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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Yi-Chen Lee | en |
| dc.contributor.author | 李宜臻 | zh_TW |
| dc.date.accessioned | 2021-06-15T12:55:40Z | - |
| dc.date.available | 2018-07-26 | |
| dc.date.copyright | 2016-07-26 | |
| dc.date.issued | 2016 | |
| dc.date.submitted | 2016-07-15 | |
| dc.identifier.citation | [1] A Guide to Credit Events and Auctions, Credit Suisse, 2011.
[2] Allison P D. Fixed effects regression methods for longitudinal data using SAS[M]. SAS Institute, 2005. [3] Ashcraft A B, Santos J A C. Has the CDS market lowered the cost of corporate debt?[J]. Journal of Monetary Economics, 2009, 56(4): 514-523. [4] Aspeli N H G, Iden K R. The empty creditor hypothesis: an empirical study of the effects of credit insurance on the choice between bankruptcy and private restructuring[J]. 2010. [5] Augustin P, Subrahmanyam M G, Tang D Y, et al. Credit Default Swaps–A Survey[J]. Foundations and Trends® in Finance, 2014, 9(1-2): 1-196. [6] Bedendo M, Cathcart L, EL‐JAHEL L. Distressed debt restructuring in the presence of credit default swaps[J]. Journal of Money, Credit and Banking, 2016, 48(1): 165-201. [7] Bolton P, Oehmke M. Credit default swaps and the empty creditor problem[J]. Review of Financial Studies, 2011, 24(8): 2617-2655. [8] Campello, M., and R. A. Matta. Credit default swaps, firm financing and the economy. Working Paper, Cornell University and University of Illinois. 2012. [9] Che Y K, Sethi R. Credit market speculation and the cost of capital[J]. American Economic Journal: Microeconomics, 2014, 6(4): 1-34. [10] Cox D R. Regression Models and Life-Tables[J]. Journal of the Royal Statistical Society. Series B (Methodological), 1972, 34(2): 187-220. [11] Danis A, Gamba A. The real effects of credit default swaps[J]. working paper, 2014. [12] Danis A. Do empty creditors matter? Evidence from distressed exchange offers. Working Paper, Georgia Institute of Technology. 2013. [13] Gi H. Kim. Credit Derivatives as a Commitment Device Evidence from the Cost of Corporate Debt. Working Paper. Warwick Business School. 2015. [14] Hemel D J. Comment: Empty Creditors and Debt Exchanges[J]. Yale Journal on Regulation, 2010, 27(1). [15] Hirtle B. Credit derivatives and bank credit supply[J]. Journal of Financial Intermediation, 2009, 18(2): 125-150. [16] Hu H. T. C, Black B. Debt, equity and hybrid decoupling: Governance and systemic risk implications[J]. European Financial Management, 2008, 14(4): 663-709. [17] Li J Y, Tang D Y. The leverage externalities of credit default swaps[J]. Journal of Financial Economics, 2016, 120(3): 491-513. [18] Mengle D. The Empty Creditor Hypothesis[J]. ISDA Research Notes, November, 2009. [19] Narayanan R P, Uzmanoglu C. Empty creditors and distressed debt restructuring[C]. Midwest Finance Association 2013 Annual Meeting Paper. 2012. [20] Peristiani S, Savino V. Are credit default swaps associated with higher corporate defaults?[J]. FRB of New York Staff Report, 2011 (494). [21] Saretto A, Tookes H E. Corporate leverage, debt maturity, and credit supply: The role of credit default swaps[J]. Review of Financial Studies, 2013, 26(5): 1190-1247. [22] Shim I, Zhu H. The impact of CDS trading on the bond market: Evidence from Asia[J]. Journal of Banking & Finance, 2014, 40: 460-475. [23] Shumway, T. Forecasting bankruptcy more accurately: A simple hazard model[J]. Journal of Business,2001, 74:101–124 [24] Stata 14 guide: 411-441 [25] Subrahmanyam, M. G., Tang, D. Y., & Wang, S. Q. Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk. Review Of Financial Studies, 2012, 27(10), 2926-2960. [26] Thompson,J. Counterparty risk in financial contracts: Should the insured worry about the insurer? Quarterly Journal of Economics 2010. 125:1195–252. [27] 何殷如. 全面解讀信用違約交換（CDS）證券暨期貨月刊[J]. 2012 [28] 沈大白, 淩志銘. 信用違約交換評價之實證研究 TCRI 信用評等資訊之應 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50741 | - |
| dc.description.abstract | 近年來信用違約交換(Credit Default Swap, CDS)對債權人與債務人關係的影響受到學術界的關注，CDS能夠限制公司策略性違約的動機，從而改善公司融資條件，但也會通過轉移信用風險使債權人的控制權與現金流量權分離，從而對公司產生負面影響，產生“空頭債權人”。
本文分析並總結了CDS的發展歷史與市場特徵，回顧了策略性違約與空頭債權人的相關文獻；本文使用Cox比例風險模型，對2004年-2015年北美CDS標的公司的資料進行實證研究，發現CDS交易能夠顯著增加公司破產機率，在金融危機期間，CDS交易能夠顯著增加公司信用評級調降的機率。 | zh_TW |
| dc.description.abstract | In recent years, the influence of Credit Default Swaps(CDS) on the relationship between creditors and debtors has drawn attention in the academic circle. CDS can benefit a company by limiting its motivation to play strategic default as well as bring in negative impacts by separating creditors’ control rights from cash flow rights, which is called the empty creditor problem.
In this paper, I analyze and summarize the history and characteristics of the CDS market, and review literature related to strategic default and empty creditor. I estimate a cox proportional hazards model using data of north American CDS companies from 2004 to 2015. The results show that, on a significant level, companies with trading CDS are more likely to go bankrupt during the sample period and be downgraded during the financial tsunami. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T12:55:40Z (GMT). No. of bitstreams: 1 ntu-105-R03723067-1.pdf: 985919 bytes, checksum: 8ed5c346a65c6324b5de13eaf55271e4 (MD5) Previous issue date: 2016 | en |
| dc.description.tableofcontents | 口試委員會審定書………………………………………………………………………………i
誌謝……………………………………………………………………………………………………ii 中文摘要……………………………………………………………………………………………iii 英文摘要……………………………………………………………………………………………iv 目錄……………………………………………………………………………………………………v 圖目錄………………………………………………………………………………………………vii 表目錄………………………………………………………………………………………………ix 第一章 緒論 1 第一節 研究背景 1 第二節 研究動機與目的 2 第三節 研究架構 3 第二章 商品概述 5 第一節 固定收益證券衍生品市場 5 第二節 信用違約交換 10 第三節 信用事件 11 第四節 CDS的發展 12 第五節 信用違約交換市場 16 第三章 文獻回顧 24 第一節 策略性違約與空頭債權人 24 （一）既存文獻概覽 24 （二）理論模型 26 （三）實證研究 34 第二節 企業破產研究 36 第四章 研究方法 38 第一節 實證模型 38 第二節 資料來源 39 第三節 樣本說明 40 第五章 實證研究 42 第一節 研究假說 42 第二節 描述性統計 42 第三節 回歸結果 45 第六章 結論 50 參考文獻 51 | |
| dc.language.iso | zh-TW | |
| dc.subject | 策略性違約 | zh_TW |
| dc.subject | 信用違約交換 | zh_TW |
| dc.subject | 空頭債權人 | zh_TW |
| dc.subject | Cox比例風險模型 | zh_TW |
| dc.subject | 信用違約交換 | zh_TW |
| dc.subject | 策略性違約 | zh_TW |
| dc.subject | 空頭債權人 | zh_TW |
| dc.subject | Cox比例風險模型 | zh_TW |
| dc.subject | Strategic Default | en |
| dc.subject | Credit Default Swap | en |
| dc.subject | Strategic Default | en |
| dc.subject | Empty Creditor | en |
| dc.subject | Cox Proportional Hazards Model | en |
| dc.subject | Credit Default Swap | en |
| dc.subject | Empty Creditor | en |
| dc.subject | Cox Proportional Hazards Model | en |
| dc.title | 信用違約交換對公司信用評級與破產機率影響之研究 | zh_TW |
| dc.title | The Influence of Credit Default Swap on Bankruptcy and Downgrading | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 104-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳彥行(Yan-Shing Chin),謝承熹(Cheng-Hsi Hsieh) | |
| dc.subject.keyword | 信用違約交換,策略性違約,空頭債權人,Cox比例風險模型, | zh_TW |
| dc.subject.keyword | Credit Default Swap,Strategic Default,Empty Creditor,Cox Proportional Hazards Model, | en |
| dc.relation.page | 52 | |
| dc.identifier.doi | 10.6342/NTU201600938 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2016-07-15 | |
| 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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