标题: 随机利率模型下内生违约条件公司债之评价
Corporate Bond Valuation with Stochastic Interest Rates and Endogenous Bankruptcy
作者: 洪敏诚
Hong, Min-Cheng
戴天时
李汉星
Dai, Tian-Shyr
Lee, Han-Hsing
财务金融研究所
关键字: 信用风险;随机利率;结构式模型;内生违约门槛;公司债;债权人保护;Credit Risk;Stochastic Interest Rate;Structure Model;Endogenous Bankruptcy;Corporate Bond;Bondholder Protection
公开日期: 2009
摘要: Acharya (2002)在内生决定最佳违约时间及赎回时间,分别分析具有违约风险的债券(defaultable bond)、可赎回债券(callable bond)等的价格与市场其他参数(如公司资产价格与利率)的关系,本文将延伸Acharya (2002)所未分析到对债权人有保护作用的可卖回债券(putable bond)与可转换债券(convertible bond)等公司债,再与Acharya (2002)提出的公司债做组合讨论具有违约风险的可转换债券(defaultable -convertible bond)等,本文将这些公司债视为无风险债券(host bond)与美式选择权的组成,并以数学推导证明公司债的特性,再以陈博□ (2009) 所提出的三维度立体树状结构评价模型DFPM-WHT数值评价方法为基础,验证各种公司债的性质,进而讨论对债权人保护的问题。
Acharya (2002) analyzes the evaluation of corporate bond with defaultable and callable features when interest rates and firm value are stochastic. This thesis analyzes the sensitivity characteristics of putable bond and convertible bonds. By combining the results of Acharya (2002), we can analyze the corporate bond with multiple features, says callable-convertible bond. We also use a numerical method DFPM–WHT, to verify the analytical properties of corporate bonds proved in this thesis. Besides, we find that the payment rule greatly influence the right of bond holders, and use our numerical model to analyze the bondholder protection problem.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079739525
http://hdl.handle.net/11536/45658
显示于类别:Thesis


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