Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/36586
|
| Title: | Credit Rating and Credit Spread: Some Empirical Evidence in Taiwan |
| Authors: | 趙世偉
Chao, Shih-Wei |
| Contributors: | 胡聯國
趙世偉
Chao, Shih-Wei |
| Keywords: | credit rating
credit spread
credit risk |
| Date: | 2002 |
| Issue Date: | 2009-09-18 18:54:55 (UTC+8) |
| Abstract: | In recent years, issues about credit risk attract more and more attentions. This thesis provides some empirical evidence for the behavior of credit spreads in Taiwan based on a Markov model proposed by Jarrow, Lando, and Turnbull (1997). Although the estimated risk premium adjustments increases as the credit rating level goes downward, it does not exist robust relations between credit yield spreads and credit ratings. Apparently, the model does not fit the real condition well because of some structural factors and limitations. I try to suggest some possible explanations for this phenomenon. Despites some poor performances of this model, these results still offer some directions to reconsider the valuation of straight corporate bonds in Taiwan. |
| Reference: | Black, F., Scholes M. (1973) The Pricing of Options and Corporate Liabilities, The Journal of Political Economy 81, 637-654.
Crosbie, P.J. (1997) Modeling Default Risk, KMV Corporation, San Fran Cisco.
Duffie, D., Singleton, K. (1997) An Econometric Model of the Term Structure of Interest-Rate Swap Yields, The Journal of Finance 52, 1287-1321.
Duffie, D., Singleton, K. (1999) Modeling Term Structures of Defaultable Bonds, The Review of Financial Studies 12, 687-720.
Israel, R., Rosenthal, J., Wei, J. (2000) Finding Generators for Markov Chains via Empirical Transition Matrices with Applications to Credit Ratings, Mathematical Finance 11(2), 245-265.
Jarrow, R., Lando, D., Turnbull, S. (1997) A Markov Model for the Term Structure of Credit Risk Spreads, The Review of Financial Studies 10(2), 481-523.
Jarrow, R., Turnbull, S. (1995) Pricing Derivatives on Financail Securities Subject to Credit Risk, The Journal of Finance 50, 53-86.
Kijima, M. (1998) Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk, Mathematical Finance 8(3), 229-247.
Kijima, M., Komoribayashi, K. (1998) A Markov Chain Model for Valuing Credit Risk Derivatives, The Journal of Derivatives 6(1), 97-108.
Longstaff, F., Schwartz E. (1995) A Simple Approach to Valuing Risky Fixed and Floating Rate Debt, The Journal of Finance 50, 789-819.
Merton, R. (1974) On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, The Journal of Finance 29, 449-470.
Shimko, D., Tejima, N., Deventer, D.R. (1993) The Pricing of Risky Debt when Interest Rates Are Stochastic, The Journal of Fixed Income 3(2), 58-65.
Vasicek, O. (1977) An Equilibrium Characterization of the Term Structure, The Journal of Financial Economics 5, 177-188.
Zhou, C. (1996) A Jump-Diffusion Approach to Modeling Credit Risk and Valuing Defaultable Securities, Federal Reserve Board, Washington.
Money Watch and Credit Rating, various issues, Taiwan Economic Journal.
Bielecki, T., Rutkowski, M. Credit Risk: Modeling, Valuation and Hedging, Springer. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
90351028
91 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0090351028 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 742 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
