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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 林煜宗,廖咸興 | |
dc.contributor.author | Hui-Lin Cheng | en |
dc.contributor.author | 鄭慧琳 | zh_TW |
dc.date.accessioned | 2021-06-08T05:14:27Z | - |
dc.date.copyright | 2006-07-05 | |
dc.date.issued | 2006 | |
dc.date.submitted | 2006-07-03 | |
dc.identifier.citation | Collin-Dufresne, P., and R. Goldstein, 2001,“Do Credit Spreads Reflect
Stationary Leverage Ratios?” Journal of Finance, 56, 1929-1957 Eom, Y. H., J. Helwege, and J.-Z. Huang, 2004, “Structural Models of Corporate Bond Pricing: An Empirical Analysis,” The Review of Financial Studies, Vol.17, No.2, 499-544 Jones, E. P., S. Mason, and E. Rosenfeld, 1984, “Contingent claims Analysis of Corporate Capital Structure: An Empirical Investigation,” Journal of Finance, 39, 611-625 Leland, H., 1994, “Corporate Debt Value, Bond Covenants, and Optimal Capital Structre,” Journal of Finance, 49, 1213-1252 Leland, H., and K. Toft, 1996,”Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit of Credit Spreads,” Journal of Finance, 51, 987-1019. Longstaff,F., and E. Schwartz, 1995, “Valuing Risky Debt: A New Approach,” Journal of Finance, 50, 789-820 Merton, R., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest,” Journal of Finance,29,449-470 Ogden, J., 1987, “Determinants of the Ratings and Yields on Corporate Bonds: Tests of the Contingent Claims Model,” The Journal of Financial Research, 10,329-339 Ross, S. A., R. W. Westerfield, and J. Jaffe, “Corporate Finance”, 1999, Fifth version Vasicek, O., 1977, “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, 5,177-188 Wei, D. and D. Guo, 1997, “Pricing Risky Debt: An Empirical Comparison of the Longstaff and Schwartz and Merton Models, “Journal of Fixed Income, 7, 8-28 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/24030 | - |
dc.description.abstract | 在信用風險領域裡,學者試圖找出更多可以改善結構型信用模型績效的因子。因此,有別於其他的結構型模型實證文獻,本文的重點在於探討公司內部流動性對於結構型模型在債券價格評價誤差上的影響。由實證結果發現,內部流動性的確對於部分結構性模型的評價績效有益。 | zh_TW |
dc.description.abstract | Researchers have been trying to introduce more relevant credit risk elements to improve the performance of structural models. Distinguished from other literature, we focus on the explaining power of a firm’s internal liquidity on the prediction errors of structural models. Our results show that the cash flow volatility do have a significant explaining power for the prediction errors of some structure credit models. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T05:14:27Z (GMT). No. of bitstreams: 1 ntu-95-R93723020-1.pdf: 394829 bytes, checksum: 1fbe6644c8d2440b59b8812d55891273 (MD5) Previous issue date: 2006 | en |
dc.description.tableofcontents | 口試委員審定書 i
誌謝 ii 摘要 iii Abstract iv Content v I. Introduction 1 II. Data 3 III. Literature Review 4 A.EHH Review 4 B. Literature Review on Models 6 B.1. Merton Review 6 B.2. LT Review 8 B.3. LS Review 12 B.4.CDG Review 14 IV. Model Formulas and Parameter Estimation 16 A. the Extended Merton 17 A.1. Formulas 17 A.2.Parameter Estimation 18 B. the LT model 19 B.1.Formulas 19 B.2.Parameter Estimation 20 C .the CDG and LS models 20 C.1.Formulas 20 C.2. Parameter Estimation 22 D. Interest Rate Parameters 24 V. Empirical Results 26 A. the Extended Merton Model 26 B .the LT Model 29 C. the LS and CDG Models 31 VI. Regression Analysis 35 VII. Conclusion 40 VIII. Suggestion 41 Reference 42 Appendix 44 A. Determination of Default Probability Q in LS 44 B. Determination of Default Probability Q in CDG 46 C. Implementation for LS 48 D. Implementation for CDG 49 | |
dc.language.iso | en | |
dc.title | 內部流動性對結構型模型績效之影響 | zh_TW |
dc.title | The effect of internal liquidity on performance of structural models | en |
dc.type | Thesis | |
dc.date.schoolyear | 94-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 李阿乙,張焯然 | |
dc.subject.keyword | 信用風險,結構型模型, | zh_TW |
dc.subject.keyword | credit risk,structural models, | en |
dc.relation.page | 50 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2006-07-04 | |
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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