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| Title: | Essays on Contingent Claims Pricing Subject to Credit Risk
信用風險下或有求償權之評價 |
| Authors: | 黃星華
Huang,Hsing-Hua |
| Contributors: | 廖四郎
Liao,Szu-Lang
黃星華
Huang,Hsing-Hua |
| Keywords: | Contingent Claims Analysis
Credit Risk
Convertible Bonds
Optimal Capital Structure
Structural Model
Vulnerable Options |
| Date: | 2005 |
| Issue Date: | 2009-09-14 09:32:43 (UTC+8) |
| Abstract: | This dissertation includes three essays, which investigate contingent claims pricing subject to credit risk based on the structural approach and analyze associated issues of corporate finance.
The first essay develops and examines a partial equilibrium model to investigate the effects of macroeconomic condition and firm-level productivity shocks on the determination of optimal debt ratio. The model extends the contingent-claims models of the firm`s capital structure by incorporating both the industry demand and firm-level supply factors into the firm`s earnings and unlevered asset value. Our model predicts that the optimal debt ratio is negatively correlated to the macroeconomic conditions and the firm-level productivity. Furthermore, the theoretical implications are totally supported by the pooled feasible generalized least squares estimation with 311 Taiwanese listed manufacturing firms` quarterly data over the period from 1994 to 2003. The differences between the high-tech electronics and other manufacturing firms are also investigated, and particularly the high-tech firms are not tied up with the macroeconomic conditions while the others are.
The second essay presents a contingent claim valuation of a callable convertible bond with the issuer`s credit risk. The optimal call, voluntary conversion and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. Our model not only incorporates tax benefits, bankruptcy costs, refunding costs and a call notice period, but also takes account of the issuer`s debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore calling convertible bonds too late or too early can be rational.
The third essay provides a closed-form valuation formula for the Black-Scholes options subject to interest rate risk and credit risk. Not only does our model allow for the possible default of the option issuer prior to the option`s maturity, but also considers the correlations among the option issuer`s total asset, the underlying stock, and the default-free zero coupon bond. We further tailor-make a specific credit-linked option for hedging the default risk of the option issuer. The numerical results show that the default risk of the option issuer significantly reduces the option values, and the vulnerable option values may be remarkably overestimated in the case where the default can occur only at the maturity of the option. |
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| Description: | 博士
國立政治大學
金融研究所
90352502
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0903525022 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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