臺灣博碩士論文加值系統

本文探討使用結構式模型決定違約機率以及違約相關係數。我們使用首次通過模型得出一個聯合違約機率函數的封閉解，然後計算違約相關係數。在決定違約相關係數以前，必須衡量資產相關係數，所以我們使用資本資產定價理論計算之。對於信用風險的探討上，傳統上研究假設公司在負債到期日發生違約。然而，違約事件有可能在負債到期日以前發生。所以，公司價值以及公司價值標準差必須在負債到期日以前可能發生違約的情況下估計之。因此，本文使用首次通過模型得到其估計值。

This paper studies how to decide default probabilities and default correlations using structural-form approach. We use first passage time model to derive a closed-form formula of joint default probability, and then calculate default correlations. Before deciding default correlations, the asset correlation needs to be determined. We apply an argument supported in capital asset pricing model to discuss the asset correlation. Traditional studies consider firms default at maturity date. However, since firms may default before maturity date, the firm’s asset and its standard deviation need to be estimated under the condition that default may occur before maturity date. We therefore use first passage time model to estimate these parameters.

第一章 緒論
第一節 前言…………………………………………………………………….1.
第二節 研究動機……………………………………………………………….2.
第三節 研究目的……………………………………………………………….9.
第四節 研究架構……………………………………………………………...10.
第二章 文獻回顧
第一節 結構式模型…………………………………………………………...12.
第二節 縮減式模型…………………………………………………………...15.
第三節 信用風險模型………………………………………………………...17.
第四節 違約相關係數………………………………………………………...22.
第三章 模型建構
第一節 違約機率……………………………………………………………...25.
第二節 資產相關係數………………………………………………………...26.
第三節 違約相關係數………………………………………………………...28.
第四章 實證分析
第一節 資料來源……………………………………………………………...31.
第二節 估計方法……………………………………………………………...31.
第三節 實證結果……………………………………………………………...33.
第四章 結論與建議...................................................................................................49.
附錄
附錄A………………………………………………………………………………..51.
附錄B………………………………………………………………………………..53.
附錄C………………………………………………………………………………..57.

中文部分
1.周大慶、沈大白、張大成、敬永康、柯瓊鳳，2002年，風險管理新標竿-風險值理論以及應用，智勝出版社。
2.張大成，2002年，新版巴塞爾協定:過去、現在與未來，存款保險資訊季刊，第十六卷第二期。
3.陳建良，2004年，違約機率以及銀行信用風險管理之探討，中山大學財務管理研究所，未發表碩士論文。
4.陳松男，2002年，金融工程學-金融創新選擇權理論，新陸出版社。
5.陳松男，2004年，基礎選擇權與期貨，新陸出版社。
6.黃仁德、陳淑郁，2004年，信用風險衡量:信用風險加成模型，台灣金融財務季刊，第五輯第三期。

英文部分
1.Black, F., and J.C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, 351-367.
2.Black, F., Scholes M., 1973, “ The Pricing of Options and Corporate Liabilities,” Journal of Political Economic, 81, 637-654.
3.Brockman, P., and H.J.Turtle, 2002, “An Barrier Option Framework for Corporate Security Valuation,” Journal of Financial Economics, 67, 511-529.
4.Briys, E., de Varenne, F., 1997, “ Valuing risky Fixed Rate Debt: An Extension,” Journal of Financial Quantities Analysis, 32, 239-248.
5.Das, S. R., D. Duffie, 2005, ”Common Failings: How Corporate Defaults are Correlated,” Working paper.
6.Das, S. R., G. Fong, and G.. Geng, 2004, “Correlated Default Process,” Working paper.
7.Das, S. R., L. Freed, and G. Geng, 2005, ”Correlated Default Risk,” Working paper.
8.Das, S.R., Tufano, P., 1996, ” Pricing Credit-Sensitive Debt When Interest Rate, Credit ratings, and Credit Spreads are Stochastic,” Journal of Financial Engineering, 5 , 161-198.
9.Davis, M. and V. Lo, 2001, “Modelling Default Correlation in Bond Portfolios,” Working paper.
10.Das, S. R., G. Fong, and G. Geng, 2001, “Impact of Correlated Default Risk on Credit Portfolios,” Journal of fixed Income, 9-19.
11.Duffie, D. and Singleton, K., 1997, “An Econometric Model of the Term Structure of Interest-Rate Swap Yields,” Journal of Finance, 52 ,1287-1321.
12.Fridson, M. S., C., Garman and S. Wu, 1997, “Real Interest Rate and the Default Rates on High-Yield Bonds, ” Journal of fixed Income, 29-34.
13.Geske, R., 1977 “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantities Analysis,12, 541-552.
14.Jarrow, R.A. and Turnbull, S.M., 1995, “Pricing Options on Financial Securities Subject to Default Risk,” Journal of Finance, 50, 481-523.
15.Jarrow, R.A., Lando, D., Turnbull, S.M., 1997, “A Markov Model for the Term Structure of Credit Risk Spreads,” Review of Financial Studies, 10, 481-523.
16.Jarrow, R., 2001, “Default Parameter Estimation Using Market Prices,” Financial Analysis Journal, 5, 74-92.
17.Kim, I.J., Ramaswamy, K., Sundaresan, S., 1993, “Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?” Financial Management, 22, 117-131.
18.Kim, M.A. and T.S.Kim, 2005, “Default Correlation Dynamics with Business Cycle and Credit Quality Changes,” Journal of Derivates, 8-27.
19.Lando,D., 1998, “On Cox Processes and Credit Risky Securities,” Review of Derivatives Research, 2 ,99-120.
20.Leland, H.E., 1994, “Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,” Journal of Finance, 49, 1213-1252.
21.Leland, H.E., and Toft, K., 1996, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” Journal of Finance, 51, 987-1019.
22.Li, X.D., 2000, “On Default Correlation: An Copula Function Approach,” Journal of Fixed Income, 43-54.
23.Longstaff, F.A., and Schwartz, E.S., 1995, “A simple approach to valuing risky fixed and floating rate debt,” Journal of Finance, 50, 789-819.
24.Lucas, D. J., 1995, “ Default Correlation and Credit Analysis,“ Journal of Fixed Income, 76-87.
25.Mandan, D.B., Unal, H., 2000, “ A Two-Factor Harzard-Rate Model for Pricing Risky Debt and Term Structure of Credit Spreads,” Journal of Financial Quantities Analysis, 35, 43-65.
26.Merton, R., 1973, “Theory of Rational Options Pricing,” The Bell Journal of Economics, 4, 141-183.
27.Merton, R., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470.
28.Merton, R., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee, Journal of Banking and Finance, 1, 3-11.
29.Musiela, M. and Rutkowski, M., 2002. Martingale Methods in Financial Modelling, Springer.
30.Ronn, R Ehud and Avinash, K. Verma, 1986, “Pricing Risk-Adjusted Deposit Insurnace:An Option-Based Model,” Journal of Finance, 871-895.
31.Sharp, W., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19, 425-442.
32.Vasicek, O., 1977, “An Equilibrium Characteristic of the Term Structure,” Journal of Finance, 5, 177-188.
33.Zhou, C., 1997, “A Jump-diffusion Approach to modeling credit risk and Valuing Defaultable Securities,” Working paper.
34.Zhou, C., 2001, “An Analysis of Default Correlations and Multiple Defaults,” Review of Financial Studies, 14, 555-576.

參考網站
1.英國銀行協會(BBA)網站:http://www.bba.org.uk/
2.國際清算銀行(BIS)網站: http://www.bis.org/
3穆迪KMV公司網站: http://www.moodyskmv.com/
4.信用衍生性金融商品網站: http://www.credit-deriv.com/
5.信用風險文章整理網站: http://www.defaultrisk.com/
中文部分
1.周大慶、沈大白、張大成、敬永康、柯瓊鳳，2002年，風險管理新標竿-風險值理論以及應用，智勝出版社。
2.張大成，2002年，新版巴塞爾協定:過去、現在與未來，存款保險資訊季刊，第十六卷第二期。
3.陳建良，2004年，違約機率以及銀行信用風險管理之探討，中山大學財務管理研究所，未發表碩士論文。
4.陳松男，2002年，金融工程學-金融創新選擇權理論，新陸出版社。
5.陳松男，2004年，基礎選擇權與期貨，新陸出版社。
6.黃仁德、陳淑郁，2004年，信用風險衡量:信用風險加成模型，台灣金融財務季刊，第五輯第三期。

英文部分
1.Black, F., and J.C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, 351-367.
2.Black, F., Scholes M., 1973, “ The Pricing of Options and Corporate Liabilities,” Journal of Political Economic, 81, 637-654.
3.Brockman, P., and H.J.Turtle, 2002, “An Barrier Option Framework for Corporate Security Valuation,” Journal of Financial Economics, 67, 511-529.
4.Briys, E., de Varenne, F., 1997, “ Valuing risky Fixed Rate Debt: An Extension,” Journal of Financial Quantities Analysis, 32, 239-248.
5.Das, S. R., D. Duffie, 2005, ”Common Failings: How Corporate Defaults are Correlated,” Working paper.
6.Das, S. R., G. Fong, and G.. Geng, 2004, “Correlated Default Process,” Working paper.
7.Das, S. R., L. Freed, and G. Geng, 2005, ”Correlated Default Risk,” Working paper.
8.Das, S.R., Tufano, P., 1996, ” Pricing Credit-Sensitive Debt When Interest Rate, Credit ratings, and Credit Spreads are Stochastic,” Journal of Financial Engineering, 5 , 161-198.
9.Davis, M. and V. Lo, 2001, “Modelling Default Correlation in Bond Portfolios,” Working paper.
10.Das, S. R., G. Fong, and G. Geng, 2001, “Impact of Correlated Default Risk on Credit Portfolios,” Journal of fixed Income, 9-19.
11.Duffie, D. and Singleton, K., 1997, “An Econometric Model of the Term Structure of Interest-Rate Swap Yields,” Journal of Finance, 52 ,1287-1321.
12.Fridson, M. S., C., Garman and S. Wu, 1997, “Real Interest Rate and the Default Rates on High-Yield Bonds, ” Journal of fixed Income, 29-34.
13.Geske, R., 1977 “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantities Analysis,12, 541-552.
14.Jarrow, R.A. and Turnbull, S.M., 1995, “Pricing Options on Financial Securities Subject to Default Risk,” Journal of Finance, 50, 481-523.
15.Jarrow, R.A., Lando, D., Turnbull, S.M., 1997, “A Markov Model for the Term Structure of Credit Risk Spreads,” Review of Financial Studies, 10, 481-523.
16.Jarrow, R., 2001, “Default Parameter Estimation Using Market Prices,” Financial Analysis Journal, 5, 74-92.
17.Kim, I.J., Ramaswamy, K., Sundaresan, S., 1993, “Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?” Financial Management, 22, 117-131.
18.Kim, M.A. and T.S.Kim, 2005, “Default Correlation Dynamics with Business Cycle and Credit Quality Changes,” Journal of Derivates, 8-27.
19.Lando,D., 1998, “On Cox Processes and Credit Risky Securities,” Review of Derivatives Research, 2 ,99-120.
20.Leland, H.E., 1994, “Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,” Journal of Finance, 49, 1213-1252.
21.Leland, H.E., and Toft, K., 1996, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” Journal of Finance, 51, 987-1019.
22.Li, X.D., 2000, “On Default Correlation: An Copula Function Approach,” Journal of Fixed Income, 43-54.
23.Longstaff, F.A., and Schwartz, E.S., 1995, “A simple approach to valuing risky fixed and floating rate debt,” Journal of Finance, 50, 789-819.
24.Lucas, D. J., 1995, “ Default Correlation and Credit Analysis,“ Journal of Fixed Income, 76-87.
25.Mandan, D.B., Unal, H., 2000, “ A Two-Factor Harzard-Rate Model for Pricing Risky Debt and Term Structure of Credit Spreads,” Journal of Financial Quantities Analysis, 35, 43-65.
26.Merton, R., 1973, “Theory of Rational Options Pricing,” The Bell Journal of Economics, 4, 141-183.
27.Merton, R., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470.
28.Merton, R., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee, Journal of Banking and Finance, 1, 3-11.
29.Musiela, M. and Rutkowski, M., 2002. Martingale Methods in Financial Modelling, Springer.
30.Ronn, R Ehud and Avinash, K. Verma, 1986, “Pricing Risk-Adjusted Deposit Insurnace:An Option-Based Model,” Journal of Finance, 871-895.
31.Sharp, W., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19, 425-442.
32.Vasicek, O., 1977, “An Equilibrium Characteristic of the Term Structure,” Journal of Finance, 5, 177-188.
33.Zhou, C., 1997, “A Jump-diffusion Approach to modeling credit risk and Valuing Defaultable Securities,” Working paper.
34.Zhou, C., 2001, “An Analysis of Default Correlations and Multiple Defaults,” Review of Financial Studies, 14, 555-576.

參考網站
1.英國銀行協會(BBA)網站:http://www.bba.org.uk/
2.國際清算銀行(BIS)網站: http://www.bis.org/
3穆迪KMV公司網站: http://www.moodyskmv.com/
4.信用衍生性金融商品網站: http://www.credit-deriv.com/
5.信用風險文章整理網站: http://www.defaultrisk.com/
中文部分
1.周大慶、沈大白、張大成、敬永康、柯瓊鳳，2002年，風險管理新標竿-風險值理論以及應用，智勝出版社。
2.張大成，2002年，新版巴塞爾協定:過去、現在與未來，存款保險資訊季刊，第十六卷第二期。
3.陳建良，2004年，違約機率以及銀行信用風險管理之探討，中山大學財務管理研究所，未發表碩士論文。
4.陳松男，2002年，金融工程學-金融創新選擇權理論，新陸出版社。
5.陳松男，2004年，基礎選擇權與期貨，新陸出版社。
6.黃仁德、陳淑郁，2004年，信用風險衡量:信用風險加成模型，台灣金融財務季刊，第五輯第三期。

英文部分
1.Black, F., and J.C. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, 351-367.
2.Black, F., Scholes M., 1973, “ The Pricing of Options and Corporate Liabilities,” Journal of Political Economic, 81, 637-654.
3.Brockman, P., and H.J.Turtle, 2002, “An Barrier Option Framework for Corporate Security Valuation,” Journal of Financial Economics, 67, 511-529.
4.Briys, E., de Varenne, F., 1997, “ Valuing risky Fixed Rate Debt: An Extension,” Journal of Financial Quantities Analysis, 32, 239-248.
5.Das, S. R., D. Duffie, 2005, ”Common Failings: How Corporate Defaults are Correlated,” Working paper.
6.Das, S. R., G. Fong, and G.. Geng, 2004, “Correlated Default Process,” Working paper.
7.Das, S. R., L. Freed, and G. Geng, 2005, ”Correlated Default Risk,” Working paper.
8.Das, S.R., Tufano, P., 1996, ” Pricing Credit-Sensitive Debt When Interest Rate, Credit ratings, and Credit Spreads are Stochastic,” Journal of Financial Engineering, 5 , 161-198.
9.Davis, M. and V. Lo, 2001, “Modelling Default Correlation in Bond Portfolios,” Working paper.
10.Das, S. R., G. Fong, and G. Geng, 2001, “Impact of Correlated Default Risk on Credit Portfolios,” Journal of fixed Income, 9-19.
11.Duffie, D. and Singleton, K., 1997, “An Econometric Model of the Term Structure of Interest-Rate Swap Yields,” Journal of Finance, 52 ,1287-1321.
12.Fridson, M. S., C., Garman and S. Wu, 1997, “Real Interest Rate and the Default Rates on High-Yield Bonds, ” Journal of fixed Income, 29-34.
13.Geske, R., 1977 “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantities Analysis,12, 541-552.
14.Jarrow, R.A. and Turnbull, S.M., 1995, “Pricing Options on Financial Securities Subject to Default Risk,” Journal of Finance, 50, 481-523.
15.Jarrow, R.A., Lando, D., Turnbull, S.M., 1997, “A Markov Model for the Term Structure of Credit Risk Spreads,” Review of Financial Studies, 10, 481-523.
16.Jarrow, R., 2001, “Default Parameter Estimation Using Market Prices,” Financial Analysis Journal, 5, 74-92.
17.Kim, I.J., Ramaswamy, K., Sundaresan, S., 1993, “Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?” Financial Management, 22, 117-131.
18.Kim, M.A. and T.S.Kim, 2005, “Default Correlation Dynamics with Business Cycle and Credit Quality Changes,” Journal of Derivates, 8-27.
19.Lando,D., 1998, “On Cox Processes and Credit Risky Securities,” Review of Derivatives Research, 2 ,99-120.
20.Leland, H.E., 1994, “Corporate Debt Value, Bond Covenants, and Optimal Capital Structure,” Journal of Finance, 49, 1213-1252.
21.Leland, H.E., and Toft, K., 1996, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” Journal of Finance, 51, 987-1019.
22.Li, X.D., 2000, “On Default Correlation: An Copula Function Approach,” Journal of Fixed Income, 43-54.
23.Longstaff, F.A., and Schwartz, E.S., 1995, “A simple approach to valuing risky fixed and floating rate debt,” Journal of Finance, 50, 789-819.
24.Lucas, D. J., 1995, “ Default Correlation and Credit Analysis,“ Journal of Fixed Income, 76-87.
25.Mandan, D.B., Unal, H., 2000, “ A Two-Factor Harzard-Rate Model for Pricing Risky Debt and Term Structure of Credit Spreads,” Journal of Financial Quantities Analysis, 35, 43-65.
26.Merton, R., 1973, “Theory of Rational Options Pricing,” The Bell Journal of Economics, 4, 141-183.
27.Merton, R., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449-470.
28.Merton, R., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee, Journal of Banking and Finance, 1, 3-11.
29.Musiela, M. and Rutkowski, M., 2002. Martingale Methods in Financial Modelling, Springer.
30.Ronn, R Ehud and Avinash, K. Verma, 1986, “Pricing Risk-Adjusted Deposit Insurnace:An Option-Based Model,” Journal of Finance, 871-895.
31.Sharp, W., 1964, “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19, 425-442.
32.Vasicek, O., 1977, “An Equilibrium Characteristic of the Term Structure,” Journal of Finance, 5, 177-188.
33.Zhou, C., 1997, “A Jump-diffusion Approach to modeling credit risk and Valuing Defaultable Securities,” Working paper.
34.Zhou, C., 2001, “An Analysis of Default Correlations and Multiple Defaults,” Review of Financial Studies, 14, 555-576.

參考網站
1.英國銀行協會(BBA)網站:http://www.bba.org.uk/
2.國際清算銀行(BIS)網站: http://www.bis.org/
3穆迪KMV公司網站: http://www.moodyskmv.com/
4.信用衍生性金融商品網站: http://www.credit-deriv.com/
5.信用風險文章整理網站: http://www.defaultrisk.com/