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研究生:林淑芳
研究生(外文):Lin,Shu-fang
論文名稱:專案負債之評價--Jarrow-Turnbull離散模型之延伸
論文名稱(外文):Project Debt Pricing--the Extension of Jarrow-Turnbull Discrete Model
指導教授:廖咸興廖咸興引用關係
指導教授(外文):Liao,Hsien-hsing
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2000
畢業學年度:88
語文別:中文
論文頁數:52
中文關鍵詞:專案融資專案債券信用風險
外文關鍵詞:Project FinanceProject bondCredit RiskJarrow-Turnbull Model
相關次數:
  • 被引用被引用:1
  • 點閱點閱:171
  • 評分評分:
  • 下載下載:18
  • 收藏至我的研究室書目清單書目收藏:1
台灣高速鐵路得標後,即經歷取得銀行授信的困難,然而鑒於專案計畫之融資金額龐大,實在不允許我們小覷。
此外,近年來專案負債亦逐步發展,再加上一九九八年三月專案負債證券化產品,皆使得專案負債評價方式更具研究價值。
Jarrow-Turnbull離散模型為一運用無套利機會評價方法之信用風險評價模式,其具有在實際應用上之方便性。由於專案融資牽涉到許多複雜的經濟因素及風險,使得專案負債具有相當多與一般負債不同的性質,故針對此類融資,實需一考量到其特殊風險之評價模型。然而,目前無論國內或國外,針對專案負債之評價研究卻相當稀少。
本研究以Jarrow-Turnbull離散模型為基礎,針對專案負債提出一JT離散延伸模型,其放寬JT模型中各期回收比率相同的假設;此外,針對專案負債信用評等波動性較大的性質,也提出了適合的評價方式。另外,本研究並討論了利用零息債券計算附息債券以及在連續交易經濟下,亦即違約隨時均可能發生假設下,所應採行的評價方式。
本研究所提出之專案負債評價模式不僅可供學術界參考,且由於其應用方式並不困難,從實務的角度來看,也具有相當的價值。
Project Finance is one way to get financing by using the cash flows that the project will generate in the future as the resource of payback. The lending amount is usually enormous and it''s very complicated since it involves many different institutions and companies.
Project debts include many instruments, such as commercial bank loans and project bonds. Since there are various kinds of risks in a project, project debts have some unique properties, which make pricing them very difficult.
This thesis discusses how to price project debts by using the Jarrow-Turnbull discrete model. The Jarrow-Turnbull discrete model is a credit risk pricing model, and it applies the no-arbitrage pricing method. This thesis releases the assumption that the recovery rate is fixed in the Jarrow-Turnbull discrete model, and points out a proper pricing method in terms of the special properties of project debts.
Since there are few papers that discussed about this topic, it is hoped that this thesis can give the readers some hints to research further.
第一章 緒論 ---------------------------------------------------------- 1
第一節 研究動機及目的 ---------------------------------------- 1
第二節 研究架構 ------------------------------------------------- 4
第二章 專案負債之特性 ----------------------------------------- 5
第一節 專案債券介紹 ------------------------------------------- 5
第二節 專案抵押貸款債權證券化 --------------------------- 8
第三節 專案負債之特性討論 -------------------------------- 10
第三章 Jarrow-Turnbull離散模型介紹 ------------------------- 14
第一節 假定之經濟狀況 ---------------------------------------- 14
第二節 兩期離散交易經濟 ------------------------------------- 16
第四章 Jarrow-Turnbull離散模型之延伸 ---------------------- 24
第一節 延伸模型說明 ------------------------------------------ 25
第二節 無套利機會之條件 ----------------------------------- 27
第三節 具違約風險債券之評價方式 ---------------------- 32
第五章 延伸模型之應用 ------------------------------------------ 33
第一節 信用評等不變假設之放寬 ------------------------- 35
第二節 以零息債券模型應用在附息債券上 ------------ 37
第三節 離散交易經濟下,專案負債價格之計算方式-- 38
第四節 由離散模擬連續 -------------------------------------- 44
第六章 結論與建議 ------------------------------------------------ 46
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