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研究生:王若愚
研究生(外文):Wang Ju Yo
論文名稱:信用風險下利率期限結構─以遠紡66期公司債為例
論文名稱(外文):Term Struture of Interest Rate Pricing Model with Credit Risk--FraEast 66th Company Bond
指導教授:林丙輝林丙輝引用關係
指導教授(外文):Lin Bing-Huei
學位類別:碩士
校院名稱:國立臺灣科技大學
系所名稱:管理研究所企業管理學程
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:1999
畢業學年度:87
語文別:中文
論文頁數:90
中文關鍵詞:利率期限結構信用風險違約風險
外文關鍵詞:Term StructureCredit RiskDefault Risk
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學號:M8608030
論文名稱:信用風險下之利率期限結構評價模式-以遠紡66期公司債為例
院所組別:國立台灣科技大學 管理研究所 企業管理學程
畢業時間及提要:八十七學年度第二學期 碩士學位論文提要
研究生:王若愚 指導教授:林丙輝博士
論文內容:
市場上不論是資金需求者或投資者常常會藉由債券來從事避險或獲利的工作,由許多資料顯示公司債已經逐漸成為企業籌措資金的管道,而資金的需求者為了要能夠將資金成本固定在一定水準下,有時會在公司債中加入一項特別的契約,例如可轉換公司債、利率上限等。這些能夠轉換的權力(選擇權)應該有一定的價值,所以對於投資者或避險者而言都需要將這種權力的價值衡量出來,讓投資者或資金需求者能夠瞭解其轉換權力的價格以便作適當的決策。
利率期限結構理論常常運用於評價各種債券,而過去的研究僅著重於利率模型的探討,企圖解釋利率變化的情形,而這種模型用來作評價時,都完美的假設金融商品沒有信用風險的問題,而在這種情形下所評價的結果都未考慮到風險與報酬的相關性。由「高風險高報酬」的簡單道理可以瞭解風險與報酬應該有同向變動的情形,若僅利用未考慮信用風險的利率期限結構模型,則所評價的結果會高估金融商品的價格,這是因為金融商品賣方的信用風險沒有考慮進入所致。針對這樣的情形,Jarrow與Turnbull兩位學者提出了配合各金融商品的信用風險水準來評價的模型,其認為債券到期時會有兩種結果:到期償還面額或違約(只償付一定比率),Jarrow-Turnbull Model一反往常理論的認為金融商品在生命期限內「各期」都有可能違約,以債券而言,我們應該先將各期的違約機率計算出來,再利用各期的違約機率來評價衍生性金融商品,如此可以將債券(金融商品)的風險充分的反應於價格上,這樣的評價模式合理而易於接受。
本文實證部份以Jarrow-Turnbull Model來評價遠紡66期公司債中的利率上限,並模擬評價其他金融商品(歐式債券選權、Vulnerable Options),以信用風險為評價基礎的考量,勢必能夠將金融商品真實價格合理的反映出來,評價出避險者與投資者更能接受的合理價格,評價過程中所需要的計算過程龐雜且無法以徒手計算,故需要以電腦加以輔助計算,方可得到合理金融商品價格。
ABSTRACT
No matter the capital debtors or investors often hedge their position and gain by bonds. According to many researching, we can find that many corporations have used kinds of company bond to raise funds they need. And debtor must to keep their cost of capital below a leverage, so they often make some special contract into their company bond agreements. These financial instruments can help debtor to fixed their cost, for example as callable bond、interest cap. All these instruments have option to switch and the power of option should be valued. Then investors and debtors can make a decision by these prices information.
Researchers usually take term structure of interest rate to value bonds and they focus on the term structure model. They attempt to interpret how interest rate move and take the interest rate mode to value instruments. They usually assume that there is no default risk with this kind of instruments. But we know that is not real for all bonds. Beside of risk of government bonds is almost zero and the others have difference. So when we value derivative financial instruments, we have to take default risk into our pricing model. In my researches, I use Jarrow and Turnbull(1995) model for this purpose-pricing interest cap with default risk term structure. The two professors stated that when we pricing any instrument, we have to take default risk into the two factors interest rate model. We take the model to test Far-East 66th bond and I get some conclusions as :
1. The original interest rate moves the same directive with the price of cap.
2. The fluctuation of interest rate moves the same direction with price of cap.
3. If we have take the default risk into the pricing model, then different default risk would not affect the price of cap. Because the difference have reacted by the price of bond.
4. If exercise interest rate is lower and then the price of cap is higher. So exercise interest rate is higher then price of interest cap will be lower.
目 錄
第一章 緒論1
第一節 研究動機1
第二節 研究目的3
第三節 研究架構4
第二章 文獻探討5
第一節 利率期限結構的起源與傳統模型6
第二節 利率期限結構-近代理論9
第三節 參數隨時間變動之利率期限結構16
第四節 具信用風險之利率期限結構及評價21
第五節 利率上限之介紹與評價37
第三章 研究方法42
第一節 研究資料說明42
第二節 研究架構設計44
第三節 研究步驟45
第四章 模擬與實證結果55
第一節 資料處理與說明55
第二節 風險性公司債選擇權模擬評價59
第三節 風險性選擇權模擬評價64
第四節 Vulnerable Cap的實證研究68
第五章 結論80
第一節 研究結論80
第二節 後續研究與建議82
參考文獻84
中文部份:
1.李詩婷,"考慮波動性的利率上限評價模型-台灣遠紡66期公司債實證",國立政治大學金融研究所碩士論文,民國87年6月。
2.葉仕國,"整合性利率期限結構模型之實證研究",國立台灣大學商學研究所博士論文,民國85年6月。
3.黃嘉斌,"固定收益證券",寰宇出版股份有限公司,民國87年4月。
4.羅耀宗,"債券學習百科",寰宇出版股份有限公司,民國87年。
英文部份:
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13.Hall, Stephen, 1996 ,Estimate and Interpreting the Yield Curve, John Wiley and Sons Ltd, 1th edition.
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15.Ho, Thomas and Ronald F. Singer(1984),"The Value of Corporate Debt with Sinking-Funding Provision",Journal of Business,Vol. 57,pp.315-336.
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27.Merton, Robert C.(1974),"On The Pricing of Corporate Debt : The Risk Structure of Interest Rates",The Journal of Finance 29(May), pp. 449-470.
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29.Ramaswamy, Krishan and Suresh M. Sundaresan(1986),"The Valuation of Flating-Rate Instrument-Theory and Evidence",Journal of Financial Economics 17,p.251-272.
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33.Vasicek, Oldrich(1977),"An Equilibrium Characterization of the Term Structure",Journal of Financial Economics 5, pp, 177-188.
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