标题: | 在Hull-White 随机利率下信用风险之衡量-运用创新的数值方法DFPM-HWT A Novel Lattice Model for Credit Risk Measurement with Hull-White Interest Rate Model |
作者: | 陈博宇 Chen , Bo-Yu 戴天时 Dai , Tian-Shyr 财务金融研究所 |
关键字: | 信用风险;随机利率;结构式模型;违约门槛;首次通过模型;离散跳跃;可赎回债券;Credit Risk;Stochasitc Interest Rate;Stucture Model;Default Barrier;First Passage Model;Discrete Jump;Callable Bond |
公开日期: | 2008 |
摘要: | 本文提出创新的二维度立体树状结构评价模型DFPM-HWT,当公司资产与利率服从相依的随机变动过程下,此模型可评价出公司债券的价值,也可调整其数值结构来配适具有随机性质的违约门槛和公司价值具有离散跳跃等性质,以解决数状结构常有的非线性误差。此评价模型不仅可以衡量信用风险,更可以对具有美式性质 (American-style features) 的公司债做评价。Briys and Varenne (1997)结构式评价模型(对有违约风险的债券定价) 和Hull-White (1990) 利率延伸性商品评价模型(对可赎回买权定价) 都可视为DFPM-HWT评价模型的特例。本文利用敏感度分析观察赎回价格与债券利差之间的关系,并加以解释与说明。 This paper suggests a novel two-dimensional lattice tree model “DFPM-HWT” that can evaluate the corporate bond when firm value and interest rates follow correlated stochastic processes. This lattice model can adjust its structure to fit stochastic default barriers and discrete jumps of the firm value to alleviate the oscillation problem. It can not only measure the credit risk, but price some American-style features like callable, putable bonds. Both Briys and Varenne (1997) evaluation model (for pricing defaultable bonds) and Hull and White (1990) evaluation model (for pricing callable call option) can be regarded as special cases of DFPM-HWT. Detail sensitive analysis are given to illustrate the relations between credit spreads, redemption premium, and etc. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT079639512 http://hdl.handle.net/11536/43088 |
显示于类别: | Thesis |
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