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研究生:楊重志
研究生(外文):Chung-Chih Yang
論文名稱:可贖回公司債之評價
論文名稱(外文):Pricing of Callable Defaultable Bonds
指導教授:巫和懋巫和懋引用關係
指導教授(外文):Ho-Mou Wu
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
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:2004
畢業學年度:92
語文別:中文
論文頁數:52
中文關鍵詞:信用風險可贖回債券公司債
外文關鍵詞:Corporate bondsCredit riskCallable bonds
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摘要

信用風險的研究是以普通公司債之評價為根本,既而發展出各式各樣有關信用風險商品的評價方法。現今越來越多的公司發行包括選擇權的普通公司債來籌資,因此,評價這些包括選擇權的普通公司債變得重要。可贖回公司債是普通公司債內含贖回權,因此評價可贖回公司債除了違約的因素要考慮之外,必須加入贖回的因素。

本文以縮減式模型評價可贖回公司債,且提出除了信用風險會影響可贖回公司債的價格,流動性風險也是影響可贖回公司債價格的重要因素。因此將流動性的調整加入可贖回公司債的評價模型中,推導出包括流動性的可贖回公司債評價模型,並且將模型推廣至可賣回公司債的評價。實證結果顯示加入流動性調整的模型算出的價格比未加入流動性的模型算出的價格接近市場價格。

未來的課題,在於我們對流動性風險在有違約風險債券的形式與影響,還未有定論,因此,需要更多的實證資料與理論來明確的說明流動性風險與信用風險的關係以及此兩種風險對信用風險相關商品價格的影響。
Abstract

The research related to credit risk is based on the pricing of corporate bonds, and then developed pricing methods about all kinds of credit derivatives. Recently, there are more and more corporations funding by issuing corporate bonds with embedded options. Therefore, it is important to valuing those corporate bonds with embedded options. Callable defaultable bonds can be viewed as straight bonds with call provision. So, when we are valuing callable defaultable bonds, we have to consider both default factors and call factors.

We use reduced form model to price callable defaultable bonds. And then, we mention that credit risk and liquidity risk both have great influence on the price of callable deafultable bonds. Therefore, we add liquidity adjustments into the pricing model of callable defaultable bonds. We find out the pricing model of callable defaultable bonds with liquidity, and develop the pricing model of putable deafultable bonds with liquidity. Empirical results show that the model with liquidity is better than the model without liquidity.

We have not found out that how liquidity risk could affect defaultable bonds and to what extent. In the end, we need more empirical studies and theories about the field to tell us the relationship between liquidity risk and credit risk.
目錄

第1章 緒論……………………………………………………………1
1.1 研究動機………………………………………………………1
1.2 研究目的………………………………………………………2
1.3 論文架構………………………………………………………3
第2章 文獻回顧………………………………………………………4
2.1 有違約風險債券之評價模型…………………………………4
2.2 傳統可贖回公司債之評價模型………………………………7
2.2.1 可贖回債券的特性………………………………………7
2.2.2 傳統評價可贖回公司債的方法…………………………7
2.3 信用價差中流動性之研究……………………………………10
2.4 違約回覆與可賣回債券之文獻回顧…………………………11
2.5 違約強度模型下可贖回公司債之評價………………………11
第3章 加入流動性之可贖回公司債評價模型………………………15
3.1 可贖回公司債評價模型………………………………………15
3.1.1 流動性之調整……………………………………………15
3.1.2 違約回覆之調整…………………………………………16
3.2 可賣回公司債評價模型………………………………………25
3.3 強度之形式……………………………………………………29
3.3.1 違約強度之形式…………………………………………29
3.3.2 贖回強度之形式…………………………………………29
3.3.3 賣回強度之形式…………………………………………30
第4章 模型之參數估計與實證研究…………………………………31
4.1 參數估計與評價之步驟………………………………………31
4.2 比較分析模型間之差異………………………………………40
第5章 結論與建議……………………………………………………42
5.1 結論……………………………………………………………42
5.2 後續研究與建議………………………………………………43

參考文獻………………………………………………………………44

附錄……………………………………………………………………46
參考文獻

Acharya, V.V., and J.N. Carpenter, 2002, “Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy,” Review of Financial Studies, 15, 1355-1383

Black, F., and J.C. Cox, 1976, “Valuing Corporate Securities:Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, 351-367

Chakravarty, S., and A. Sarkar, 1999, “Liquidity in U.S. Fixed Income Markets:A Comparison of the Bid-Ask Spread in Corporate、 Government and Municipal Bond Markets,” Working Paper, Federal Reserve Bank of New York

Collin-Dufresne, P., R. Goldstein, and S. Martin, 2001, “The Determinants of Credit Spread Changes,” Journal of Finance, 56, 2177-2207

Cox, J.C., J.E. Ingersoll, Jr., and S.A. Ross, 1985, “A Theory of the Term Structure of Interest Rates,” Econometrica, 53, 385-407

Crabbe, L.E., and P. Nikoulis, 1997, “The Putable Bond Market:Structure, Historical Experience and Strategies,” Journal of Fixed Income, 7, 47-60

Duffie, D., and K. Singleton, 1999, “Modeling Term Structures of Defaultable Bonds,” Review of Financial Studies, 12, 687-720

Duffie, D., and K. Singleton, 2003, “Credit Risk:Pricing, Measurement and Management,” Princeton Series in Finance

Ericsson, J., and O. Renault, 2001, “Liquidity and Credit Risk,” Working Paper, McGill University

Guha, R., 2002, “Recovery of Face Value at Default:Theory and Empirical Evidence, ”Working Paper, London Business School

Güntay, L., 2002, “Pricing the Risks of Callable Defaultable Coupon Bonds,”Working Paper, University of Maryland

Güntay, L., H. Unal, and N. Prabhala, 2002, “Callable Bonds and Hedging, ”Working Paper, University of Maryland

Jarrow, R., H. Li, S. Liu and C. Wu, 2003, “Valuing Callable Corporate Bonds in a Reduced Form Model Using a Call Intensity Process, ”Working Paper, Cornell University

Lando, D., 1998, “On Cox Processes and Credit Risky Securities,” Review of Derivatives Research, 2, 99-120

Liu, S., and C. Wu, 2003, “Asymmetric Information and the Sinking-fund Call Provision of Defaultable Bonds, ”Working Paper, Syracuse University

Madan, D., and H. Unal, 2000, “A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads,” Journal of Financial and Quantitative Analysis, 35, 43-65

Merton, R.C., 1974, “On the Pricing of Corporate Debt:The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470

Yu, F., 2002, “Modeling Expected Return on Defaultable Bonds,” Journal of Fixed Income, 12, 69-81
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