臺灣博碩士論文加值系統

在西元2004年時，博達科技因無力償還可轉換公司債，而聲請重整，引發了一連串可轉換公司債的地雷風暴(衛道、博達..)，造成投資人嚴重的損失，因此投資人對於公司信用風險(credit risk)的衡量變得更加重視，我們可以用公司的違約機率(default probability)和信用價差(credit spread)，來分析一個公司的信用風險。本文中我們將探討可轉換公司債的定價和公司違約風險的估計，並且以博達可轉換公司債為例，做一個實例的計算。
我們利用公司的股價、波動率、市場利率，算出該公司可轉換公司債在Black-Scholes model的理論價格並利用市場上可轉換公司債的交易價格、計算出兩者之間的價差(spread )，並且計算可轉換公司債到期的殖利率，加上已知的市場利率來算出公司的違約機率。利用觀察價差和違約機率的變化，對持有可轉換公司債的投資者，和可能發生違約的公司提出警示。
另外我們也從不同的觀點來討論可轉換公司債，在可轉換公司債模型中，加入公司的次順位債券和可轉換公司債的轉換量，來評價該公司的可轉換公司債的價值，並舉例說明在轉換量整批轉換或轉換量不受限制下，可轉換公司債的理論價值和最佳轉換策略。

In 2004, a chain of defaults of the convertible bond was sparked by Procomp''s failure to fulfill a corporate bond payment due on 18 June. It is a great loss to the investor. The event had instilled great concerned to the credit risk. That brought attention to the holders of Taiwan''s bonds. Defaults tend to have that effect. We analyzed the credit risk of a corporation by using the default probability and credit spread. In this thesis, we would discuss the pricing of the convertible bond and estimate the default probability. The data of Procomp would be analysis by these methods.
We used the stock prices, volatility, market''s interest rate to calculate the Black-Scholes model''s price of Procomp''s Convertible Bond. We also used the Procomp''s convertible bond trading price, market''s interest rate to calculate the spread, yield to maturity and default probability. By observing the behavior of default probability and spread, bond holders received a warning alarm about the default event. That would try to facilitate the investors to avoid the loss of similar financial default.
We also tried to use the different view point to pricing the convertible bond. In this thesis, we summarized some result from work of characterized optimal conversion strategies and the related values of convertible bonds and stocks under the firms which have subordinated debt outstanding in addition to the convertible bonds.

第一章 緒　論
1.1　　研究動機與目的
1.2　　研究架構
第二章 債券、可轉換公司債的介紹
2.1 債券的介紹
2.2 可轉換公司債的介紹
2.2.1 可轉債定義及基本特性
2.2.2 可轉債發行條件及特徵
第三章　　信用風險
3.1 信用風險的介紹
3.2 破產風險模型(MoodysKMV Credit Monitor Model)
3.3 信用風險溢酬分析(Hull and White)
第四章　　債券的定價
4.1 一般債券的評價
4.2 可轉換公司債的評價
4.2.1 Black-Scholes Equation的介紹
4.2.2 可轉換公司債的定價模型
第五章　　可轉換公司債的數值計算方法
5.1 數值方法：有限差分法求解
第六章 實證分析
6.1 博達可轉換公司債發行轉換辦法及市場實際轉換情況
6.1.1 博達可轉換公司債發行轉換辦法
6.1.2 博達可轉換公司債市場實際轉換情況
6.2 博達可轉換公司債的信用風險溢酬分
6.3 博達可轉換公司債定價模型的有限差分法求解
第七章 可轉換公司債的轉換策略
7.1 Wolfgang/Christian可轉債定價模型
7.2 最佳轉換策略：轉換量為整批轉換(Block Conversion)
7.3 最佳轉換策略：分析最佳轉換策略轉換量不受限制
7.4 討論：Wolfgang/Christian可轉債定價模型
第八章 結論

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