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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 傅承德(Cheng-Der Fuh) | |
dc.contributor.author | Chu-Lan Kao | en |
dc.contributor.author | 高竹嵐 | zh_TW |
dc.date.accessioned | 2021-06-08T04:24:56Z | - |
dc.date.copyright | 2010-06-20 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-06-04 | |
dc.identifier.citation | [1] Acharya, V.V., and Carpenter, J.N., 2002, 'Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy,' Review of Financial Studies, 15, 1355-1383.
[2] Aurora, D., Kraemer, N., and Vazza, D., 2009, 'Default, Transition, and Recovery: 2008 Annual Global Corporate Default Study And Rating,' Standard and Poor's. [3] Bielecki, T., and Rutkowski, M., 2000, 'Multiple ratings model of defaultable term structure,' Mathematical Finance, 10, 125-139. [4] Bielecki, T.R., and Rutkowski, M., 2001, 'Credit Risk: Modeling, Valuation and Hedging,' Springer-Verlag, New York. [5] Broadie, M., Glasserman, P., and Kou, S.G., 1997, 'A Continuity Correction for Discrete Barrier Options,' Mathematical Finance, 7, 325-349. [6] Broadie, M., Glasserman, P., and Kou, S.G., 1999, 'Connecting Discrete and Continuous Path-Dependent Options,' Finance and Stochastics, 3, 55-82. [7] Brockman, P., and Turtle, H.J., 2003, 'A Barrier Option Framework for Corporate Security Valuation,' Journal of Financial Economics, 67, 511-529. [8] Das, S.R., and Tufano, P., 1996, 'Pricing Credit-Sensitive Debt when Interest Rates, Credit Ratings, and Credit Spreads are Stochastic,' Journal of Financial Engineering, 5(2), 161-198. [9] Du e, D., and Singleton, K. J., 2003, 'Credit Risk,' Princeton University Press, Princeton and Oxford. [10] Ericsson, J., and Renault, O., 2006, 'Liquidity and Credit Risk,' Journal of Finance, 61, 2219-2250. [11] Frydman, H., and Schuermann, T., 2008, 'Credit Rating Dynamics and Markov Mixture Models,' Journal of Banking and Finance, 32, 6, 1062-1075. [12] Fuh, C., and Lai, T., 1998, 'Wald's Equation, First Passage Time and Moments of Ladder Variables in Markov Random Walks,' Journal of Applied Probability, 35, 560-580. [13] Fuh, C., 2004, 'Uniform Markov Renewal Theory and Ruin Probabilities in Markov Random Walks,' The Annals of Applied Probability, 14(3), 1202-1241. [14] Fuh, C., and Pang, T., 2009, 'Self-Normalized Central Limit Theorem for Markov Random Walks,' working paper, National Central University, Academia Sinica and Zhejiang University. [15] Fuh, C., Ho, K.W.R., Hu, I. and Wang, R., 2010, 'Option Pricing with Markov Switching,' working paper, National Central University, Academia Sinica, Hong Kong University of Science and Technology, and National Taiwan University. [16] Hamilton, J.D. (1989). 'A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle,' Econometrica, 57, 357-384. [17] Hardy, M.R., 2001, 'A Regime-Switching Model Of Long-TermStock Returns,' North American Actuarial Journal, 5, 41-53. [18] Harrison, J.M., and Pliska, S., 1981, 'Martingales and Stochastic Integrals in the Theory of Continuous Trading,' Stochastic Processes and Their Applications, 11, 215-260. [19] Jarrow, R.A., Lando, D., and Turnbull, S.M., 1997, 'A Markov Model for the Term Structure of Credit Risk Spreads,' The Review of Financial Studies, 10(2), 481-523. [20] Kijima, M., and Komoribayashi, K., 1998, 'A Markov Chain Model for Valuing Credit Risk Derivatives,' Journal of Derivatives, 6, 97-108. [21] Lando, D., 1998, 'On Cox Processes and Credit-Risky Securities,' Review of Derivatives Research, 2, 99-120. [22] 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. [23] Longsta , 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] Madan, D.B., and Unal, H., 1998, 'Pricing the Risk of Bankruptcy,' Review of Derivatives Research, 2, 121-160. [25] Merton, R.C., 1974, 'On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,' Journal of Finance, 2, 449-470. [26] Siegmund, D., 1985, 'Sequential Analysis,' Springer-Verlag, New York. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22695 | - |
dc.description.abstract | 信用評等之用意,乃在於透過授予不同評等,反映公司之間破產機率的差異;然而,相同評等的公司,在破產機率上仍有所不同。故本文提出一個新的混合式信用風險模型,藉由同時涵蓋公司信用評等與公司價值資訊,本模型可以同時捕捉不同評等之間,以及單一評等內的破產機率差異。此外,我們尚導出此模型下破產時間期望值與尾端機率的估計式,以作為模型配適與破產預測之用。最後,我們用實證資料解說我們的模型與市場債券殖利率結構配適良好,同時提出此模型在信用評等研究上的可能應用。 | zh_TW |
dc.description.abstract | Rating systems imply that firms with distinct ratings have different chances to bankruptcy, but firms within the same rating still defer in bankruptcy probabilities. In this paper, we propose a credit risk model in order to capture these inner- and inter-rating differences. A hybrid model is formulated to incorporate both credit rating and firm individual information in order to reflect these differences. Explicitly computable approximations for the expected bankruptcy time and the tail probabilities of the bankruptcy time are developed for model calibrations and bankruptcy predictions. We further demonstrate our model’s capability in fitting empirical bond-yield structure, and propose an application in rating system evaluation via this procedure. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T04:24:56Z (GMT). No. of bitstreams: 1 ntu-99-R97723024-1.pdf: 1151764 bytes, checksum: 01d8561dfc37494a7dc817f705b2b7ef (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 口試委員會審定書……………………………………………… i
謝辭……………………………………………………………… ii 中文摘要………………………………………………………… iii 英文摘要………………………………………………………… iv Section 1 Introduction……………………………………… 1 Section 2 The Model…………………………………………… 12 2.1 Model Formulation………………………………………… 12 2.2 Discussions…………………………………………… 16 Section 3. Approximations…………………………………… 19 3.1 Approximations for Expected Endogenous Bankruptcy Time …………………………… 25 3.2 Approximations for the Tail Probabilities of Endogenous Bankruptcy Time…………………………… 28 3.3 Approximations for Total Bankruptcy Time ……… 30 3.4 Example……………………………………………………… 32 Section 4. Bond Yields Fittings and Application……… 37 4.1 Empirical Data and Risk-Neutral Adjustment……… 37 4.2 Model Calibration and Bond Yields Fittings… 42 4.2.1 Fitting the Average-Yield Curves………… 42 4.2.2 Capturing the Bond-Yield Structure……… 45 4.3 Application: Rating Performance Evaluation……… 48 Section 5. Conclusion and Open Problems………………… 51 References……………………………………………………… 59 Appendix A. Proof of Theorem 1…………………………… 62 A.1 Representation of Tail Probabilities for the Overshoot …………………………………………… 62 A.2 Approximation of Moments for the Overshoot ……… 66 A.3 Estimation of the Overshoot Term in Theorem 1…… 69 Appendix B. Proofs of Equations (15) and (16)………… 71 B.1 Proof of (15) …………………………………………… 71 B.2 Proof of (16) …………………………………………… 73 圖目錄 1. Results for Average-Yield Curve Fittings…………… 44 2. Results for Bond-Yield Structure Capturing………… 47 表目錄 1. U.S. Yields to Maturity for Corporate Bonds………… 2 2. Parameters for Theoretical Example…………………… 33 3. Approximations for Theoretical Example……………… 36 4. Empirical Data for Bond Yields Fittings……………… 38 5. Results for Average-Yield Curve Fittings…………… 43 6. Results for Bond-Yield Structure Capturing………… 46 7. Rating Performances Evaluations………………………… 50 8. Comparisons of Invariant Distributions……………… 70 | |
dc.language.iso | en | |
dc.title | 運用公司信用評等之信用風險模型與破產預測 | zh_TW |
dc.title | Bankruptcy Prediction Based on First-Passage Models with Markovian Credit Migration | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 廖咸興(Hsien-Hsing Liao) | |
dc.contributor.oralexamcommittee | 張森林(San-Lin Chung),李賢源(Shyan-Yuan Lee),姚怡慶(Yi-Ching Yao) | |
dc.subject.keyword | 破產預測,信用風險,信用評等,混合式模型,債券殖利率,馬可夫隨機漫步,首度通過時間, | zh_TW |
dc.subject.keyword | Bankruptcy Prediction,Credit Risk,Credit Rating,Hybrid Model,Bond Yields,Markov Random Walks,First-Passage Time, | en |
dc.relation.page | 73 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2010-06-07 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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