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異質群體網路建構分析黃裕雄 Unknown Date (has links)
本論文主要在探討異質群體網路的建構問題。我們假設群體內及群體外的連結成本相同,但是不同群體內較常發生的問題不同,每個人均可能發生自己所屬群體內(較常發生)的問題以及非所屬群體(較不常發生)的問題。在這樣的假設下我們分別探討線性成本、邊際成本遞增下的對稱均衡及非對稱均衡。線性成本下,每個人會偏好擁有較多群體內連結數、較少群體外連結數,而連結強度不是1就是0,但是1或0是經濟個體的內生選擇,和Jackson and Rogers(2005)、Galeotti et al.(2006)假設強度不是1就是0的情況不同。當邊際成本為遞增,多數時候人們會偏好較多、較強的群體內連結;較少、較弱的群體外連結,所以遞增成本模型可以解釋現實社會人們傾向和同群體的人保持較多、較強關係的現像。
若每個人的潛在可連結數一樣,則無論在線性成本或邊際成本遞增之下,對稱均衡都是最有效率的均衡型態;而若每個人潛在可連結數不一樣,經濟個體較有意願跟潛在可連結數較小的人維持較緊密的關係。另外,和線性成本比較,若邊際成本是遞增型態,就某個群體內的連結狀況來說,經濟個體會偏好較多連結數、較弱強度的模式,因此群體內的群聚現像明顯,符合實證研究的結果。
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信用連結債券評價—Factor Copula模型應用 / Application of Factor Copula Model on the Valuation of Credit-Linked Notes朱婉寧 Unknown Date (has links)
信用連結債券的價值主要取決於所連結資產池內的資產違約情況,因此過去有許多文獻在評價時會利用Copula模擬各資產的違約時點,或是用Factor Copula估算他們在各時點下的違約機率。而本研究以Gaussian Factor Copula模型為主軸,對資產池違約機率做估計,以得到連結該資產池的信用連結債券價值。但過去文獻較常以給定參數的方式進行評價,本研究進一步利用市場實際資料估出模型參數並加入產業因子,以期達到符合市場的效果。
本研究利用已知的違約資訊對照模型結果,發現在給定原油價格成長率、產業GDP成長率及CAPM殘差之後,使用Factor Copula模型在資產池小且違約比例過高時容易低估損失,主要原因在於各資產的違約機率並非逼近1。且模型算出的預期損失會隨著距今時間變長而增加,但若資產池實際上沒有更多違約公司,模型的結果就可能會高估損失。而所有的變數又以參考價差對該商品價值的影響最大,因參考價差的數值取決於該公司的信用評等,因此可知信用連結債券價值主要還是與各公司信評有最大相關。 / The value of credit linked notes depends on whether the reference entities in the linked asset pool default or not, so some previous studies used Copula model to simulate the times to default or Factor Copula model to get the default probability. In this paper, with the Gaussian Factor Copula model adopted and industry factors taken into account, the default probability is estimated in order to obtain the value of the credit linked notes. Then, unlike other previous studies using the given parameters, this paper evaluated the parameters by using the model as well as market data, hoping to achieve the goal that results can reflect the real market situation.
With real default information compared with the modeling results, three findings can be drawn given the growth rate of oil price, the growth rate of industrial GDP and the residuals of CAPM. First, the loss will be underestimated if the asset pool is small and the default proportion is too high mainly because not all the default probability approximates one. Second, expected default probability will be directly proportional to the time period between the present and the expected moment. So if there are not so many defaulting companies, then the loss might be overestimated. Last, the reference spread has the most impact on the product value among all the variables, and as we know, the reference spread of a company depends on its credit rating. Therefore, compared with other factors, credit rating remains the most essential to credit linked notes.
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在Variance Gamma分配下信用連結債券評價模型 / Valuation of a Credit Linked Note on the Implementation of the Variance Gamma Distribution宋彥傑, Song, Yen Jieh Unknown Date (has links)
本論文在Li(2000)的Gaussian Copula的背景之下,將資產價值服從常態分配的假設改為服從Variance Gamma分配,利用Copula模型模擬債權群組內各個標的資產的違約時點,並利用蒙地卡羅抽取亂數的方法,取平均之後求得信用連結債券所連結的資產債權組合價值。除此之外,本論文比較假設資產價值服從常態分配、Student t分配和Variance Gamma分配下,計算求得的資產池價值。實證結果顯示,假設服從Variance Gamma分配最接近市場的真實違約資料。這是由於Variance Gamma分配具備Student t分配的厚尾性質,能有效捕捉常態分配缺少的尾端損失機率,並可調整偏態係數和峰態係數,可以求出更接近市場價值的評價結果。最後,在敏感度分析方面,改變影響資產池價值的兩大因子:平均違約回收率和資產間相關係數。結果顯示,當平均違約回收率高於0.7時,相關係數越高的債權群組,其資產池價值亦越高。若平均違約回收率越低且資產間相關係數越高的話,越容易出現一起違約的現象,因此資產池價值會下降。因此投資人在挑選信用連結債券時,應注意所連結的標的資產群組內資產報酬的相關性,最好避免相關性高的資產群組,以免金融海嘯來臨的時候,多個資產同時違約的情形發生。
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Copula模型在信用連結債券的評價與實證分析 / Valuation and Empirical Analysis of Credit Linked Notes Using Copula Models林彥儒, Lin, Yen Ju Unknown Date (has links)
信用連結債券的價值主要取決於所連結資產池內的資產違約狀況,使得原始信用風險債券在到期時的本金償付受到其他債券的信用風險影響,因此如何準確且客觀的估計資產池內違約機率便一個很重要的課題,而過去文獻常以給定參數的方式,並且假設資產間的違約狀況彼此獨立下進行評價,對於聯合違約機率的捕捉並不明顯,因此本文延伸Factor Copula模型,建立信用連結債券之評價模型,該模型考慮了資產間的違約相關程度,以期達到符合市場的效果,同時配合統計之因素分析法,試圖找出影響商品價格背後的市場因子。
本研究利用延伸的評價模型以及Copula法,對實際商品做一訂價探討,結果發現,不管是使用樣本內或樣本外的資料去評價時,本研究的評價模型表現都優於Copula法,表示說評價時額外加入市場因子的考慮,對於評價是有正向的幫助;而在因子選取方面,我們選取18項因子後,經由因素分析共可萃取出三大類因素,藉由觀察期望價格與市場報價的均方根誤差,發現國家因素以及產業因素均對於商品價格有所影響,而全球因素對於商品不但沒有顯著影響,同時加入後還會使得計算出的商品期望價格更偏離市場報價,代表說並不是盲目的加入許多因子就能使得模型計算出的價格貼近市場報價,則是要視加入的因子對於資產的影響程度而定。
對於後續研究的建議:由於本研究的實證中存在一些假設,使得評價過程中並不完全符合現實市場現況,若能得到市場上的真實數據,或是改以隨機的方式來計算,相信結果會更貼近市場報價;同時,藉由選取不同的因子來評價,希望能找出國家因素、產業因素以外的其他影響因子,可助於我們更了解此項商品背後的影響因素,使得投資人能藉由觀察市場因子數據來判斷商品未來價格走勢。 / Value of the credit-linked notes depend on the pool of assets whether default or not, so the promised payoff of credit-linked notes is affected by other risky underlying assets. Therefore, how to estimate the probability of default asset pool accurately and objectively will be a very important issue. In the past literature, researchers usually use given parameters, and assume assets probability of default are independent from each other under valuation. Furthermore, it is not obvious to capture the joint probability of default. Thus, this article extends the Factor Copula Model to provide a new methodology of pricing credit-linked notes, which consider the default correlation between the extent of assets in order to achieve result in line with market and with Factor Analysis method added, trying to figure out the impact of commodity price factor behind the market.
In the empirical analysis, pricing the actual commodity issued by LB Baden-Wuerttemberg using extend model and Copula model, we found that no matter choose in-the-sample or out-the-sample data to valuation, the models in this article are superior to Copula model by compare the root-mean-square deviation(RMSE). It means add the market factors into our valuation is beneficial. In terms of selection factors, we select eighteen factors prepared by Morgan Stanley Capital International, and three categories of factors may be extracted from Factor Analysis method. By observing RMSE, both national factors and industry factors will influence on the commodity, but world factors not only did not significantly impact on the commodity, but also add it to calculate the expected price further from the market price. Representative said not blind join the many factors can make the model to calculate the price close to the market price, it is a factor depending on the degree of influence of the added asset.
For the suggestion of future research. The fact that the presence of empirical assumptions in this study, result in the evaluation process is not entirely realistic to market situation. We suggest to get the real data on the market or use random way to calculate, we believe that the outcome will be closer to the market price. Meanwhile, by selecting different factors to evaluate, trying to discover further factors which significantly impact on the commodity; it will help us better to understand the factors behind the commodity, so investors can predict commodity future prices by observing the market data.
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影響新創公司長期表現之因素 - 以教育網絡為例 / What factors affect new ventures' long-term performance? A case of educational network項柏維 Unknown Date (has links)
本研究提出了影響新創公司長期表現的架構,並以教育網絡連結作為衡量
社群網絡連結的依據,探討其解決資訊不對稱問題的效果。本論文透過建構台灣的新創公司、創業投資基金和國家發展基金三個群體的經理人資料,計算出各教育網絡間的連結關係;依此可衡量各教育網絡關係對新創公司長期表現的影響。
實證結果顯示,新創公司和創業投資基金間的雙向教育網絡連結對新創公
司的長期表現有正向影響;然而當教育網絡連結和政府部門(本研究定義為國發基金)有關係時,其效果則延伸出許多議題,其一為政府部門與被投資公司產生教育連結時,其對被投資公司的長期績效表現效果為負向,顯示出產生政治連結時政府部門的投資行為會受到影響。另一方面,當創業投資基金和政府部門產生教育連結時,其對被投資公司的長期績效表現為正,解釋了政府單位在選擇創業投資基金時是以長期績效表現作為選擇依據。 / In this research, educational links are hypothesized as the key factors for solving
the information asymmetry problem. By using the uniquely constructed dataset with
key information of invested companies, venture capital firms and National
Development Fund (NDF) in Taiwan, we quantify the effect of network linkages on
invested companies’ long-term performance. Our empirical results show that a linkage
between invested companies and VCs positively affects invested companies’ long-term
performance. However, the political linkage formed with NDF has non-trivial two-fold
effects. While an educational link formed between invested companies and NDF impact
long-term performance adversely, the educational link between venture capital firms
and NDF in turn has positive effects on the long-term performance. We thus confirm
the existence of inappropriate investment decisions frequently taken because of the
political link between invested companies and National Development Fund.
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交通運輪連結與東協經濟共同體:以SKRL為例 / Connectivity in Transport and ASEAN Economic Community Building: The Case Study of the Singapore-Kunming Railway Link夏明達, Mate Sebok Unknown Date (has links)
ASEAN transport connectivity is critical to the completion of the ASEAN Economic Community. Cross-border transportation development helps to lower trading time and transaction costs, therefore facilitates the regional economic integration. ASEAN Member States initiated two regional land transport projects: the ASEAN Highway Network project and the Singapore-Kunming Railway Link. The implementation of regional transport projects requires involvement of various stakeholders, but the disparity of funding capacity of individual states is likely to cause collective action dilemma. Regional development banks and donor countries have provided financial sources for the projects, but their contribution remained limited. This research suggests that the main obstacles are the lack of focused mechanisms on transport development, weak project coordination, and overemphasize of ASEAN-way diplomacy in ASEAN. Consequently, different national priorities bottleneck the least developed countries to utilize donors’ funding, and thus slowed down the implementation of regional transport networks. All these make not only the realization of the project but also the completion of ASEAN Economic Community very difficult.
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語義與連結促發作用對中文字彙辨識的影響高千惠, Kao, Chien-Hui Unknown Date (has links)
文字的意義是怎樣的儲存於我們的記憶?又是透過怎樣的方式來了解文字中的意義呢?本研究藉由語義促發效果的探討,一方面檢視語義與連結促發作用對字彙辨識的影響,另一方面提供中文的辨識歷程及記憶表徵方面的訊息。
本研究在三個相關的實驗中,藉著操弄了各種獨變項來回答上述的問題,第一個獨變項是促發項與目標項的關係;例如,促發項與目標項配對不但會形成(1)雙字詞,且彼此具有相似的意義(如,酣—睡),(2)雙字詞,但彼此具有不同的意義(如,餅—乾),(3)促發項與目標項之間具有相似的意義成分,但不會形成雙字詞(如,扔—丟),以及(4)促發項與目標項之間沒有意義上的關聯。本研究操弄的第二個獨變項是相關配對佔所有刺激的百分比(50%與25%),第三個獨變項則是促發項與目標項之間的聯想強度(高聯想與低聯想)。
綜觀本三個實驗的結果發現(1)當促發項與目標項具有意義上的關聯時,有加速文字辨識的歷程,(2)在高相關配對百分比的情境中,不論高、低聯想強度,意義關聯的刺激配對有顯著的促發效果,(3)在低相關配對百分比的情境中,刺激配對形成雙字詞,但彼此具有不同的意義,則高、低聯想強度都有顯著的促發效果;至於刺激配對形成雙字詞,且彼此具有相似的意義以及刺激配對具有相似的意義成分,但不會形成雙字詞時,則只有高聯想強度有顯著的促發效果,但低聯想強度沒有顯著的促發效果。
這樣的結果顯示在字彙判斷作業中,當促發項與目標項只有意義相似性的成分時,並無法加速受試者對文字的辨識。至於當促發項與目標項形成雙字詞,但彼此具有不同的意義時,並不同於其他的刺激配對,其促發效果可能是藉由組合線索,觸及字彙層次的連結訊息,因而加快文字的辨識速度。
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連動式債券之評價與分析─信用連結債券及CMS連結債券陳宗佑 Unknown Date (has links)
由於近幾年來連動式債券的盛行,要如何在眾多的標的中選取符合自己需求的對投資人來說越來越重要,本論文特別選了目前市場上當紅的兩種連動債來作評價與分析,一是信用連結債券,另一是CMS連結債券。
評價信用連動債券所使用的利率模型為Hull-White利率三元樹模型,而在考量信用風險時則是運用Li(1998)的方法,以市場上公司債的信用價差建構出信用曲線,再由信用曲線轉換成信用折現因子。最後便可依照債券的付息型態,使用利率三元樹與信用折現因子求得信用連動債券的價格。再針對各個參數進行敏感度分析,最後發現殖利率曲線的變動對債券價格影響最大,尤其是對逆浮動連結利率的債券而言。其次是利率波動度對債券價格的影響。
評價CMS連結債券所使用的方法是LIBOR市場模型,在設定好遠期利率的動態過程後,經由蒙地卡羅法模擬出各個時點的遠期利率,再利用交換利率(Swap Rate)與遠期利率間的轉換公式求得各個時點的指標利率,用以計算各付息日的配息率,再將各個時點的配息與本金以模擬出來的利率折現後,便可得到期初的債券價格。模擬了一萬次後,再將結果平均即是該CMS連動債券的理論價格。再針對各個因素進行敏感度分析後可發現,期初時的殖利率曲線的變動對債券價格影響最大,因為其一方面會影響折現率,另一方面還會影響配息的比率。
值得注意的是,所評價的兩種債券皆附有贖回條款,而就CMS連結債券而言,此條款的設定異常重要,若沒有此條款,發行商將因配息率設定的過高而受到鉅額的損失,而在設定了贖回條款後,投資人就會因債券可被贖回而喪失高報酬的機會,並且造成持有期間的縮短。
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應用社會網路連結預測理論於政府官員職務繼任分析 / Applying social network analysis and link prediction for government post succession analysis沈曜廷, Shen, Yau Ting Unknown Date (has links)
隨著資訊科技的發達,資訊成長的速度日以倍計,對於大量且片斷的資料,社會網路分析(Social Network Analysis)提供我們可能的研究方法。社會網路主要是由節點以及節點彼此間的連結所形成的網路結構,透過社會網路分析和連結預測理論,我們可以從微觀與巨觀的切入角度,來進行龐大資料量的政府人事異動資料庫進行研究分析。本論文研究,將政府人事異動資料庫中的異動記錄建構為人物與職務兩類不同的社會網路結構,並透過社會網路分析以及連結預測,來發掘人物與不同職務之間的相互影響性,並進一步分析在特定職務的實際接任人選上,實際被影響的因素為何。實驗結果呈現本研究所設計出的模型,對於政府人事異動的互動關係在不同角度的觀察上有所幫助,也從中可以發現在實際接任人選上的考量上,歷任人選的歷任職務有相當程度的影響性,並瞭解社會網路分析與連結預測在實際情境應用下的可能性與限制性。 / Information grows up in very fast way with the advancement in information technology. SNA (Social Network Analysis) provides the possible research ways for the large number of fragmentary information. Social network is the network structure which constructed by the links of each nodes in it. Through SNA (Social Network Analysis) and Link Prediction theory, we can investigate government official's succession database with huge amount of data from micro and macro perspectives. The objective of this study is the construction of two different types of person and position social network structures and the exploration of the interaction between the person and position nodes through link prediction theory. We also discover the impact factors for actual appointee of specific position in further analysis. The study result shows the design model helps us to observe the interaction in government official's succession from different perspectives. We found that is great influence of successive positions of successive candidates in consideration of actual appointee.
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Facebook社群遊戲與社會連結的關係: 反思遊戲成癮之人格特質 / The relationship between social game and social connectedness: a reflection on game addictive personality洪嘉蓮, Hung, Chia Lien Unknown Date (has links)
Facebook在台灣的流行及使用習慣皆與社群遊戲功能息息相關,社群遊戲整合、複製真實人際網絡至線上,藉由遊戲互動增強線下的人際關係,社群遊戲使用行為與社會連結的關係,「真實與虛擬人際關係的相互增強」成為本研究關注的焦點。基於社群遊戲的特殊性質,使用者是否透過遊戲行為同時滿足社交需求,以及給予「沉迷」於線上遊戲者大多疏於發展真實人際網絡此刻板印象翻轉的契機,藉本研究一探其互動關係。
本研究以網路問卷調查的方式於PTT的熱門版發放,問卷發放日期自2012年5月9日至5月18日,為期十天,回收問卷共計666份。研究結果發現:
(1)使用社群遊戲可滿足「娛樂」與「社交」需求,並且可實際提升與朋友之間的「親密感」,藉由社群遊戲的互動,使用者會更了解他們原本不是很熟的朋友,社群遊戲對於發展「弱繫」的人際關係有顯著的功能。(2)「過與不及」的社群遊戲使用行為,對於增強社會連結不會產生實質幫助。社群遊戲使用者若長時間投入於遊戲使用行為,對於發展實質社交關係並沒有幫助,導致社會連結程度下降;但若是每天持續使用社群遊戲,將其當作一種與朋友聯繫感情的社交工具,而非沉迷於遊戲中,則對「主動建立關係」仍有實質幫助。(3)人格特質「嚴謹性」程度較低者與「神經質」程度越高者,較容易產生社群遊戲成癮;人格特質「外傾性」特質愈明顯者,愈傾向社群遊戲「習慣成癮」。
Facebook社群遊戲的使用有助於發展社交網絡,達到社會連結的調節作用,積極、主動與他人建立關係,若從中得到社交滿足感,便會持續地使用社群遊戲,強化人格特質、遊戲行為與社會連結的相互作用關係,但使用者若過度沉迷其中則會達到反效果。 / The popularity of Facebook in Taiwan is said to be closely linked with social games features. Because social games carry certain characteristics, users may meet their social needs by playing social games. Also wonder if the assumption of online game players who addicted to playing games may neglect to develop the interpersonal relationship in real world. Social games integrate and copy the interpersonal networks in real world to online games. Furthermore, the interaction in social games may enhance the offline relationships.
This study adopted online questionnaire survey via the Facebook board on PTT. With a total of 666 valid questionnaires, the results showed that (1) playing social games could not only satisfy the needs for entertaining and social contact, but also increase the sense of intimacy with friends. Through interactions via social games, users could understand more about the acquaintances. Therefore, playing social games will help develop weak ties;(2)an excessive use of social games makes little differences on enhancing the relationships, in terms of social connectedness. However, instead of addicting to the social games, if players use social game as a tool for communicating with others, then the social games can be seen as constructive on relationship building; and(3)users who have lower degree of conscientiousness or higher degree of neuroticism of personality trait may be more likely to be addicted to social games. People with higher degrees of extraversion are more likely to addict habitually to social games.
Playing social games shows an impact on developing people’s social network. If players meet their social needs, it would reinforce the relations between personality, game use and social connectedness. In conclusion, the social game on Facebook can still contribute to the development of social network, but over-indulgence may cause the opposite effect.
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