隨機利率下信用風險之衡量—使用創新之立體樹狀模型

Abstract

本文嘗試延伸結構式首次通過模型，提出一個創新的資產與利率變動的立體樹狀模型(EDFPM)，運用於信用風險的討論。EDFPM以離散方式檢視公司信用風險狀況，立即反應因公司償還負債所面臨的風險，並視實際狀況調整違約門檻，模型多加模擬利率變動以探討不同類型金融機構資產，利率，信用風險相互關係。

This thesis suggests a novel two-dimensional lattice tree model “EDFPM” that extends the first passage model—one of the structural model for pricing credit risk. EDFPM monitors firm value discretely, simulates asset value jumps due to loan repayment, and sets the varying barriers for the change of firm’s debt structure. In addition, the model can simulates the stochastic interest and discuss the influence of stochastic interest rates and its correlation with firm’s value to the credit risk management.