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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 博碩士論文  >  基於Basel III交易對手信用風險架構下的信用估值調整研究


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86071


    Title: 基於Basel III交易對手信用風險架構下的信用估值調整研究
    Authors: 湯益萍
    TANG, YIPING
    Description: GH02101071467
    碩士
    計量財務金融學系
    Date: 2014
    Keywords: 交易對手信用風險;信用估值調整;錯向風險
    Counterparty Credit Risk;Credit Value Adjustment;Wrong Way Risk
    Abstract: 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.
    URI: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/86071
    Source: http://thesis.nthu.edu.tw/cgi-bin/gs/hugsweb.cgi?o=dnthucdr&i=sGH02101071467.id
    Appears in Collections:[計量財務金融學系] 博碩士論文

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