請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/46681完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源 | |
| dc.contributor.author | Eugenia Yeh | en |
| dc.contributor.author | 葉玟君 | zh_TW |
| dc.date.accessioned | 2021-06-15T05:22:56Z | - |
| dc.date.available | 2015-07-27 | |
| dc.date.copyright | 2010-07-27 | |
| dc.date.issued | 2010 | |
| dc.date.submitted | 2010-07-18 | |
| dc.identifier.citation | 李桐豪(2001)，債券市場發展對貨幣政策之影響，中央銀行季刊，第二十三卷第一期，頁23-45.
蔡宛玲(2002)，如何提升公司債次級市場之效率，證券暨期貨管理，第二十一卷第八期，頁1-23. “公司債暨金融債券交易平台介紹”，櫃檯買賣中心交易平台上線月刊(2003). Black, F. and J. C. Cox (1976), “Valuing corporate securities：some effects of bond indenture provisions”, Journal of Finance 31, pages 351-367. Chance, D. M. (1990), “Default risk and the duration of zero-coupon bonds”, Journal of Finance 45, pages 265-274. Duffie, D. and K. Singleton (1999), “Modeling term structure of defaultable bonds,” Review of Financial Studies, 12, pages 687-720. Duffie, D. and N. Garleanu (2001), “Risk and valuation of collateralized debt obligations,” Finance Analysis Journal 57(1), pages 41-59. Fons, Jerome S. (1994), “Using default rates to model the term structure of credit risk”, Financial Analysts Journal 50, pages 25-32. Jarrow, R. and S. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk,” Journal of Finance 50 , pages 53- 85. Jarrow, R., D. Lando, and S. Turnbull (1997), “A Markov model for the term structure of credit spread,” Review of Financial Studies 10, pages 481- 523. J He, W Hu, L Lang (2000),” Credit spread curves and credit ratings”, Working paper, Chinese University of Hong Kong Jean H. and C.M. Turner (1999), “The Slope of the credit yield Curve for speculative-grade issuers”, Journal of Finance 54 , pages 1869-1884. Lando (1994), “On Cox processes and credit risky bonds”, Working paper 1994-9, Institute of Mathematical Statistics, University of Copenhagen. Longstaff, Francis A. and Eduardo S. Schwartz (1995), “A simple approach to valuing risky fixed and floating rate debt”, Journal of Finance 50, pages 789-819. Li, D.X. (1998), ”Constructing a credit curve”, Risk, November 1998 Li, D.X. (2000), “On default correlation: A copula function approach,” The RiskMetrics Group working paper number 99-07 Merton, R. (1974), “On the pricing of corporate debt: The risk structure of interest rates,” Journal of Finance 29, pages 449-470. Moody’s(2006),” Default and Recovery Rates of Corporate Bond Issuers, 1920-2005”, Moody’s Investor Service, February Sarig, Oded and Arthur Warga (1989), “Some empirical estimates of the risk structure of interest rates”, Journal of Finance 44, pages 1351-1360. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/46681 | - |
| dc.description.abstract | 早期台灣公司債分券問題嚴重，造成公司債價格代表性差，影響公司債市場發展，因此本文統計1991年至2009年公司債及金融債發行資料，發現2006年以後因證券商業同業公會公告自律規則，使得分券問題有效改善。此外，本文統計2006年至2009年間，公司債實際成交價格與由參考殖利率算出之報價間的差異，檢視台灣公司債市場交易價格合理性及券商提供的公司債參考利率準確性，結果顯示大部分交易日的實際交易價格均符合報價標準。最後，利用櫃檯買賣中心網站公布之公債零息殖利率曲線及公司債參考報價殖利率，推導出信用曲線，結果顯示由Cubic B-Spline模型求出的信用曲線，大多數均無法歸類為常見的四種圖形，而Svensson模型的信用曲線可歸類為U字型的比例較高，本文建立的模型能比較不同天期之信用曲線，並且可應用於評估個別債券之價值。 | zh_TW |
| dc.description.abstract | In early days, corporate bond tranche had been a serious problem in Taiwanese corporate bond markets because the transaction prices fail to reflect true values of the corporate bond. We analyzed the primary market of Taiwanese corporate bond from 1991 to 2009 and found that the tranche problem has been improved since the announcement of the bond tranches regulation in 2006. Furthermore, we calculated the differences between the quote prices and the transaction prices from 2006 to 2009 and studied the reasonableness of Taiwanese corporate bond prices. The results indicated that during most transaction days, the differences between the quote and transaction prices were insignificant. Finally, we constructed a model to establish credit curves using the Taiwanese treasury bond and corporate bond yield curves and compared the credit curves of multiple dates. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T05:22:56Z (GMT). No. of bitstreams: 1 ntu-99-R97723023-1.pdf: 1913307 bytes, checksum: 3ac8eeda9095a7fb1ae675451eab5cc1 (MD5) Previous issue date: 2010 | en |
| dc.description.tableofcontents | 誌謝 i
中文摘要 ii Abstract iii 第一章 前言 1 第二章 文獻回顧 3 第三章 研究方法 5 3.1 分券判斷標準 5 3.2 公債即期與遠期利率估算方法 5 3.3 公司債即期與遠期利率估算方法 10 3.4 公司債評價方法 12 3.5 信用曲線推導方法 13 第四章 實證結果 15 4.1 台灣公司債分券狀況之研究 15 4.1.1 台灣公司債分券資料統計結果 16 4.2 評價台灣公司債 18 4.2.1 公司債實際交易價格與報價差異統計結果 20 4.3信用曲線推導 29 第五章 結論 34 參考文獻 35 附錄 37 | |
| dc.language.iso | zh-TW | |
| dc.title | 台灣公司債市場分券發行、交易價格合理性、以及信用曲線建立之研究 | zh_TW |
| dc.title | A Research on Taiwanese Corporate Bond Tranches, Reasonableness of Transaction Price, And Credit Curve Construction | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 98-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳樹,廖四郎 | |
| dc.subject.keyword | 分券,公債零息殖利率曲線,公司債參考報價殖利率,信用曲線, | zh_TW |
| dc.subject.keyword | corporate bond tranche,treasury bond yield curves,credit curves, | en |
| dc.relation.page | 40 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2010-07-19 | |
| 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 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-99-1.pdf 目前未授權公開取用 | 1.87 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。