臺灣博碩士論文加值系統

金融風暴的延伸，致使台灣亦受波及，國內首度發生可轉換公司債償付有問題的情況，因此如何使債權人能避免投資風險，使得債券市場得以健全發展，成為一重要課題。
彭博資訊(Bloomberg)在債券風險管理與投資評價的工具中，有一項為選擇權調整利差(Option Adjusted Spread 簡稱OAS)模型分析，本研究將其觀念運用於可轉換公司債的投資管理上，在利率模型採對數常態模型(lognormal model)，結合二元樹法(binomial tree)，作為可轉換公司債理論價值基礎，並以試誤法(trail and error)求得OAS值。
本研究以國內9家企業發行的13個可轉換公司債分別於民國八十六年年底、八十七年六月三十日及八十七年年底三日作OAS分析，配合信用風險與流動性風險指標，本研究發現將OAS模型分析用於國內發行之可轉換公司債上，具有資訊內涵的效果，同時有協助投資決策之功用。

This study aims to apply the option-adjusted spread (OAS) concept to the analysis of convertible bonds as a risk management and investment decision tool. We use the model known in technical terminology as a one-factor, arbitrage-free, binomial tree of lognormal model for OAS analysis and combine with convertible bond pricing model.
This study selects samples from thirteen kinds of convertible bonds issued by nine public listing companies in Taiwan. The OAS analysis timing point were December 31 of 1997, June 30 of 1998 and December 31 of 1998 and we compare the result with credit risk index and liquidity risk index. The findings of this study can be summarized as follows.
1. OAS analysis was informative to the Taiwan convertible bonds.
2. OAS analysis could help investors make decisions for risk management and investment.

第一章 緒論1
第一節 研究背景與研究動機1
第二節 研究目的3
第三節 論文架構與研究流程4
第二章 文獻探討6
第一節 利率風險結構與期間結構6
第二節 利率模型16
第三節 選擇權調整利差模式20
本章附註33
第三章 研究方法35
第一節 研究設計35
第二節 研究範圍40
第三節 樣本描述43
第四節 模型建立51
第五節 變數衡量58
本章附註60
第四章 實證研究63
第一節 模擬分析63
第二節 資料整理分析72
第三節 研究結果79
第五章 結論與建議84
第一節 研究結論84
第二節 研究限制與後續研究之建議87
參考文獻90
國內文獻部分90
國外文獻部分91

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陳士暐,<可轉換公司債評價之研究>,中央大學財務管理研究所未出版碩士論文,民國84年6月.
李學詩，＜以有限差分法評估可轉換公司債的價格＞，中山大學財務管理研究所未出版碩士論文，民國85年.
林祖豪，＜可轉換公司債之定價與錯價探討＞，中正大學財務金融研究所未出版碩士論文，民國86年.
郭伯宏，＜可轉換公司債定價─附加重設條款的三元樹狀模型＞，中正大學財務金融研究所未出版碩士論文，民國87年.
林思源，＜可轉換公司債評價模式之實證研究─以台灣地區上市公司為例＞，台灣大學國際企業研究所未出版碩士論文，民國87年.
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