标题: | 在交易杂讯下估计具违约边界之结构化信用风险模型 Estimating the Structural Credit risk model with default boundaries in the presence of equity trading noise |
作者: | 袁伦赐 Yuan, Luen-Tsz 李汉星 Lee, Han-Hsing 财务金融研究所 |
关键字: | 障碍选择权模型;粒子滤波器;结构式信用风险模型;交易杂讯;Barrier model;Particle filter;Structural credit risk model;Trading noise |
公开日期: | 2011 |
摘要: | 在2007年的全球金融风暴过后,不仅学术界对企业的违约风险非常的重视,实务界亦然,因此,如何能够更准确的预测企业违约风险成为一个重要的研究课题。本篇研究根据 Duan and Fulop (2009) 所提出的平滑局部化取样/重要性重新取样粒子滤波器(smoothed localized sampling/importance resampling particle filter)架构去处理在有交易杂讯(trading noise)下之结构式模型估计。我们的模型在障碍选择权的架构下以结构式方法进行公司有价证券订价,本研究结果指出交易杂讯在流动性差的股票上会有显着的影响,而且可能对于波动度与破产机率的估计产生影响。 After the worldwide financial crisis in 2007, credit risk of a company is getting vast attention not only from academic but also from practitioners. It is of interest for researchers to more accurately model and estimate the default risk of a firm. In this paper, we apply the method proposed by Duan and Fulop (2009), the smoothed localized sampling/importance resampling (SL-SIR) particle filter, to deal with the structural model estimation in the presence of trading noise. Our model employs the structural approach for valuing corporate securities under the barrier option framework. Our results suggest that trading noise can be substantial for the less liquid stocks and may potentially affect volatility and default probability estimation. |
URI: | http://140.113.39.130/cdrfb3/record/nctu/#GT079939523 http://hdl.handle.net/11536/50297 |
显示于类别: | Thesis |
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