trading book” , Bank for International Settlements, Basel, 2009.

Basel Committee on Banking Supervision, “The Application of Basel II to Trading Activities and the Treatment of Double Default Effects”, Bank for International Settlements, July 2005a.

Damiano Brigo, Massimo Morini, Andrea Pallavicini, “Counterparty Credit Risk, Collateral and Funding”, John Wiley & Sons, 2013.

Eduardo Canabarro, “Counterparty Credit Risk- Measurement, Pricing and Hedging”, Nick Carver, 2009.

Evan Picoult, “Counterparty Credit Risk and Contingent Credit Default Swaps”, Citi Risk Oversight, 2008.

Ignacio Ruiz, Ricardo Pachon, Piero del Boca, “Optimal Right and Wrong Way Risk – A methodology review, empirical study and impact analysis from a practitioner standpoint”, iRuiz consulting, April 2013 .

Jon Gregory,"Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets " Second Edition,West Sussex, John Wiley & Sons (31 August 2012)

Jon Gregory,“Counterparty Credit Risk – The New Challenge for Global Financial Markets”, First Edition, West Sussex, John Wiley & Sons, Inc.( September 2011)

J. Hull and A. White, “cva and wrong way risk”, Financial Analysis Journal, 68 2012 , pp. 58-69.

O. Elhajjaji , A. Subbotin, “CVA with Wrong Way Risk: Sensitivities, Volatility and Hedging”, working paper, Paris, France, October 7, 2013.

Rohan, Douglas and Dmitry, Pugachevsky, “Comparing Alternate Methods for Calculating CVA Capital Charges under Basel III” .GARP, 2013.

Rosen D. and Saunders D. , “CVA the Wrong-Way”, Journal of Risk Management in Financial Institutions, 2012.

Samim Ghamami, Lisa R. Goldberg, “Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA”, working paper, University of California, December 3, 2012.

吳秉哲,“Basel III - 交易對手信用風險與CVA”,2013.
 
 
 
 
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