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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Yin-Jen Chen | en |
| dc.contributor.author | 陳膺任 | zh_TW |
| dc.date.accessioned | 2021-06-08T02:02:59Z | - |
| dc.date.available | 2030-01-01 | - |
| dc.date.copyright | 2016-07-06 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2016-04-06 | |
| dc.identifier.citation | 1. Nashikkar A., Subrahmanyam M. G., and Mahanti S., “Liquidity and Arbitrage in the Market for Credit Risk”, Journal of Financial and Quantitative Analysis, 46 (2011), pp.627–656.
2. Brigo D. and Alfonsi A., “Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model”, Finance and Stochastics, 9 (2005), pp. 29-42. 3. Briysa E. and Varenne F., “Valuing Risky Fixed Rate Debt: An Extension”, Journal of Financial and Quantitative Analysis, 32 (1997), pp 239-248. 4. Hotchkiss E., Warga A. and Jostova G., “Determinants of Corporate Bond Trading: A Comprehensive Analysis”, Working Paper, University of Houston, Boston College, and George Washington University (2002). 5. Elton, Edwin J., Martin K. Gruber, Deepak Agrawal, and Christopher Mann, “Explaining the Rate Spread on Corporate Bonds”, TheJournal of Finance, 56 (2001), pp. 247–277. 6. Longstaff F.A. and Schwartz E.S., “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt”, Journal of Finance, 50 (1995), pp. 788-819. 7. Longstaff F. A. and Schwartz E.S.,”Valuing Credit Derivatives”, The Journal of Fixed Income, 5 (1995), pp. 6–12. 8. Longstaff F. A., Mithal S. and Neis E., “Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market”, Journal of Finance, 60 (2005), pp. 2213–2253. 9. Black F. and Cox J.C., “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, 31 (1976), pp. 351-367. 10. Hong G. and Warga A., “An Empirical Study of Bond Market Transactions”, Financial Analysts Journal, 56 (2000), pp. 32-46. 11. Leland H. E., “Corporate Debt Value, Bond Covenants, and Optimal Capital Structure”, Journal of Finance, 49 (1994), pp. 1213-1252. 12. Brigo D. and Mercurio F., “Interest Rate Models Theory and Practice with Smile, Inflation and Credit”, (2006). 13. Duffie D. and Liu J. “Financial Analysts Journal”, Floating-Fixed Credit Spreads”, Financial Analysts Journal, 57 (2001), pp. 76-87. 14. Duffie D. and Singleton K. J., “An Econometric Model of the Term Structure ofInterest-Rate Swap Yields”, Journal of Finance, 52 (1997), pp. 1287-1321. 15. Duffie D. and Singleton K. J., “Modeling term structures of defaultable bonds”, The Review of Financial Studies, 12 (1999), pp. 687-720. 16. Lando D., “On Cox Processes and Credit Risky Securities”, Review of Derivatives research, 2 (1998), pp. 99-120. 17. Kim I.J., Ramaswamy K. and Sundaresan S.,” Does Default Risk in Coupons Affect the Valuation of Corporate Bonds? A Contingent Claims Model”, Financial Management, 22 (1993), pp. 117-131. 18. Cox J. C., Ingersoll J. E., and Ross S. A., “A Theory of the Term Structure of Interest Rates”, Econometrica, 53 (1985), pp. 385-407. 19. Jones, Philip E., Scott P. Mason, and Eric Rosenfeld, ”Contingent Claims Analysis of Corporate Capital Structures: An empirical investigation”, Journal of Finance, 39 (1984),pp. 611–625. 20. Liu J., Longstaff F. A. and Mandell R. E., “The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks”, The Journal of Business, 79 (2006), pp. 2337-2359. 21. Huang J.Z. and Huang M., “How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? ”, Review of Asset Pricing Studies, 2 (2012), pp. 153-202. 22. Duellmann K.and Windfuhr M., “Credit Spreads Between German and ItalianSovereign Bonds - Do Affine Models Work? ”, Canadian Journal of Administrative Sciences 17, pp.166-181. 23. Vasicek O.,“An equilibrium characterization of the term structure”, Journal of Financial Economics, 5 (1977), pp. 177-188. 24. Schultz P., “Corporate Bond Trading Costs: A Peek Behind the Curtain”, Journal of Finance, 56 (2001), pp. 677–698. 25. Jarrow R. A. and Protter P., “Structural versus Reduced Form Models: A New Information Based Perspective”, 2 (2004), pp. 1-10. 26. Metron R.C.,“On the Pricing of Corporate Debt: the Risk Structure of Interest Rates”, Journal of Finance, 29 (1974), pp. 449–470. 27. Geske R., “The Valuation of Corporate Liabilities as Compound Options”, Journal of Financial and Quantitative Analysis, 4(1977), pp. 541-552. 28. Zagst R. and Scherer M., “Modeling and Pricing Credit Derivatives”, Contemporary Mathematics, 515 (2010), pp. 111-142. 29. Chakravarty S. and Sarkar A., “Trading Costs in Three US Bond Markets”, The Journal of Fixed Income, 13 (2003), pp. 39-48. 30. Mahanti S., Nashikkar A., Subrahmanyam M., G. Chacko and G. Mallik. “Latent Liquidity: A New Measure of Liquidity with an Application to Corporate Bonds” Journal of Financial Economics, 88 (2008), pp. 272–298. 31. Eom Y.H., Helwege J. and Huang J., “Structural Models of Corporate Bond Pricing: An Empirical Analysis”, Review of Financial studies, 17 (2004), pp. 499-544. 32. Hotchkiss E., Warga A. and Jostova G., “Determinants of Corporate Bond Trading: A Comprehensive Analysis”, Working Paper, University of Houston, Boston College,and George Washington University (2007) | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/19516 | - |
| dc.description.abstract | 本文旨在延伸Lonstaff (2005) 公司債溢酬分解模型。藉由放寬信用風險溢酬與流動性溢籌彼此統計獨立的假設，本研究得以探討兩者互動的情形，然而放寬假設卻有可能使得公司債定價失去解析解，因此利用 Brigo and Alfonsi (2005) 提出的近似公式以逼近理論公司債。由於該模型涉及到的參數大多無法直接從市場觀察而來，這使得參數估計變得更加困難，因此本研究另外提供方法去推估合理的參數值區域，最後輔以實際例子供示範之用。 | zh_TW |
| dc.description.abstract | This paper is primarily intended to generalize the framework of Longstaff (2005) by regarding the default intensity process and liquidity process a two-dimensional correlated CIR process. However, we may lose the analytically tractable solution of the defaultable bond with such modifications. Consequently, we implement a Gaussian dependence mapping proposed by Brigo and Alfonsi (2005). Besides, we provide a technique to sketch the possible region where parameters will fall in case of parameter identification problems. Finally, we offer a case study to illustrate those methods in practice. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-08T02:02:59Z (GMT). No. of bitstreams: 1 ntu-103-R01723051-1.pdf: 1209727 bytes, checksum: 08f68673bf71db1f8a87651f5a1800c8 (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | I.Introduction………………………………………………………………………1
II.Literature Review……………………………………………………………...4 1. Credit-Pricing Model…………………………………………………………..5 2. Yield Spread Determinant……………………………………………………..7 3. Liquidity Measurement……………………………………………………......7 4. Control for Credit Risk via Credit Default Swap Premium…………………...8 III.Methodology…………………………………………………………………...9 1. Model-Setting……………………………………………………………….....9 2. Gaussian Dependent Mapping……………………………………………….14 3. Solution of Bond Price and Credit Default Swap Premium………………….17 IV.Goldman Sachs Case Study…………………………………………….....19 1. Data…………………………………………………………………………..20 2. Estimation Procedure………………………………………………………...23 3. Parameter Identification Technique…………………………………………..26 4. Results………………………………………………………………………..30 V.Concluding Remarks………………………………………………………...33 Appendix…………………………………………………………………………..34 References………………………………………………………………………....45 | |
| dc.language.iso | en | |
| dc.title | 利用兩維度Cox-Ingersoll-Ross模型分解公司債溢酬以高盛為例 | zh_TW |
| dc.title | Corporate Yield Spread Decomposition with two-dimensional Cox-Ingersoll-Ross Model and Goldman Sachs Case Study | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 邱嘉洲,鍾懿芳 | |
| dc.subject.keyword | 公司債溢酬分解,流動性風險溢酬,信用風險溢酬,信用違約交換,公司債溢酬評價, | zh_TW |
| dc.subject.keyword | Corporate Bond Yield Decomposition,Liquidity Risk Premium,Credit Risk Premium,Credit Default Swap,Corporate Yield Pricing, | en |
| dc.relation.page | 50 | |
| dc.identifier.doi | 10.6342/NTU201600163 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2016-04-06 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| dc.date.embargo-terms | 2030-01-01 | |
| Appears in Collections: | 財務金融學系 | |
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| File | Size | Format | |
|---|---|---|---|
| ntu-103-1.pdf Restricted Access | 1.18 MB | Adobe PDF |
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