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債券信用風險的規避,一直以來是學者有興趣研究的課題,本篇研究以HJM模型去衡量信用風險, 透過市場資料的輸入,去衡量違約程度,並對信用風險相關之衍生性金融商品作出適當的評價,以求規避信用風險. / Abstract In this study, we combine credit valuation approaches developed by Jarrow＆Turnbull (1995)、Duffie＆Singleton (1999)、Schonbucher (2000) to execute a default pricing methodology under H.J.M default intensity structure. We can use market data such as defaultable yield rate and its volatility to measure credit risk, however, because of the close form in our model, the comparative static analysis for parameters can be done. At last, after introducing the survivor probability measure, we can extend to price default related derivatives.

Includes bibliographical references (p. 32-34).

Thesis (Ph. D.)--UCLA, 2009. / Vita. Description based on print version record. Includes bibliographical references (leaves 160-165).

Disputats, Göteborg 2007. / Includes bibliographical references.

Thesis (Ph. D.)--Rutgers University, 2010. / "Graduate Program in Mathematics." Includes bibliographical references (p. 85-86).

Thesis (doctoral)--Göteborg University, 2007. / Added t.p. with thesis statement inserted. Includes bibliographical references.

Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2002. / Includes bibliographical references (leaves 33-35). Also available in electronic version. Access restricted to campus users.

Thesis (M.S.)--Worcester Polytechnic Institute. / Keywords: Credit Default Swap; Hazard rate approach; Merton model; Credit Risk. Includes bibliographical references (p. 46-48).

Credit derivatives, some of the most significant developments is the financial industry, have experienced significant growth recently. The objective of this study is to examine whether the use of credit derivatives, either buying or selling, has an effect on banks loan pricing behaviour. Minton et al. (2009) propose that the net buyers of credit protection save capital and thus should be able to make loans at rates that are below the rates offered by competitors who do not utilize credit derivatives. In addition, Hirtle (2009) investigates the relationship between credit derivatives and their effects on bank lending activities. She does not find a strong association between the use of credit derivative and the supply of loans and proposes that banks are using credit derivatives mainly to provide longer maturity and lower spread loans rather than to increase the volume of loans. In contrast to previous studies, our study investigates the relation between loan prices, measured by the interest and fee income per dollar of loans, and the use of credit derivatives at BHCs. We propose that if BHCs use credit derivatives to hedge credit exposures, they would charge a lower loan rate to the borrowers since CDs enable banks to transfer the credit risk away from the lenders. However, if credit derivatives are used for purposes other than managing credit exposure, these instruments might not have any impact on loan pricing. Another goal of our study is to investigate the relationship between loan prices and the use of credit derivatives for trading purpose. We expect that during the years when BHCs are net sellers of credit derivatives, they take these positions because they have good quality loans and they are willing to take additional risk. In this case, they would report lower income per dollar of loans. However, if banks sell CDs as part of their speculative strategy, their use of credit derivatives might not have any impact on loan prices. Thus, banks would charge a rate that is similar to other banks with the same level of risk. Another goal of our study is to find, for both users and non-users of credit derivatives, how the interest and fee income generated by the BHCs is affected by the risk of default of their clients. We expect that as the risk of default increases, the prices on loans would increase as well. Banks take additional risk in exchange for higher return. Our final goal of this study is to investigate whether the use of CDs affects the supply of funds or loan rates differently for different types of loans banks hold in their portfolios. Our findings suggest that the loan prices of users of CDs are significantly less than the loan prices of nonusers. This finding may suggest that users are more efficient, competitive and diversified than nonusers and thus can afford to charge a lower rate to their clients. The result may also suggest that BHCs that are using CDs generally have lower risk loan portfolios and these portfolios are generating lower income per dollar of assets. Among the users group, we observe that as the volume of CDs purchased increases the prices of loans also increase. This suggests additional usage of CDs allows users to accept risky loans that they would not accept in the absence of CDs. They are initiating these high-risk loans to generate higher interest and fee income and at the same time they are using more CDs to hedge these risky loans. Our study also finds a significant and positive relationship between the risk of default and BHCs loan prices. Our study further investigates the users of credit derivatives during the years when these banks use CDs and the years when they do not use CDs. We find that the loan prices are marginally lower for the years when CDs are used. In particular, we find a significant decrease in prices during the years when these banks are sellers of CDs. However, we do not find any significant impact on loan prices during the years when they buy CDs. This result suggests that CD-active BHCs that buy CD protection are doing so to reduce some excessive risk they have taken without demanding a high rate to compensate for this risk. Finally, we find that the years when BHCs report both CDs bought and CDs sold, they charge a loan price that is similar to the years when these banks do not report any position in the CDs market. Perhaps the BHCs that report simultaneously CDs bought and CDs sold are selling CDs to generate income and hedging their positions through buying offsetting positions. Our analysis also suggests that the impact of the use of derivatives varies depending on whether the loans are real estate, consumer, commercial and industrial, agricultural, or foreign loans.