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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 林筠,陳勝源 | |
| dc.contributor.author | Tsan-Chang Chu | en |
| dc.contributor.author | 朱燦漳 | zh_TW |
| dc.date.accessioned | 2021-06-13T05:45:45Z | - |
| dc.date.available | 2006-07-26 | |
| dc.date.copyright | 2006-07-26 | |
| dc.date.issued | 2006 | |
| dc.date.submitted | 2006-07-12 | |
| dc.identifier.citation | Altman, Edward I., 1968, “Financial ratios, discriminant analysis and the prediction of corporate bankruptcy,” Journal of Finance 23, 589–609.
Altman, Edward I., 1989, “Measuring corporate bond mortality and performance,” Journal of Finance, Vol. 44, 909–922. Begley, J., J. Ming, and S. Watts, 1996, “Bankruptcy classification errors in the 1980’s: An empirical analysis of Altman’s and Ohlson’s models,” Review of Accounting Studies 1, 267–284. Black, F and M. Scholes, 1973, “On the pricing of options and corporate liabilities,” Journal of Political Economy, Vol. 81, 637–654. Briys, E. and F. de Varenne, 1997, “Valuing risky fixed rate debt: and extension,” Journal of Financial and Quantitative Analysis, Vol. 32, 239–48. Brockman, Paul and H. J. Turtle, 2003, “A barrier option framework for corporate security valuation,” Journal of Financial Economics, pp 511–529. Campbell, John Y., and Martin Lettau, Burton G. Malkiel, and Yexiao Xu, 2001, “Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk,” Journal of Finance 1–43. Campbell, Jhon Y., and Glen B. Taksler, 2003, “Equity volatility and bond yields,” Journal of Finance 58, 2321–2350. Dichev, Ilia D. 1998, “Is the risk of bankrupt a systematic risk?” Journal of Finance 53, 1131–1147. Dichev, Ilia D., and Joseph D. Piotroski, 2001, “The long-run stock returns following bond ratings changes,” Journal of Finance 56,173–204. Duan, J.C., 1994, “Maximum likelihood estimation using price data of the derivative contract,” Mathematical Finance 4, 155–167. Duffie, Darrell and Kenneth J. Singleton, 1999, “Modeling term structures of defaultable bonds,” Review of Financial Studies, Vol. 12, 687–720. Elton Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann, 2001, “Explaining the rate spread on corporate bonds,” Journal of Finance 247–277. Fama, Eugene F., and Kenneth R. French, 1993, “Common risk factors in the returns on stocks and bonds,” Journal of Financial Economics 33, 3–56. Fons, Jerome S., 1987, “The default premium and corporate bond experience,” Journal of Finance, Vol. 42, 81–97. Griffin, John M., and Michael L. Lemmon, 2002, Book-to-market equity, distress risk, and stock returns, Journal of Finance 57, 2317–2336. Hand, John R., Robert W. Holthausen, and Richard W. Leftwich, 1992, “The effect of bond rating agency announcements on bond and stock prices,” Journal of Finance, Vol. 47, 733–752. Hartzell, J., M. Peck, and E. Altman, 1995, “Emerging markets corporate bonds-a scoring system,” Salomon Brothers, Inc., New York, NY. Hillegeist, S. A., E. K. Keating, D. P. Cram, and K. G. Lundatedt, 2004, “Assessing the probability of bankruptcy,” Review of Accounting Studies, Vol. 9, 5–34. Jorion, P. 2003, Handbook of Financial Risk Manager, Wiley. Kealhofer, Stephen, Sherry Kwok, and Wenlong Weng, 1998, Uses and abuses of bond default rates, KMV Corporation. Leland, H. E. 2002, “Predictions of expected default frequencies in structural models of debt,” Haas School of Business, mimeo. Margrabe, W., 1978, “The value of an option to exchange one asset for another,” Journal of Finance 33, 177-186. Merton, Robert C., 1973, “Theory of rational option pricing,” Bell Journal of Economics and Management Science, 4, 131–183. Merton, Robert C., 1974, “On the pricing of corporate debt: the risk structure of interest rates,” Journal of Finance 29, 449–470. Ohlson, James A., 1980, “Financial ratios and the probabilistic prediction of bankruptcy,” Journal of Accounting Research 18, 109–131. Palepu, K. 1986, “Predicting takeover targets: A methodological and empirical analysis,” Journal of Accounting and Economics 8, 3–35. Rodriguez, Ricardo J., 1988, “Default Risk, yield spreads, and time to maturity,” Journal of Financial and Quantitative Analysis, Vol. 23, 111–117. Rubinstein, M. and E. Reiner, 1991a, “Breaking down the barriers,” Risk Magazine, Vol. 4, 28–35. Rubinstein, M. and E. Reiner, 1991b, “Unscrambling the binary code,” Risk Magazine, Vol. 4, 75–83. Saretto, Alessio A., 2004, “Predicting and pricing the probability of default,” working paper. Shumway, Tyler, 2001, “Forecasting bankruptcy more accurately: A simple hazard rate model,” Journal of Business 74, 101–124. Tudela M. and G. Young, 2004, “A Merton-model approach to assessing the default risk of UK public companies,” working paper. Vassalou M. and Y. Xing, 2004, “Default risk in equity returns,” Journal of Finance, Vol. LIX, 831–868. Zmijeski, Mark E., 1984, “Methodological issues related to the estimation of financial distress prediction models,” Journal of Accounting Research 22, 59–82. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/33764 | - |
| dc.description.abstract | 本論文為首篇同時鬆綁Merton (1974)提出的以買權評價信用風險模型中之兩個假設：倒帳只在負債到期發生以及負債金額為固定，推導出隨機履約價格之向下觸及失效買權模式之違約機率。由於在實務上，公司的破產過程應該是路徑相依而不是只在負債到期日才發生，另一方面，公司的負債金額應隨著時間而變動而不應視為固定，因此本論文提供一個更實際且一般化的公司違約機率估計模型。
本論文亦探討模型中之各變數對公司破產機率的影響，並使用COMPUSTAT以及CRSP之資料作美國公司之破產機率實證研究。實證結果顯示本模型所推導之破產機率於公司發生財務危機前六季開始，有逐漸上升的趨勢。 | zh_TW |
| dc.description.abstract | This is the first study on proposing a framework for corporate credit risk based on stochastic and path-dependent barrier options. The main contribution of this study is deducing a more realistic estimate for corporate default probability by releasing two assumptions made by the standard call option model. Two important factors ignored by the standard call option model are the possibility of default before debt maturity and the stochastic process of debt. Actually, a firm may go bankruptcy at any point in time before debt matures, and its debt value should follow a stochastic process such as the Geometric Brownian motion. If assets value falls below debt value at any time before maturity, corporate equity should be knocked out by bankruptcy.
The sensitivity analysis presents rational results about how variables affect default probabilities. In addition to the sensitivity analysis, we use empirical data from the COMPUSTAT and CRSP databases to compute the default probabilities of inactive firms, and our model provides a more realistic alternative for estimating a firm’s risk of default. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T05:45:45Z (GMT). No. of bitstreams: 1 ntu-95-R93723065-1.pdf: 439900 bytes, checksum: 71506a8ab559e23037ba2c9a62a931a2 (MD5) Previous issue date: 2006 | en |
| dc.description.tableofcontents | Chapter 1 Introduction...............................1
Chapter 2 Literature Review..........................6 2.1 Accounting Models............................6 2.2 Bond Market Information Models...............8 2.3 Option Pricing Theory Models.................9 Chapter 3 Extensions of Merton’s Model.............11 3.1 Releasing Two Assumptions....................11 3.2 Standard Call Option Model (SC Model)........13 3.3 Down-and-out Call Option Model (DO Model)....15 3.4 Standard Call Option with Stochastic Debt Model (SCSD Model).....................17 3.5 Down-and-out Call Option with Stochastic Debt Model (DOSD Model )...............18 Chapter 4 Sensitivity Analysis.....21 4.1 Effect of Leverage Ratio........22 4.2 Effect of Assets Volatility.....23 4.3 Effect of Debt Volatility.......25 4.4 Effect of Correlation Coefficient........27 4.5 Effect of Time to Maturity...........28 Chapter 5 Empirical Results...................30 5.1 Data Description.....................30 5.2 Results...............................32 Chapter 6 Conclusions...................34 References..............................35 Appendix A..............................38 Appendix B..............................44 Appendix C..............................49 | |
| dc.language.iso | en | |
| dc.subject | 破產機率 | zh_TW |
| dc.subject | 隨機負債 | zh_TW |
| dc.subject | 倒帳機率 | zh_TW |
| dc.subject | 向下觸及失效買權 | zh_TW |
| dc.subject | 信用風險 | zh_TW |
| dc.subject | 障礙選擇權 | zh_TW |
| dc.subject | Down-and-out Call Options | en |
| dc.subject | Default Probability | en |
| dc.subject | Credit Risk | en |
| dc.subject | Stochastic Debt | en |
| dc.subject | Barrier Options | en |
| dc.title | 一般化信用風險模式之研究---隨機負債下選擇權架構之應用 | zh_TW |
| dc.title | A Study on Generalized Credit Risk Model---A Framework of Option Pricing Model with Stochastic Debt | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 94-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 周麗娟 | |
| dc.subject.keyword | 隨機負債,向下觸及失效買權,障礙選擇權,信用風險,破產機率,倒帳機率, | zh_TW |
| dc.subject.keyword | Stochastic Debt,Down-and-out Call Options,Barrier Options,Credit Risk,Default Probability, | en |
| dc.relation.page | 53 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2006-07-14 | |
| 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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