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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 郭震坤(Cheng-kun Kuo) | |
| dc.contributor.author | I-An Lai | en |
| dc.contributor.author | 賴怡安 | zh_TW |
| dc.date.accessioned | 2021-06-15T00:15:44Z | - |
| dc.date.available | 2014-06-23 | |
| dc.date.copyright | 2009-06-23 | |
| dc.date.issued | 2009 | |
| dc.date.submitted | 2009-06-12 | |
| dc.identifier.citation | 何棟欽，2008年，「金融機構之槓桿、風險值與金融危機」，永豐金融季刊，第四十三期，第四季，pp. 21-48。
Black, F., and Cox, J., 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, No. 2, pp. 351-367. Cox, J., Ingersoll, J., and Ross, S., 1985, “A Theory of the Term Structure of interest Rates,” Econometrica, Vol. 51, pp. 385-408. Elizalde, A., 2005, “Credit Default Swap Valuation: An Application to Spanish Firms,” CEMFI and UPNA, Working paper. Heath, D. Jarrow, R. and Morton, A., 1990, “Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation,” Journal of financial and quantitative analysis, 25, no. 4, pp. 419-440. Huang, J., and Huang, M. 2002, “How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk? Results from a New Calibration Approach,” Working Paper, GSB, Stanford University. Hull, J. and White, A., 2000, “Valuing Credit Default Swaps I: No Counterparty Default Risk,” Journal of Derivatives 8, No.1, pp.29-40. Hull, J., and White, A., 2001, “Valuing Credit Default Swaps II: Modeling default correlations,” Journal of Derivatives, 8, No. 3, pp. 12-22. Hull, J., and White, A., 2006, “Valuing Credit Derivatives Using an Implied Copula Approach,” Journal of Derivatives, 14, No. 2, pp. 8-28. Hull, J., Predescu, M., and White, A., 2004, “The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements,” Journal of Banking and finance 28, pp. 2798-2811. Jorrow, R., and S. Turnball, 1995, “Pricing Derivatives of Financial Securities Subject to Credit Risk,” Journal of Finance 50, pp. 53-86. Kijima, M., 1998, “A Markov Chain Model for Valuing Credit Derivatives,” Journal of Derivatives, 6, no. 1, pp. 97-108. Leland, H., 2002, ”Predictions of Expected Default Frequencies in Structural Models of Debt,” University of California, Berkeley. Working paper. Leland, H., and Toft, K., 1996,” Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” Journal of Finance 51, pp. 987-1019. Lin, B., and Yeh, S., 1999,”Jump-Diffusion Interest Rate Process: An Empirical Examination,” Journal of Business Finance & Accounting, 26, no. 7&8. pp. 967-995. Longstaff, F., and Schwartz, E., 1995,”Valuing risky debt: A new approach,” Journal of Finance 50, pp. 789–820. Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 2, pp. 449-470. Norden, L., and Wagner, W., 2008, “Credit derivatives and loan pricing,” Journal of Banking and Finance, pp. 2560-2569. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41317 | - |
| dc.description.abstract | CDS(信用違約交換，Credit Default Swap)是以各種債務的信用風險為標的之衍生性商品。此商品雖在歐美等國家行之有年，卻尚未於台灣被核准交易。但以CDS在全球之龐大的交易量而言，此商品未來在台灣被核准交易是可期待的。除了介紹CDS之運作與市場概況，本研究主要是結合CDS定價公式，與三種評估公司債違約機率的模型，計算以台灣公司債為參考實體之CDS合理定價。
本研究所使用的違約機率評估模型，包括了LS-LT、KMV兩種結構式模型，與普瓦松─指數分配之簡化模型。結構式模型是以分析公司之財務結構，而得到公司於未來特定時間內的違約機率。簡化模型是以債券每日市場交易價格，分析市場對該公司營運狀況之研判，並預測公司債未來違約之機率。 本研究設定台灣之公司債為CDS合約之參考實體，並且設定不同到期時間，以計算這些債務CDS之合理定價。最後，三種模型之計算結果，以及其間差異之分析將於文末呈現。 | zh_TW |
| dc.description.abstract | CDS (Credit Default Swap) is a derivative based on the credit risk of all kinds of debt obligation. Although this product has already traded in European countries and United States for a few years, it is not yet authorized to be traded in Taiwan. But for the globally large traded volume, it is expected that CDS can be authorized in Taiwan in the future. Besides introducing the operation and the market condition of CDS, this research is major in integrating the CDS pricing formula and three kinds of default probability estimation models and computes the rational pricing of CDS which is based on the corporate bonds in Taiwan.
This research used two kinds of structural form model, LS-LT, KMV, and a reduced form model, Poisson and exponential distribution model. The structural form model is to analyze the financial structure of the corporate to get the probability of default in a certain period. The reduced form model is to observe the market price of the bond to analyze the market judgement to the enterprise, and then predict the probability of default. This research set the corporate bonds in Taiwan as the reference entity of CDS contracts and set different maturity to compute the CDS pricing. Finally the result of computation from three models and the analysis of difference will be presented in the end of this article. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T00:15:44Z (GMT). No. of bitstreams: 1 ntu-98-R96724065-1.pdf: 446121 bytes, checksum: 66fa9eb64c462032fbe3ed04cdc49a7d (MD5) Previous issue date: 2009 | en |
| dc.description.tableofcontents | 謝辭 I
摘要 II Abstract III 目錄 IV 表目錄 VI 圖目錄 VII 第一章 緒論 1 1.1 研究動機與目的 1 1.2 研究架構 4 第二章 CDS與衍生性商品介紹 7 2.1 CDS架構與運作說明 7 2.2 違約定義 12 2.3 交割機制 13 2.4 CDS特性與市場概況 15 2.5 CDS之次級市場運作與其他應用 17 2.5.1 CDS次級市場交易模式 17 2.5.2 信用違約選擇權CD Option 17 2.5.3 CDS於合成型CDO之運作模式 19 第三章 模型建構 21 3.1 模型說明 21 3.2 文獻探討 23 3.2.1 債券違約風險評估結構式模型之探討 23 3.2.2 簡化模型之探討 30 3.2.3 CDS定價與債券利差之關係探討 32 3.2.4 CDS契約賣方之違約考量文獻探討 34 3.3 債券利差與違約之關係 36 3.4 CDS定價公式說明 39 3.5 結構模型評估之違約機率 46 3.5.1 LS資產下限與隨機過程 46 3.5.2 LT資產下限與EDF 46 3.5.3 KMV模型 48 3.6 簡化模型評估之違約機率 50 3.7 模型整合說明 53 3.7.1 簡化模型與CDS定價公式之結合 53 3.7.2 LS-LT模型與CDS定價公式之結合 53 3.7.3 KMV模型與CDS合約定價公式之結合 54 第四章 台灣債券之CDS定價計算 55 4.1 資料選取 55 4.1.1 資料內容說明 55 4.1.2 財務報表資訊說明 58 4.1.3 殖利率與債券價值計算說明 59 4.2 模型使用流程與實證結果 63 4.2.1 簡化模型流程 63 4.2.2 LS-LT結構式模型流程 64 4.2.3 KMV模型流程與結果說明 69 4.3 各債券合理CDS計算結果彙整 71 第五章 結論與建議 73 5.1 研究結果分析 73 5.2 研究限制與改善目標 74 5.3 模型發展後續建議 75 參考文獻 76 | |
| dc.language.iso | zh-TW | |
| dc.subject | 資產價值下限 | zh_TW |
| dc.subject | CDS定價 | zh_TW |
| dc.subject | 違約時間機率密度函數 | zh_TW |
| dc.subject | 結構式模型 | zh_TW |
| dc.subject | 簡化模型 | zh_TW |
| dc.subject | reduced form model | en |
| dc.subject | structural form model | en |
| dc.subject | probability density function of default time | en |
| dc.subject | lower bound of asset value | en |
| dc.subject | CDS pricing | en |
| dc.title | 債務違約機率之評估與CDS定價─台灣公司債市場之模擬 | zh_TW |
| dc.title | Estimation of Default Probability and CDS Spread-Simulation on Taiwan's Corporate Bond Market | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 雷立芬(Li-fen Lei),李志偉(Chih-wei Li) | |
| dc.subject.keyword | CDS定價,違約時間機率密度函數,結構式模型,簡化模型,資產價值下限, | zh_TW |
| dc.subject.keyword | CDS pricing,probability density function of default time,structural form model,reduced form model,lower bound of asset value, | en |
| dc.relation.page | 78 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-06-12 | |
| 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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