Full metadata record
DC FieldValueLanguage
dc.contributor.author王克陸en_US
dc.contributor.authorWANG, LUH K.en_US
dc.date.accessioned2014-12-13T10:42:32Z-
dc.date.available2014-12-13T10:42:32Z-
dc.date.issued2011en_US
dc.identifier.govdocNSC100-2410-H009-027zh_TW
dc.identifier.urihttp://hdl.handle.net/11536/99230-
dc.identifier.urihttps://www.grb.gov.tw/search/planDetail?id=2312227&docId=361487en_US
dc.description.abstract由於歐洲”PIGS”危機持續引起全球信用市場之關切,國家信用風險已成為學術界 與貨幣主管機關之重要課題。本研究計畫擬建構一障礙選擇權模型以分析國家之信用 風險,應用結構式方法結合國家之資產負債表內容,估計不同地區之國家其違約機率 之大小。實證方法將使用轉換資料最大概似法估計模型中之參數,演算出之國家破產 機率之變動將與樣本期間之重大財經事件比較其關係,並將使用迴歸分析驗證障礙選 擇權模型解釋國家信用交換契約所推導出之違約機率。zh_TW
dc.description.abstractAs the “PIGS” crisis in euro area continues to cause concern in the credit market, the country risk has become an important issue for both academics and monetary authorities. In this research, we would like to construct a barrier option pricing model to study the sovereign credit risk. Applying the structural form method with sovereign balance sheet, the default probabilities are estimated for various countries in different area of the world. The transform-data maximum likelihood estimation technique is adopted to estimate the parameters in the model. The derived probabilities of the defaults for our sample countries will be checked with the economic and financial events that occurred during the sample period. The regression analysis will be conducted to test the significance of the barrier model in explaining the probabilities of defaults induced by the premiums of the sovereign credit default swaps.en_US
dc.description.sponsorship行政院國家科學委員會zh_TW
dc.language.isozh_TWen_US
dc.subject國家信用風險zh_TW
dc.subject結構模型zh_TW
dc.subject破產機率zh_TW
dc.subject障礙選擇權zh_TW
dc.subjectsovereign credit risken_US
dc.subjectstructural modelen_US
dc.subjectdefault probabilityen_US
dc.subjectbarrier optionen_US
dc.title使用障礙選擇權模型評估國家破產機率及其實證分析zh_TW
dc.titleA Barrier Option Model for Sovereign Default Probability Evaluation and Its Empirical Testen_US
dc.typePlanen_US
dc.contributor.department國立交通大學財務金融研究所zh_TW
Appears in Collections:Research Plans