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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31199


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    題名: 考慮信用風險之可轉債評價研究
    作者: 劉昶輝
    貢獻者: 陳威光
    江彌修
    劉昶輝
    關鍵詞: 可轉換公司債
    結構式信用風險模型
    CreditGrades 模型
    最小平方蒙地卡羅模擬
    Convertible Bonds
    Structural Models
    CreditGrades Model
    Least Square Monte Carlo Simulation
    日期: 2008
    上傳時間: 2009-09-14 09:31:14 (UTC+8)
    摘要: 本論文將信用風險模型CreditGrades model延伸至可轉債評價。相對 Hung and Wang (2002) 與 Chambers and Lu (2007), 本文信用風險模型的設定較有經濟意涵。除了結構式模型(structural models) 本身就比縮減式模型 (reduced-form models) 較具經濟意涵外, 本文模型在股價愈低時, 發生違約的機率愈高, 與在真實世界公司股價愈低愈有可能發生違約的現象一致。但是 Hung and Wang (2002) 與Chambers and Lu (2007) 的設定隱含假設公司股價高低於皆不影響違約發生機率。Ayache, Forsyth and Vetzal (2003) 雖然將違約強度設定為股價的遞減函數, 試圖捕捉股價愈低違約機率愈高的現象。卻沒有說明如何估計該設定的參數。本文模型的參數校準容易而且快速。<br>本研究選用最小平方蒙地卡羅法(Least Square Monte Carlo, LSM) 進行評價。相對於樹狀法與有限差分法, 蒙地卡羅法能夠輕易評價具有路徑相依性質條款的可轉債。此外, 未來如果需要新增其它隨機因子, 比起樹狀法與有限差分法更有彈性。蒙地卡羅法的缺點為評價時間冗長, 本文以準隨機亂數(quasi-random sequences) 輔助, 縮短評價時間。<br>本文有以下發現:考慮信用風險的模型價格比起未考慮信用風險更接近市場價格; 可轉債對波動度較不敏感, 與Brennan and Schwartz (1988) 的觀察一致; 股價波動度愈大會使得可轉債價值提高, 但具有贖回條款的可轉債, 提高幅度不如沒有贖回條款的可轉債; 加入賣回條款的可轉債對利率較不敏感, 利率上升會降低可轉債的價值, 但具有賣回條款的可轉債, 下跌幅度小於沒有賣回條款的可轉債。
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    描述: 碩士
    國立政治大學
    金融研究所
    96352006
    97
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096352006
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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