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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81847完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 王之彥(Jr-Yan Wang) | |
| dc.contributor.author | Yu-Ang Lee | en |
| dc.contributor.author | 李宇昂 | zh_TW |
| dc.date.accessioned | 2022-11-25T03:04:57Z | - |
| dc.date.available | 2026-07-12 | |
| dc.date.copyright | 2021-08-18 | |
| dc.date.issued | 2021 | |
| dc.date.submitted | 2021-07-12 | |
| dc.identifier.citation | Andricopoulos, A. D., Widdicks, M., Duck, P. W., Newton, D. P. (2003). Universal option valuation using quadrature methods. Journal of Financial Economics, 67(3), 447–471. https://doi.org/10.1016/s0304-405x(02)00257-x Avdjiev, S., Kartasheva, A. V., Bogdanova, B. (2013). CoCos: a primer. BIS Quarterly Review September 2013, 43-56. https://doi.org/10.2139/ssrn.2326334 Chen, L., Zhao, X. (2007). Mechanical mean reversion of leverage ratios. Economics Letters, 95(2), 223–229. https://doi.org/10.1016/j.econlet.2006.10.008 Cheridito, P., Xu, Z. (2013). Pricing and hedging of Coco’s. SSRN Electronic Journal. Published. https://doi.org/10.2139/ssrn.2201364 Chung, S. L., Wang, J. Y. (2018). A simple iteration algorithm to price perpetual Bermudan options under the lognormal jump-diffusion-ruin process. Journal of Futures Markets, 38(8), 898–924. https://doi.org/10.1002/fut.21911 Chung, T. K., Kwok, Y. K. (2015). Enhanced equity-credit modeling for contingent convertibles. SSRN Electronic Journal. Published. https://doi.org/10.2139/ssrn.2664518 Collin-Dufresne, P., Goldstein, R. S. (2001). Do credit spreads reflect stationary leverage ratios? The Journal of Finance, 56(5), 1929–1957. https://doi.org/10.1111/0022-1082.00395 Duffee, G. R. (1998). The relation between treasury yields and corporate bond yield spreads. The Journal of Finance, 53(6), 2225–2241. https://doi.org/10.1111/0022-1082.00089 Leung, C. M., Kwok, Y. K. (2017). Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method. International Journal of Theoretical and Applied Finance, 20(07), 1750046. https://doi.org/10.1142/s0219024917500467 Longstaff, F. A., Schwartz, E. S. (1995). A simple approach to valuing risky fixed and floating rate debt. The Journal of Finance, 50(3), 789–819. https://doi.org/10.1111/j.1540-6261.1995.tb04037.x Longstaff, F. A., Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-squares approach. Review of Financial Studies, 14(1), 113–147. https://doi.org/10.1093/rfs/14.1.113 Merton, R. C. (1973). Theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1), 141. https://doi.org/10.2307/3003143 Pennacchi, G. (2010). A structural model of contingent bank capital (working paper 10-04). Federal Reserve Bank of Cleveland. http://ssrn.com/abstract=1595080 S P Global Ratings. (2021, April 7). 2020 annual global corporate default and rating transition study. https://www.maalot.co.il/Publications/TS20210408160139.PDF Spiegeleer, J. D., Schoutens, W. (2012). Pricing contingent convertibles: a derivatives approach. The Journal of Derivatives, 20(2), 27–36. https://doi.org/10.3905/jod.2012.20.2.027 Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177–188. https://doi.org/10.1016/0304-405x(77)90016-2 Wilkens, S., Bethke, N. (2014). Contingent convertible (CoCo) bonds: a first empirical assessment of selected pricing models. Financial Analysts Journal, 70(2), 59–77. https://doi.org/10.2469/faj.v70.n2.3 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/81847 | - |
| dc.description.abstract | "應急可轉債(Contingent convertible bonds, CoCo bonds)是一種複合型的金融工具，主要目的為因應發行機構遭遇財務上的危機時，能吸收未來可能損失並降低負債比率，以此度過難關。因為永續應急可轉債(Perpetual CoCo bonds)具有週期性的屬性，藉由參考Andricopoulos, Widdicks, Duck, and Newton (2003) 和 Chung and Wang (2018)的積分評價法(Quadrature pricing method)以及遞迴演算法(Iteration algorithm)，本研究為第一個提出可適用於觸發條件為普通股第一類資本比率(Common equity tier 1 ratio, CET1 ratio)的永續應急可轉債的結構式評價模型。本研究於模型中放入利率、普通股第一類資本比率、股價以及槓桿比率作為隨機過程(Stochastic process)之變數，首先推導並將評價公式改寫成矩陣 – 陣列的表達式，以遞迴演算法找出最適贖回位置，進而解出永續應急可轉債之最佳持有價值，最後再以Vasicek (1977)的折現因子，算出評價日之預期持有價值，數值分析結果也顯示，本研究之模型可產出合理的評價結果。" | zh_TW |
| dc.description.provenance | Made available in DSpace on 2022-11-25T03:04:57Z (GMT). No. of bitstreams: 1 U0001-1207202115580700.pdf: 1457001 bytes, checksum: 99ade42ea07df889b74ff2111084bdd8 (MD5) Previous issue date: 2021 | en |
| dc.description.tableofcontents | 口試委員會審定書 i Acknowledgement ii 摘要 iii Abstract iv List of Figures vi List of Tables vii 1 Introduction 1 2 Basic Model Setup 3 2.1 Fundamental Stochastic Processes 3 2.2 Orthogonalization of Stochastic Processes 7 3 General Pricing Framework 9 3.1 Fundamental Pricing Method 9 3.2 Real World Contract 15 4 Numerical Results 21 4.1 Perpetual CoCo Bond Pricing under Quad method 21 4.2 Pricing Behaviors and Sensitivity Analyses 26 5 Conclusion 31 6 Reference 33 | |
| dc.language.iso | en | |
| dc.subject | 結構評價模型 | zh_TW |
| dc.subject | 隨機過程 | zh_TW |
| dc.subject | 永續應急可轉債 | zh_TW |
| dc.subject | 遞迴演算法 | zh_TW |
| dc.subject | 積分評價法 | zh_TW |
| dc.subject | Quadrature Method | en |
| dc.subject | Iteration Algorithm | en |
| dc.subject | Structural Pricing Model | en |
| dc.subject | Stochastic Process | en |
| dc.subject | Perpetual CoCo Bond | en |
| dc.title | 永續應急可轉債之結構式評價模型 | zh_TW |
| dc.title | A Structural Credit-Risk Model for Pricing Perpetual Contingent Convertible Bond | en |
| dc.date.schoolyear | 109-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 郭家豪(Hsin-Tsai Liu),張龍福(Chih-Yang Tseng) | |
| dc.subject.keyword | 永續應急可轉債,隨機過程,結構評價模型,積分評價法,遞迴演算法, | zh_TW |
| dc.subject.keyword | Perpetual CoCo Bond,Stochastic Process,Structural Pricing Model,Quadrature Method,Iteration Algorithm, | en |
| dc.relation.page | 34 | |
| dc.identifier.doi | 10.6342/NTU202101409 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2021-07-13 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| dc.date.embargo-lift | 2026-07-12 | - |
| 顯示於系所單位： | 國際企業學系 | |
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