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研究生:吳敬庭
研究生(外文):Ching-Ting Wu
論文名稱:公司債券違約風險對債券利差與存續期間之影響
論文名稱(外文):The Impact of Default Risk of Corporate Bonds on Bond Spreads and Bond Duration
指導教授:郭震坤郭震坤引用關係
口試委員:雷立芬李志偉
口試日期:2012-05-11
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:2013
畢業學年度:102
語文別:中文
論文頁數:76
中文關鍵詞:債券結構模型債券違約風險債券利差債券存續期間
外文關鍵詞:corporate bondstructural modeldefault riskyield spreadbond duration
相關次數:
  • 被引用被引用:4
  • 點閱點閱:802
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
債券結構模型預測債券的違約風險對債券的利差以及債券的存續期間有重要影響。本研究係參考Jacoby and Shiller(2010)的迴歸模型,利用台灣債券市場資料實證該債券結構模型。
本研究依照債券的信用評等將債券分類,以去除公司的財務槓桿對公司債券利差的影響,應用證券櫃檯買賣中心資料進行實證研究。首先,利用公債零息殖利率與普通公司債券零息殖利率估計違約風險利差。接著以政府公債零息殖利率變動與違約風險利差變動之關係,研究無風險利率對違約風險利差的影響。最後,以政府公債零息殖利率變動與公司債零息殖利率變動之關係,研究違約風險調整後存續期間與Macaulay存續期間之關係。
本研究使用台灣債券市場資料的實證結果,違約風險利差變動與公債殖利率變動為負相關,與Jacoby and Shiller(2010)使用加拿大債券市場資料的實證結果相同。實證結果也驗證了Acharya and Carpenter(2002)的模型,他們的模型預測違約風險會縮短債券的存續期間。

Structural models for valuing straight corporate bonds show that default risk have important implications for the yield spread and the bond duration. Based on Jacoby and Shiller(2010), this study uses data from Taiwan bond market to test the hypotheses.
First, we classify bonds according to their ratings. Using data from GreTai Securities Market, we estimate default spread as the difference between the zero-coupon yield of a straight corporate bond and the zero-coupon yield of a government bond with the same term to maturity. Then, we use the relationship between changes in government zero-coupon yield and default spreads to examine the impact of the risk-free rate to the default spread. Furthermore, we use the relationship between changes in government zero-coupon yield and corporate zero-coupon yield to examine the relationship between the risk-adjusted duration and the Macaulay duration. The results are consistent with that of Acharya and Carpenter(2002).

摘要 I
Abstract II
目錄 III
圖目錄 V
表目錄 1
第一章、緒論 3
第一節、研究背景與動機 3
第二節、研究目的 5
第三節、研究架構 1
第二章、文獻探討 2
第一節、違約風險與買回風險對可買回公司債券的影響 2
第二節、利率期限結構模型 11
第三節、台灣債券市場概述 21
第三章、研究方法 39
第一節、研究期間與樣本選擇 39
第二節、利用拔靴法估計零息殖利率 47
第三節、利用公債零息殖利率與公司債券零息殖利率估算利差 50
第四章、實證結果分析 54
第一節、敘述統計與相關結果分析 54
第二節、迴歸實證結果 61
第五章、結論 69
第一節、研究結論 69
第二節、研究的局限性 70
參考文獻 71


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Briys, E. and F. o. d. Varenne (1997). "Valuing Risky Fixed Rate Debt: An Extension." The Journal of Financial and Quantitative Analysis 32(2): 239-248.

Brooks, R. and B. Attinger (1992). "Using Duration and Convexity in the Analysis of Callable Convertible Bonds." Financial Analysts Journal 48(4): 74-77.

Collin-Dufresne, P., R. S. Goldstein and J. S. Martin (2001). "The Determinants of Credit Spread Changes." Journal of Finance 56(6): 2177-2207.

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Jacoby, G., R. C. Liao and J. A. Batten (2009). "Testing the Elasticity of Corporate Yield Spreads." Journal of Financial and Quantitative Analysis 44(03): 641-656.

Jacoby, G. and G. S. Roberts (2003). "Default- and call-adjusted duration for corporate bonds." Journal of Banking &; Finance 27(12): 2297-2321.

Jacoby, G. and I. Shiller (2010). "Corporate Bond Pricing and the Effects of Endogenous Default and Call Options." Journal of Fixed Income 20(2): 80-100.

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Merton, R. C. (1974). "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." The Journal of Finance 29(2): 449-470.

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