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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 王之彥(Jr-Yan Wang) | |
dc.contributor.author | Yi-Chen Lin | en |
dc.contributor.author | 林易辰 | zh_TW |
dc.date.accessioned | 2021-05-15T17:54:51Z | - |
dc.date.available | 2015-07-31 | |
dc.date.available | 2021-05-15T17:54:51Z | - |
dc.date.copyright | 2014-07-31 | |
dc.date.issued | 2014 | |
dc.date.submitted | 2014-07-22 | |
dc.identifier.citation | Amin, K. I. (1993). “Jump Diffusion Option Valuation in Discrete Time,” Journal of Finance, Vol. 48, No.5, pp.1833–1863.
Black, F. and J. C. Cox (1976). “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, Vol. 31, No. 2, pp. 351–367. Black, F. and M. Scholes (1973). “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, No. 3, pp. 637–659. Chang, Y. L. (2012). “A pricing Model for Defaultable Securities with the Jump-Diffusion Leverage Ratio Process and Hull-White Interest Rate Model,” Master’s thesis, Graduate Institute of International Business, National Taiwan University Collin-Dufresne, P. and R. S. Goldstein (2001). “Do Credit Spreads Reflect Stationary Leverage Ratios,” Journal of Finance, Vol. 56, No. 5, pp. 1929–1957. Dai, T. S. (2009). “Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair Tree,' Quantitative Finance, Vol. 9, No. 7, pp. 827–838. Duffie, D. and K. J. Singleton (1999). “Modeling Term Structures of Defaultable Bonds,” Review of Financial Studies, Vol. 12, No.4, pp. 687–720. Eom, Y. H., J. Helwege, and J. Z. Huang (2004). “Structure Models of Corporate Bond Pricing: An Empirical Analysis,” The Review of Financial Studies, Vol. 17, No.2, pp. 499–544. Geske, R. (1977). “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, pp. 541–552. Holborow D. (2008). “The Effectiveness of Structural Bond Pricing with Maximum Likelihood Estimation of Asset Dynamics Parameters,” Master’s thesis, Faculty of Engineering, Physical Sciences and Architecture, University of Queensland Hull, J. “Options, Futures, and Other Derivatives,” Pearson Education, 8th edition, 2012. Hull, J., M. Predescu, and A. White (2006). “The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model,” Journal of Credit Risk, Vol. 6, No. 3, pp. 99-132. Hull, J. and A. White (1994). “Numerical Procedures for Implementing Term Structure Model I: Single Factor Models,” Journal of Derivatives, Vol. 2, No. 1, pp. 7–16. Leland, H. E. and K. B. Toft (1996). “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” The Journal of Finance, Vol. 51, No. 3, pp. 987–1019. Longstaff, F. A. and E. S. Schwartz (1995). “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,” Journal of Finance, Vol. 50, No. 3, pp. 789–819. Lyden, S. and D. Saraniti (2000). “An Empirical Examination of the Classical Theory of Corporate Security Valuation,” Barclays Global Investors, San Francisco, CA. Merton, R. C. (1974). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, Vol. 29, No. 2, pp. 449–470. Moody’s Global Credit Policy (2009). “Corporate Default and Recovery Rates, 1920-2008,” Moody’s Numerical Recipes in C: The Art of Scientific Computing, by William H. Press, Saul A. Teukolsky, William T. Vetterling, and Brian P. Flannery, 1992. Vasicek, O. (1977). “An equilibrium characterization of the term structure,” Journal of Financial Economics, Vol. 5, No. 2, pp. 177–188. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/5274 | - |
dc.description.abstract | Chang (2012) 指出,在Collin-Dufresne and Goldstein (2001) 公司債定價模型的基礎上,再加入Amin (1993) 之跳躍擴散樹狀模型之後,可解決現有結構式模型容易低估信用價差 (Credit Spread) 的先天缺陷,同時在採用回溯推算過程之下,此模型甚至可計算如可贖回債券 (callable bond)、信用違約交換 (Credit Default Swap) 等其他金融商品。而本研究針對其模型計算公司債之部分,與另外五個具代表性之結構式定價模型進行實證分析與比較,其包含:Merton (1974)、Geske (1977)、Longstaff and Schwartz (1995)、Leland and Toft (1996)、以及Collin-Dufresne and Goldstein (2001)。
資料方面,本研究選出數張符合模型設定標準,於2002至2007年於美國發行之純含息債券作為實證樣本,並與評價日之市價隱含信用價差進行比較。 全文內容主要以跳躍擴散樹狀模型及其他結構式模型之建構為主,其中包含前人文獻之細節回顧與模型參數之估計方式等。次之,則以實證資料之計算結果作為搭配,以驗證此跳躍擴散樹狀模型對於過去結構式模型缺陷之改良程度。 | zh_TW |
dc.description.abstract | This thesis conducts an empirical analysis for corporate bond prices and their credit spreads with several classical structural models. Following Eom, Helwege, and Huang (2004), I examine the models of Merton (1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin-Dufresne and Goldstein (2001). Moreover, according to Chang (2012), the underestimation of the credit spread based on Collin-Dufresne and Goldstein’s (2001) stationary leverage structural model can be resolved by incorporating the jump process into their stationary leverage stochastic process. Therefore, this thesis also examines this new structural model based on the stationary leverage ratio with jumps. Following the criteria proposed in Eom, Helwege, and Huang (2004) to screen corporate bonds, I obtain several corporate bonds issued between 2002 and 2007 in the U.S. as the study sample to investigate the performance of the above-mentioned six structural models for evaluating the bond prices and their credit spreads. | en |
dc.description.provenance | Made available in DSpace on 2021-05-15T17:54:51Z (GMT). No. of bitstreams: 1 ntu-103-R01724081-1.pdf: 3790851 bytes, checksum: 26c806cea97c59c978f10d11ce3b88b5 (MD5) Previous issue date: 2014 | en |
dc.description.tableofcontents | 誌 謝 i
摘 要 ii Abstract iii 目 錄 iv 圖目錄 vi 表目錄 vii 第一章 緒論 1 第一節 研究背景 1 第二節 研究架構 2 第三節 全文架構 3 第二章 文獻回顧 4 第一節 Merton (1974) M模型 5 第二節 Geske (1977) G模型 6 第三節 Longstaff and Schwartz (1995) LS模型 8 第四節 Leland and Toft (1996) LT模型 10 第五節 Collin-Dufresne and Goldstein (2001) CDG模型 12 第六節 Chang (2012) CDGtree模型 15 第七節 CDGtree模型與CDG模型之數據模擬與比較 23 第三章 參數估計與實證結果 30 第一節 資料選取及數據來源 30 第二節 模型參數估計 31 第三節 實證結果 44 第四章 結論 54 References 56 Appendix A 58 Vasicek (1977) V模型 58 Hull and White (1994) HW模型 59 Appendix B 61 | |
dc.language.iso | zh-TW | |
dc.title | 公司債結構式模型實證 | zh_TW |
dc.title | An Empirical Analysis of Structural Models for Corporate Bond Pricing | en |
dc.type | Thesis | |
dc.date.schoolyear | 102-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 郭家豪(Jia-Hau Kuo),張龍福(Lung-Fu Chang) | |
dc.subject.keyword | 結構式模型,對數槓桿比,隨機利率,跳躍擴散,回溯推算過程,實證分析, | zh_TW |
dc.subject.keyword | Structural Model,Leverage Ratio,Stochastic Interest Rate,Jump Diffusion,Lattice Model,Corporate Bond Price,Credit Spread, | en |
dc.relation.page | 61 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2014-07-22 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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