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???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
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dc.contributor.advisor | 洪茂蔚 | |
dc.contributor.author | Shian-Chang Huang | en |
dc.contributor.author | 黃憲彰 | zh_TW |
dc.date.accessioned | 2021-06-13T16:57:26Z | - |
dc.date.available | 2008-05-20 | |
dc.date.copyright | 2005-05-20 | |
dc.date.issued | 2005 | |
dc.date.submitted | 2005-05-14 | |
dc.identifier.citation | Arnott, R. D., and C. S. Asness, 2003, Does Dividend Policy Foretell Earn-
ings Growth ? Financial Analysts Journal, forthcoming. Avramov, D., Gergana J., and Alexander P., 2004, Credit Risk Changes: Common Factors and Firm-Level Fundamentals, working paper. Bakshi, G. S., D. Madan, and F. Zhang, 2003, Investigating the Role of Systematic and Firm-Speci‾c Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models, working paper. Bielecki, T. R. and M. Rutkowski, 2002, Credit Risk: Modeling, Valuation and Hedging, Springer-Verlag, Berlin. Baudoin, F., 2002, Conditioned stochastic differential equations: Theory and applications, Stochastic Processes and their Applications, 100, 109- 145. Chakravarty, S., and A. Sarkar, 1999, Liquidity in U.S. ‾xed income mar- kets: A comparison of the bid-ask spread in corporate, government and municipal bond markets, Working paper, Federal Reserve Bank of New York. Collin-Dufresne, P., R. S. Goldstein, 2001, Do credit spreads re°ect station- ary leverage ratios?, Journal of Finance, 56, 1929-1957. Collin-Dufresne, P., R. S. Goldstein, and J. Helwege, 2003, Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs, Working paper. Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin, 2001, The determi- nants of credit spread changes, Journal of Finance, 56, 2177-2208. Corcuera, J. M., P. Imkeller, A. Kohatsu-Higa and D. Nualart, 2002, Addi- tional utility of insiders with imperfect dynamical information, Finance and Stochastics, 8, 437-450 2004. Delianedis, G., and R. Geske, 2001, The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Fac- tors, Working paper, UCLA. Duffee, G. R., 1999, Estimating the Price of Default Risk, Review of Finan- cial Studies, 12, 197-226. Duffie, D., and R. Kan, 1996, A yield-factor model of interest rates, Math- ematical Finance, 6, 379V406. Duffie D. and D. Lando, 2001, Term structures of credit spreads with in- complete accounting information, Econometrica, 69, 633-664. Duffie, D., M. Schroder and C. Skiadas, 1996, Recursive valuation of de- faultable securities and the timing of resolution of uncertainty,Annals of Applied Probability, 6, 1075-1090. Duffie, D., and K. J. Singleton, 1997, An Econometric Model of the Term Structure of Interest-Rate Swap Yields, Journal of Finance, 52, 1287- 1321. Duffie, D. and K. J. Singleton, 1999, Modeling term structures of defaultable bonds, Review of Financial Studies, 12, 687-720. Elton, E. J., M. J. Gruber, D. Agrawal, and C. Mann, 2001, Explaining the Rate Spread on Corporate Bonds, The Journal of Finance, 56, 247- 277. Eom, Y. H., J. Helwege, and J. Huang, 2003, Structural Models of Corporate Bond Pricing: An Empirical Analysis, Review of Financial Studies, forthcoming. Giesecke, Kay 2001, Default and information, Working Paper, Cornell Uni- versity. Harrison, J. M. and D. M. Kreps, 1979, Martingale and arbitrage in multi- period securities markets,Journal of Economic Theory, 2, 381-408. Hotchkiss, E. S., and T. Ronen, 1999, The informational efficiency of the corporate bond market: An intraday analysis, Working paper, Boston College. Huang, J., and M. Huang, 2003, How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?, Working paper, Penn State University. Imkeller, P., 2003, Malliavin calculus in insider models: additional utility and free lunches, Mathematical Finance, 13, 153-169. Jarrow, R. A. and S. Turnbull, 1995, Pricing derivatives on ‾nancial secu- rities subject to credit risk,Journal of Finance, 50, 53-86. Lando, D., 1997, Modeling bonds and derivatives with default risk, Math- ematics of Derivative Securities, Cambridge University Press, pages 369-393. Lipster, R. and A. Shiryayev, 2001, Statistics of Random Processes II: Ap- plications, Springer Verlag, New York. Liu, J., F. A. Longstaff, and R. E. Mandell, 2002, The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads, Working paper, UCLA. Madan, D. B. and H. Unal, 1998, Pricing the risk of default, Review of Derivative Research, 2, 121-160. Merton, R. C., 1974, On the pricing of corporate debt: The risk structure of interest rates,Journal of Finance, 29, 449-469. Oksendal, B., 2000, Stochastic Differential Equations : An Introduction with Applications. (Springer) fifth edn. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/39013 | - |
dc.description.abstract | 本論文包含兩大主題,主要探討投資人在不同訊息集合下,如何訂價信用型衍生性商品與公司債信用價差。本論文有效地結合信用風險兩大主流評價模型– 精簡模型(reduced form model)與結構模型(structural form model),亦即採用精簡模型為基礎,再適度結合結構模型中之直觀經濟意義,來評價相關的商品。論文前後兩部分分別考慮投資人面臨的兩種情境,論文第一部份考慮投資人面對窗飾之財務報表,在不完全資訊下,如何從市場交易資訊中,估測公司真實財務體質,以評價該公司之信用型衍生性商品。由實際數值模擬所展現的結果顯示,這些由不完全資訊所產生的額外信用價差,在長到期日的衍生性商品下,是相當顯著的。
本論文第二部分本文主要探討投資人若具有擴大的訊息集合,亦即其訊息集合中具有某種預期性或內線型訊息,則評價一公司債的信用價差會具有何種期間結構。本部分論文中,我們展示如何將內線訊息加入傳統的隨機架構之中,並探討投資人在不真實財務報表下,信念更新與對內線消息的預期效果。在本文模型下, 確實改進傳統結構模型的重大缺點,即短到期日下,信用價差明顯過小的問題。 | zh_TW |
dc.description.abstract | The thesis includes two articles. These two articles focus on the
same issue--how to pricing credit derivatives and credit spreads under different information sets. These two articles all employ reduced models as a base framework, and combine intuitions from structural models to consider the pricing problems. But they consider different situations an investor may face, the first article focus on the situation when investors only possess a firm's noisy financial report (incomplete information). We develop methods to infer the company's real financial constitution from market trading data. The second article considers the situation when an investor's information set is enlarged to include anticipative information. Conditioning on the extended information set, we show how to incorporate the insider information into the original model, and thus give us a better estimation of the firm's survival probability. | en |
dc.description.provenance | Made available in DSpace on 2021-06-13T16:57:26Z (GMT). No. of bitstreams: 1 ntu-94-D90724015-1.pdf: 524890 bytes, checksum: 8533a85d9a8e877e093228de462de4b9 (MD5) Previous issue date: 2005 | en |
dc.description.tableofcontents | Contents
1. Introduction ………………………………………………………..… 1 2. Pricing Credit Derivatives under Incomplete Information ……….. 3 2.1 Introduction …………………………………………………….. 3 2.2 Preliminaries …………………………………………………… 9 2.3 State Variables of Default Risk ………………………………… 13 2.4 Credit Derivatives ……………………………………………… 18 2.5 Learning Process ……………………………………………….. 21 2.6 Numerical Results ……………………………………………… 25 2.7 Conclusion ……………………………………………………… 43 3. Term Structure of Credit Spreads with Anticipation Effects …….. 45 3.1 Introduction …………………………………………………….. 45 3.2 The General Framework ……………………………………….. 48 3.3 Anticipations from Derivative Markets ……………………….. 50 3.4 Learning Effects on Market Information ……………………… 59 3.5 Numerical Results ……………………………………………... 61 3.6 Conclusion …………………………………………………….. 69 4. Conclusion …………………………………………………………. 71 Appendix ………………………………………………………………... 72 References ………………………………………………………………. 74 Figures Figure 1: Default Probability I ……………………………..……..… 27 Figure 2: Default Probability I …………………………….…..…….. 28 Figure 3: Zero Recovery Defaultable Bond Price I………..…....…….. 31 Figure 4: Zero Recovery Defaultable Bond Price II………..…….…….. 32 Figure 5: Default Digital Put Option Price I ………………..………….. 34 Figure 6: Default Digital Put Option Price II ………………..…..…….. 35 Figure 7: Survival Probability under Incomplete Information ..……….. 39 Figure 8: Zero Recovery Defaultable Bond Price under Incomplete Information ..………………………………………………. 40 Figure 9: Default Digital Put Option Price under Incomplete Information ..………………………………………….….. 41 Figure 10: Credit spreads under information of terminal asset value V_T ..………………………………..………………….….. 63 Figure 11: Conditional survival probabilities under information of terminal asset value V_T ..…………..………………….….. 64 Figure 12: Credit spreads under extended information of terminal asset value points distribution I ….…..………………….….. 65 Figure 13: Conditional survival probabilities under extended information of terminal asset value points distribution I .…………….….. 66 Figure 14: Credit spreads under extended information of terminal asset value points distribution II ….…..………………….….. 67 Figure 15: Conditional survival probabilities under extended information of terminal asset value points distribution II .…………….….. 68 Tables Table 1: Parameters Used in Numerical Analysis ……………..………… 26 Table 2: Parameter Impact Analysis ………………………….…..…….... 30 Table 3: Default Put Option Prices ………………..………..…....…….... 36 Table 4: Credit Default Swap Spreads ……………………..…….…….... 37 Table 5: Parameter Impact Analysis on V^DP and CDS Spreads ………. 37 Table 6: Default Put Option Prices under Incomplete Information ….….. 42 Table 7: CDS Spreads under Incomplete Information ..………………….. 42 | |
dc.language.iso | en | |
dc.title | 不同訊息集合下信用型衍生性商品之訂價 | zh_TW |
dc.title | Pricing Credit Derivatives under
Different Information Sets | en |
dc.type | Thesis | |
dc.date.schoolyear | 93-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 盧秋玲,李怡宗,陳家彬,陳思寬 | |
dc.subject.keyword | 預期效果,學習效果,不完全訊息,信用風險,信用型衍生信商品, | zh_TW |
dc.subject.keyword | Credit Risk,Incomplete Information,Anticipation Effects,Credit Derivatives,Learning Effects, | en |
dc.relation.page | 77 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2005-05-16 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
Appears in Collections: | 國際企業學系 |
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