估計公司資產價值隱含報酬率及相關性

Abstract

本論文主要探討市場上信用風險傳染問題，當市場景氣變壞時，市場上各家公司的隱含報酬下降且隱含相關性將會一同升高，為了衡量公司資產價值的相關性，本篇論文不用歷史資料算出backward-looking的歷史相關性，而是利用衍生性金融商品定價模型估計出forward-looking的隱含相關性，在估計過程中，我們亦會得到股票的隱含報酬，可供我們評估未來市場景氣的趨勢。本論文利用Merton的模型來估計隱含報酬率及相關性，但如果遇到因公司違約機率過低，而導致公司債券信用價差過小而影響估計的結果，本論文則改採Black and Cox的first-passage模型(FPM)以及jump-diffusion模型，使其估計出的隱含報酬率及相關性能夠更精確。

The main subject of this thesis probes into the credit risk contagion problem. When the domino effect arising out of a stock market crash ,both the returns of the firms’ market value and the stock prices simulanteously decrease and the correlations among these companies increase. In order to measure the relevance of a company’s asset return, this thesis does not use historical data to calculate historical backward-looking drifts and correlations among the asset returns. However, this thesis adopts the option pricing model to estimate forward-looking drifts and correlations. During the process of estimation, we will calculate the implied return of the stock and provide assess to the prosperous trend of future markets. This thesis uses the Merton’s model to estimate an implied return and correlation. But if the firm has a low default probability ,the credit spread of corporate bonds would be to small for our model to work properly .To address this problem , this thesis uses the first-passage model of Black and Cox (FPM) and the jump-diffusion model to estimate implied return and correlation .