臺灣博碩士論文加值系統

本文以動態分析的方式研究雷曼兄弟在2007年至2008年宣佈破產前後，在風險中立下隱含違約機率及回復率的變化。研究運用Andritzky (2005)修正後的縮減式模型作為估計基礎，將雷曼兄弟所發行的債券依照清償順位的不同分成四個群組，並且依據研究限制分別假設回復率為外生和內生，藉此比較隱含違約機率及回復率在不同條件下有何差異。實證結果顯示，藉由模型參數的轉變與雷曼兄弟所發生的信用事件相配合，可以將研究期間分成四個階段。清償順位愈低的債券，違約機率改變的愈早而且幅度較大：長期的累積違約機率受到模型參數的影響較短期明顯。在內生回復率假設下，違約機率的波動程度比外生回復率假設顯著，而且模型的理論價值也較貼近市場價值；預期回復率從研究初期的80%以上開始逐漸下滑，違約之後平均約在10%左右。

In this paper, dynamic analysis approach is applied to study the variation of implied default probabilities and recovery ratios in risk neutral way when Lehman Brothers declare bankruptcy from the period of 2007-2008 as the breakpoint. Based on the reduce-form model of modified by Andritzky (2005) , this approach divides bonds of Lehman Brothers into four groups classified by different priority claims and assumes that the recovery ratios are exogenous and endogenous respectively for study restrictions in order to compare the difference of implied default probabilities and recovery ratios under different conditions. The empirical results show that transitions of parameters in model matching the credit events aroused by Lehman Brothers allow the period analysis into four levels. The bonds with lower priority claims change the default probabilities larger in early times; the long-term cumulative default probabilities have effects of parameters in model with significance than the short-term. Under the assumption of endogenous recovery ratios, the default probabilities fluctuates obviously than exogeneity and the theoretical value of the model is closer to market value. The expected recovery ratios are above 80% in the initial period to an average of 10% after default.

中文摘要 i
英文摘要 ii
誌 謝 iii
目 錄 iv
表目錄 v
圖目錄 vii
壹、緒論 1
一、研究動機與背景 1
二、研究目的 4
三、研究架構 7
貳、文獻回顧 8
一、信用風險模型概述 8
二、雷曼兄弟破產案例 12
（一）雷曼兄弟公司簡介 12
（二）雷曼兄弟破產時序 13
參、研究方法 26
一、研究模型設計 26
（一）Gumbel 機率分配 26
（二）縮減式模型 (Duffie and Singleton Model) 29
（三）縮減式模型 (Andritzky Model) 30
二、參數估計方法 33
肆、實證結果與分析 35
一、資料來源與處理 35
二、隱含違約機率與回復率 40
（一）外生回復率假設 41
（二）內生回復率假設 55
伍、結論 64
參考文獻 67

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