臺灣博碩士論文加值系統

本篇論文結合了結構式模型與縮減式模型的優點，整合權益市場、債券市場、財務報表等資訊，藉由模型的方式推導出回復率、違約率、隱含資產波動率、違約點，並達成與實證上一致的結論。我們將公司權益視為下降出局買權，將債權人期望損失視為下降出局二元賣權，在市場為有效率的假設下，透過縮減式模型與結構式模型之間的均衡，我們運用數值的方法推論出適用於評價信用衍生性的參數，而非純粹利用歷史資訊或外生假設來決定這些參數，這是本模型最大的貢獻之一。最後，我們應用模型的方法，建立一個違約指標，可用來預測相同評等下的公司在未來一年違約的可能性；我們亦將實際違約樣本公司計算得到的違約指標與一般正常公司做比較，最後發現當市場可取得資訊越充分，該違約指標的表現越佳，對於用來區分危機公司與正常公司具有相當大的解釋能力，該指標可以用來提供信用評等無法捕捉的資訊。

This paper introduces a new methodology that integrates information in equity market, bond market, and financial statements to derive a unique recovery rate for every company by reconciling structural models with intensity models. We model a firm’s equity as the down-and-out call option and the expected loss of creditors as the down-and-out binary put option. Under the equilibrium between structural models with intensity models, the default probabilities derived from the two models are identical. Besides, we numerically obtain the expected recovery rates for the companies of concern. And the default points surprisingly consist with empirical findings as well. The main goal of this paper is to find out the equilibrium between structural models and intensity models in order to derive primary parameters numerically for pricing credit derivatives. We also apply our method to create a credit indicator that is used to predict default possibilities for companies. Consequently, it exhibits outstanding performance to our surprise.

CONTENTS Page

Abstract

I. Introduction......................................... 1

II.Theoretical Framework and Calibration Methodology.... 4
1. Equity Value as a Down-And-Out Call Option.......... 4
2. Expected Loss as a Down-And-Out Binary Put Option... 7
(1) Expected Loss in Intensity Models............... 7
(2) Expected Loss from Structural Models............ 8
3. Other Parameters must be Specified................. 11
(1) Recovery Rate R................................ 11
(2) Weighted Average Debt Maturity T............... 13
(3) Implied Asset Volatility σA.................... 14

III.Model Implement.................................... 16
1. Data............................................... 17
2. Results............................................ 18
(1) Expected Recovery Rate......................... 19
(2) Implied Asset Volatility, Equity Volatility
and Expected Loss Volatility................... 20
(3) DPT% vs. Moody’s KMV Default Point............ 21
(4) Default Curve.................................. 23

IV. Model Application—Default Indicator DI............ 26

V. Conclusion......................................... 28

References

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