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標題: | 面對破產法保護下的公司債評價 Pricing Defaultable Bonds under the Protection of Bankruptcy Law |
作者: | Fang-Hua Song 宋芳華 |
指導教授: | 巫和懋 |
關鍵字: | 破產法,破產重整,違約回收率, Bankruptcy Law,CH 11 Reorganization,Recovery Rate, |
出版年 : | 2006 |
學位: | 碩士 |
摘要: | 2005年10月17日起,美國將實施新破產保護法,新法與舊法最大的不同,就是設定破產保護時限為18個月,公司只能進入一次破產法保護,不再像以前一樣允許公司多次進出破產法保護。所以,在評價公司債時,必須考慮加入美國破產法保護的影響。本文以Longstaff and Schwartz (1995)為基本架構評價風險性債券,本研究將違約回收率分為重整成功回收率和重整失敗回收率兩部份,使得模型包括美國破產法的保護期影響。
本文提出已知發生違約債券的評價模型,同時提出未來有可能發生違約債券的評價模型,使得評價公司債在本模型下更加完整。 在已知發生違約債券的評價模型下發現,可以由不同的重整失敗回收率和重整成功回收率組成相同的債券違約回收率,因為重整成功回收率是債券投資人和債權人經由談判協調擬定出來的,所以債券投資人可以依據自己可以承擔的風險,在相同的債券回收率下,對重整成功回收率做選擇。 在未來有可能發生違約債券的評價模型下,本研究放寬使債券投資人在債券發生違約後的1.5年即可收回部份本金。發現距離到期日較近的債券投資人來說,因為拿回部份本金的時間點延後了,所以距離到期日短的債券價格會較LS模型為低。距離到期日較長的債券投資人來說,因為拿回部份本金的時間點提前了,所以距離到期日長的債券價格會較LS模型為高。 本文忽略考慮擬定重整成功回收率的複雜過程 (bargaining process) ,相信加入此複雜過程決策會讓模型架建更健全。 From October 17, 2005, U.S.A. put new bankruptcy law into practice. The largest difference between new bankruptcy law and old bankruptcy law is limiting automatic-stay to 18 months. When we price defaultable bonds, we must think of the protection of new bankruptcy law. Longstaff and Schwartz (1995) is the fundamental framework employed in this article to consider the bond pricing problem incorporating default. Taking the protection of bankruptcy law into consideration, we divide recovery rate into recovery rate of successful reorganization and recovery rate of un-successful reorganization. We find out the pricing model of known defaultable bonds. Therefore, we add the protection of bankruptcy law adjustments into the pricing model of corporate bonds. In the pricing model of known defaultable bonds, we can find different recovery rate of successful reorganization and recovery rate of un-successful reorganization could form the same recovery rate. Because recovery rate of successful reorganization is drawn up by negotiation between bond holder and creditor, we find that bond holder can choose appropriate recovery rate of successful reorganization in accordance with his risk preference. We also loosen the restriction of receiving fractional principal at maturity. We assume bond holder can receive fractional principal at 1.5 years after the event of a default. We find that bond price of short maturity in our model is lower than in LS model and bond price of long maturity in our model is higher than in LS model. We have not tried to model the complex bargaining process among automatic-stay period. In the end, we can incorporate bargaining process to let the model more complete. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/33560 |
全文授權: | 有償授權 |
顯示於系所單位: | 國際企業學系 |
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