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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王之彥 | |
| dc.contributor.author | Yen-Lung Chang | en |
| dc.contributor.author | 張彥隆 | zh_TW |
| dc.date.accessioned | 2021-06-16T23:35:50Z | - |
| dc.date.available | 2017-08-01 | |
| dc.date.copyright | 2012-08-01 | |
| dc.date.issued | 2012 | |
| dc.date.submitted | 2012-07-26 | |
| 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. Burtschell, X., J. Gregory, and J. P. Laurent (2008). “A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework,” Journal of Derivatives, Vol. 16, No. 4, pp. 9–37. 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. Fischer, E. O., R. Heinkel, and J. Zechner (1989). “Dynamic Capital Structure Choice: Theory and Tests,” Journal of Finance, Vol. 44, No. 1, pp. 19–40. Frey, R. and A. J. McNeil (2003). “Dependent Defaults in Models of Portfolio Credit Risk,” Journal of Risk, Vol. 6, No. 1, pp. 59–92. Frey, R., A. J. McNeil, and M. Nyfeler (2001). “Copulas and Credit Models,” RISK, Vol. 10, pp. 111–114. Giesecke, K. (2004). “Correlated Default with Incomplete Information,” Journal of Banking and Finance, Vol. 28, No. 7, pp. 1521–1545. Goldstein, R., N. Ju, and H. Leland (2001). “An EBIT-Based Model of Dynamic Capital Structure,” Journal of Business, Vol. 74, No. 4, pp. 483–512. 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. Jarrow, R. A., D. Lando, and S. M. Turnbull (1997). “A Markov model for the term structure of credit risk spreads,” Review of Financial Studies, Vol. 10, No. 2, pp. 481–523. Jarrow, R. A. and S. M. Turnbull (1995). “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, Vol. 50, No. 1, pp. 53–85. Jarrow, R. A. and P. Protter (2004). “Structural Versus Reduced Form Models: A New Information Based Perspective,” Journal of Investment Management, Vol. 2, No. 2, pp. 1–10. 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. Li, D. X. (2000). “On Default Correlation: A Copula Function Approach,” Journal of Fixed Income, Vol. 9, No. 4, pp. 43–54. 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. Marrison, C. (2002). The Fundamentals of Risk Measurement, New York, McGraw-Hill. Meneguzzo, D. and W. Vecchiato (2004). “Copula Sensitivity in Collateralized Debt Obligations and Basket Default Swaps,” Journal of Futures Markets, Vol. 24, No. 1, pp. 37–70. 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. Opler, T. C. and S. Titman (1998). “The Debt-Equity Choice,” working paper. Vasicek, O. (1977). “An equilibrium characterization of the term structure,” Journal of Financial Economics, Vol. 5, No. 2, pp. 177–188. Zhou, C. (2001). “An Analysis of Default Correlation and Multiple Defaults,” Review of Financial Studies, Vol. 14, No. 2, pp. 555–576. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/65310 | - |
| dc.description.abstract | 既有文獻對於信用衍生性金融商品之結構式定價模型發展，有其限制所在。本研究故此提出一模型，解決現有之結構式模型缺陷，以利於計算諸多可按標的公司資產負債水準計價之信用衍生性金融商品價格。
至於本模型之發展乃依據 Collin-Dufresne and Goldstein（2001）之研究，以對數槓桿比隨機過程為主架構，再搭配 Hull-White 隨機利率模型建構一立體樹狀模型。其後，更參考 Amin（1993）之研究方法，令樹狀發展進行跳躍擴散成長並對各分支落點做機率估計，以完成模型之金融商品定價回溯推算。 全文內容主要以模型樹狀之建構為主，其中包含前人文獻之細節回顧與數理計算推演過程等。次之，則以模型之定價為搭配，作為應用此模型之範例介紹。最後附上數值結果以供應證，並分析其可能之經濟意涵。 | zh_TW |
| dc.description.abstract | Researches on the structural pricing model are popular in decades. However, there are some restrictions in existed publishes. For the purpose of solving these problems, my study proposes a new model to calculate the price of the credit derivatives relating to the leverage of the firm.
According to the paper of Collin-Dufresne and Goldstein ( 2001 ), my study used the process of the leverage of the firm to be the framework of my model. I also considered the stochastic interest rate process by combining Hull-White model with the process of the leverage to be a three-dimensional tree model. Furthermore, I added the jump diffusion process with the probability according to Amin ( 1993 ) to complete my model. Finally, my research used the backward induction to compute the price of the credit derivatives, such as corporate bond and credit default swap spread. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T23:35:50Z (GMT). No. of bitstreams: 1 ntu-101-R99724028-1.pdf: 568811 bytes, checksum: d2e8b0d770d136b57ae44018b05d637c (MD5) Previous issue date: 2012 | 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 ....................................... 3 第三節 全文架構 ....................................... 4 第二章 文獻探討 .................................................................... 5 第一節 穩定槓桿比例 ................................... 5 第二節 均值追蹤演算 ................................... 7 第三節 跳躍擴散樹狀模型 ............................... 8 第四節 隨機利率模型 .................................. 10 第三章 研究模型 .................................................................. 12 第一節 正交變數轉換 .................................. 12 第二節 樹狀模型建構 .................................. 15 第三節 公司債與信用違約交換合約評價 .................. 20 第四章 數據結果 .................................................................. 24 第一節 Xt 與 lt 模擬 ................................. 24 第二節 公司債評價 .................................... 26 第三節 信用違約交換合約評價 .......................... 33 第五章 結論 .......................................................................... 38 References .................................................................................. 39 Appendix A ................................................................................ 41 Appendix B ................................................................................ 43 Appendix C ................................................................................ 44 | |
| dc.language.iso | zh-TW | |
| dc.subject | 結構式模型 | zh_TW |
| dc.subject | 對數槓桿比 | zh_TW |
| dc.subject | 隨機利率 | zh_TW |
| dc.subject | 跳躍擴散 | zh_TW |
| dc.subject | 回溯推算過程 | zh_TW |
| dc.subject | Backward Induction | en |
| dc.subject | Leverage Ratio | en |
| dc.subject | Stochastic Interest Rate | en |
| dc.subject | Structural Model | en |
| dc.subject | Jump Diffusion | en |
| dc.title | 結合跳躍擴散槓桿比與 Hull-White 利率模型之可違約資產評價模型 | zh_TW |
| dc.title | A Pricing Model for Defaultable Securities with the Jump-Diffusion Leverage Ratio Process and Hull-White Interest Rate Model | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 100-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 戴天時,郭家豪,張龍福 | |
| 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, | zh_TW |
| dc.subject.keyword | Structural Model,Leverage Ratio,Stochastic Interest Rate,Jump Diffusion,Backward Induction, | en |
| dc.relation.page | 44 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2012-07-27 | |
| 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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