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研究生:鍾懿芳
研究生(外文):Yi-Fang Chung
論文名稱:違約債務展延與否之決策模型
論文名稱(外文):The Decision Model of Extending a Defaulting Debt
指導教授:李賢源李賢源引用關係
學位類別:博士
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:2008
畢業學年度:97
語文別:中文
論文頁數:57
中文關鍵詞:展延債券違約債務夏普比率
外文關鍵詞:extendible bonddefaulting debtSharpe ratio
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本論文應用Black-Scholes-Merton傳統結構式模型,分析具有特殊風險承擔考量之債權人面對淨現值為正之違約債務的展延違約債務決策問題,並求得展延債務之最適展延期限。藉由比較債務展延前、後的修正式夏普比率值,修正式夏普比率模型在展延債務與清算公司之間選擇最佳的決策結果,以獲得最高的修正式夏普比率。本研究提出以修正式夏普比率為目標函數之債務展延決策模型具有下列三項性質:(1)在修正式夏普比率模型的決策中,若債權人同意展延債務,則債務展延後債權人獲得之修正式夏普比率預期值不會低於債務違約前已實現的修正式夏普比率相對值。(2)修正式夏普比率模型可以捕捉債務違約前與後公司風險結構改變對債務展延決策的影響。(3)修正式夏普比率模型可以捕捉債務人提供分紅制度對債務展延決策的影響效果。
This paper uses the traditional Black-Scholes-Merton structural model to discuss the strategic choices faced by the special risk exposure considering creditor when deciding whether to grant maturity extension on a defaulted loan. The objective function of the model described in this paper is to compare the modified Sharpe ratio before and after maturity extension. This paper finds that the revised decision model with the Sharpe ratio has these compelling characteristics: (1)It ensures that the expected modified Sharpe ratio is higher after maturity extension than before; (2)It recognizes that changes in the risk profile of the firm before and after maturity extension substantially affect the strategic behavior of the special risk exposure considering creditor; (3)It demonstrates the effects of profit sharing plans provided to the special risk exposure considering creditor by the stockholder of the firm, where the higher the profit sharing percentage the creditor get, the more willing it will be to extend maturity.
誌謝………………………………………………………………………………. i
中文摘要………………………………………………………………………… ii
英文摘要………………………………………………………………………… iii
第一章 序言…………………………………………………………………….. 1
第二章 Longstaff模型再探討………………………………………………….. 9
2.1 Longstaff原始模型回顧………………………………………………… 9
2. 2分析Longstaff模型之一般均衡結果…………………………………… 11
2.3風險因素的考量…………………………………………………………. .12
2.4決策結果之比較…………………………………………………………. .14
2.5公司風險變化因素對展延決策之影響…………………………………. .17
2.6利潤分享措施之影響……………………………………………………. .19
2.7模型參數之敏感度分析…………………………………………………. .21
2.8小結與後續研究…………………………………………………………. .23
第三章 修正式夏普比率之債務展延決策模型………………………………….25
3.1 修正式夏普比率…………………………………………………………. 25
3.2債務展延決策修正式模型……………..………………………………… 28
3.3數值例子分析……………………………………………………………. .31
第四章 結論……………………………………………………………………….34
4.1 結論………………………………………………………………………. 34
4.2未來研究建議…………………………..………………………………… 37
附圖………………………………………………………………………………….39
附表………………………………………………………………………………….44
參考文獻...…………………………………………………………………….…… 52
附錄………………………………………………………………………………….54
1.Anathanarayanan, A. L. and E. S. Schwartz, 1980, Retractable and Extendible Bonds: The Canadian experience. Journal of Finance, 35, 31-47.
2.Anderson, R. and S. Sundaresan, 1996, The Design and Valuation of Debt Contracts. Review of Financial Studies, 9, 37-68.
3.Bernardo, A. E. and O. Ledoit, 2000, Gain, Loss, and Asset Pricing, Journal of Political Economy, 108, 144-172.
4.Black, F. and M. Scholes, 1973, The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81, 637-659.
5.Brennan, M.J. and E. S. Schwartz, 1977, Savings Bonds, Retractable Bonds, and Callable Bonds. Journal of Financial Economics, 5, 67-88.
6.Longstaff, Francis A., 1990, Pricing Options with Extendible Maturities: Analysis and Applications. Journal of Finance, 45, 935-957.
7.Mella-Barral, P. and W. Perraudin, 1997, Strategic Debt Service. Journal of Finance, 52, 531-556.
8.Merton, R., 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. Journal of Finance, 29, 449-470.
9.Moraux, F. and P. Navatte, 2006, Rescheduling Debt in Default: The Longstaff''s Proposition Revisited. Banque & Marchés, 81, 51-59.
10.Moraux, F. and P. Navatte, Extending the Maturity of Debts in Default: Some Further Insights. Finance Letters, in press.
11.Ziemba, W. T., 2005, The Symmetric Downside-Risk Sharpe Ratio, The Journal of Portfolio Management, Fall, 108-122.
12.廖咸興、張森林、李坤穎,2005,引入參與率下債券延長到期日之研究。國立台灣大學財務金融研究所碩士論文,1-27。
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