标题: 运用在信用风险模型的创新数值方法DFPM
A Novel Lattice Model for Evaluating Credit Risk based on Structural Form
作者: 杜宛佩
王克陆
戴天时
财务金融研究所
关键字: 信用风险;结构型;首次通过模型;偿还公司债;变动门槛;Credit Risk;Structural Form;First Passage Model;Loan Repayment;Varying Barrier
公开日期: 2006
摘要: 信用风险议题越來越受到重视,本文提出一个创新的树狀數值方法(DFPM)企图运用在信用风险中的结构型首次通过模型,以離散时间点观察公司资产与负债门槛值的关系。并尝试加入偿还公司债的跳跃因子及跟随偿还而改变负债门槛以更接近市场资讯。此外,此创新树狀方法亦可将负债门槛值设定为指數型变动。本文并以因无法偿还公司债而宣告违约的茂矽电子公司与博达科技公司作为样本,观察偿还公司债所面臨的风险是否能提早反应,让投资者能事先做好防范。
More and more attention focuses on credit risk domain. This thesis suggests a novel lattice numerical method “DFPM” to be applied in first passage model which is structural form models in  credit risk. DFPM monitors firm value discretely. And DFPM tries to approach market information by adding asset value jumps due to loan repayment and sets the varying barriers. The thesis studies MOSEL and PROCOMP which defaulted  caused by loan repayment .The thesis tries to discover the risk of loan repayment early, and lets investors protect themselves early.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009439511
http://hdl.handle.net/11536/81864
显示于类别:Thesis