Man Po Kong = 信貸相聯票據和住宅按揭的預期損失之估值 / 文普綱. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 85-86). / Text in English; abstracts in English and Chinese. / Man Po Kong = Xin dai xiang lian piao ju he zhu zhai an jie de yu qi sun shi zhi gu zhi / Wen Pugang. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Structural model --- p.3 / Chapter 2.1 --- Merton's model --- p.3 / Chapter 2.2 --- The term structure of interest rate --- p.7 / Chapter 2.3 --- The default-triggering mechanism and derivations from strict priority rule --- p.9 / Chapter 2.4 --- Stationary leverage ratio --- p.11 / Chapter 2.5 --- The three-factor structural model --- p.12 / Chapter 3 --- Credit-linked Notes with early default risk --- p.18 / Chapter 3.1 --- Introduction to credit-linked notes --- p.18 / Chapter 3.2 --- The pricing of credit-linked notes --- p.20 / Chapter 3.3 --- Non mean-reverting leverage ratios --- p.21 / Chapter 3.3.1 --- Special case (pQv=0) --- p.23 / Chapter 3.4 --- Mean reverting leverage ratios --- p.25 / Chapter 4 --- Numerical results and discussion --- p.28 / Chapter 4.1 --- Exact solution (KQ=kv=PQv=PVr=0) --- p.31 / Chapter 4.2 --- "Lower bound approximation (kQ,kv≠0,pQr,pvr≠0)" --- p.37 / Chapter 4.2.1 --- Effect of interest rate --- p.43 / Chapter 4.3 --- Monte Carlo simulation (PQV≠0) --- p.47 / Chapter 5 --- Expected loss of residential mortgage loans --- p.56 / Chapter 5.1 --- Introduction to residential mortgage loans --- p.56 / Chapter 5.2 --- Calculation of expected loss of residential mortgage loans --- p.59 / Chapter 6 --- Numerical results and discussion --- p.65 / Chapter 6.1 --- Numerical results --- p.65 / Chapter 7 --- Conclusion --- p.73 / Chapter A --- Methodology --- p.75 / Chapter A.1 --- Monte Carlo Simulation --- p.76 / Chapter A.2 --- Finding lower and upper bound approach --- p.79 / Chapter A.2.1 --- Single stage approximation --- p.79 / Chapter A.2.2 --- Multistage lower bound approximation --- p.82 / Bibliography --- p.85
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324672 |
| Date | January 2004 |
| Contributors | Man, Po Kong., Chinese University of Hong Kong Graduate School. Division of Physics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, xiv, 86 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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