Common factors in credit defaults swaps markets

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Title:	Common factors in credit defaults swaps markets
Authors:	陳怡璇 Chen, Yi-Hsuan
Contributors:	財務管理學系 Finance
Keywords:	信用違約交換;共同風險;信用風險 credit default swaps;common factors;credit risk
Date:	2013
Issue Date:	2014-06-27 00:05:25 (UTC+8)
Abstract:	本研究檢視系統性信用風險的共同風險因子，並估計及解釋共同風險因子。尤其進一步比較共同風險因子於解釋信用違約交換價差變化在危機前、中、後的解釋力及貢獻性。本研究蒐集的信用違約交換資料相當豐富，含蓋不同到期日、不同信用評等、不同標的資產及不同國家。豐富多樣的信用違約交換資料將使估計的共同風險因子較為穩健且獲得俱說服力的解釋。本研究最後的目標乃透過不同動態因素模型以預測信用違約交換指數變化的動態性。為捕抓及預測信用違約交換指數變化的時間變異性，比較分析不同的因素模型如the static factor mod We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-
Appears in Collections:	[Department of Finance] Seminar Papers

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