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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49022
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49022


    Title: 考慮信用及利率風險下之可轉債評價
    Pricing convertible bonds with credit risk and interest rate risk
    Authors: 凃宗旻
    Contributors: 廖四郎
    凃宗旻
    Keywords: 複合式證券
    美式選擇權
    最小平方蒙地卡羅
    縮減式
    結構式
    跳躍現象
    擴散過程
    可轉債資產交換
    BGM模型
    Date: 2009
    Issue Date: 2010-12-08 01:57:04 (UTC+8)
    Abstract: 可轉換公司債是給予持有者於債券存續期間內行使轉換為股票之複合式證券,除了債券性質外,內嵌的股票選擇權便屬於美式選擇權。而在本文中,針對內含美式選擇權的公司債評價是使用最小平方蒙地卡羅的數值分析,主要原因在於可轉債本身的條款彈性高,加上可轉債可能涉及之標的資產為兩個以上或狀態變數也可能具有多個維度(dimension)。此外,針對可轉債發行公司本身的信用問題,本文則採用縮減式(reduced-form)模型來處理其違約風險問題。依據A. Takahashi, T. Kobayashi, and N. Nakagawa認為採用結構式(structured-form)的缺點為參數難以校準,並列出下面兩論點認為使用縮減式的優點在於:
    1. 違約事件將可能造成股價跳躍(jump)現象。
    2. 在Duffie and Singleton方法下,資產隨機過程不必設定jump term,仍可設定為擴散過程(diffusion process)。
    至於在利率期間結構方面,雖然Brennan and Schwartz(1980)認為實務上,考量利率的隨機性除了降低評價的效率性之外,與利率設定為常數相比,其差異不大。但針對為何差異不大的原因,本文認為利率對於純粹債券之價值影響為負向關係,而對於股票買權則是正向關係,故使得最後可轉債的影響則不明顯。然而,在目前「可轉債資產交換」等可轉債相關衍生性商品相繼推陳出新之下,使得可轉債的純粹債券與選擇權的個別要素評價也是相當重要。所以本文在利率風險的建構上將使用BGM模型來描述利率的隨機過程。
    Reference: 劉昶輝(2009), “考慮信用風險之可轉債評價研究”, 碩士論文, 國立政治大學金融系
    A. Takahashi, T. Kobayashi, and N. Nakagawa(2001), “Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach.” The Journal of Fixed Income, Volume 11, No. 3, pp. 20-29.
    Duffie and Singleton(1997), “Modeling Term Structures of Defaultable Bonds.” The Review of Financial Studies, Volume 12, Issue 4(1999), 687-720.
    Dmitri Lvov, Ali Bora Yigitbasioglu, and Naoufel El Bachir(2004), “Pricing Convertible Bonds by Simulation.” Working paper.
    D. Brigo and F. Mercurio(2006), “Interest Rate Models: Theory and Practice.” p.26-p.34, Chapter2. Second edition, Springer Verlag.
    E. Ayache, P.A. Forsyth and K.R. Vetzal(2004), “The Valuation of Convertible Bonds With Credit Risk.” The Journal of Derivatives, Volume 1, Issue 1, p9-29.
    John J. McConnell and Eduardo S. Schwartz(1986), “LYON Taming.” The Journal of Finance, Volume XLI, No.3, July.
    K. Tsiveriotis and C. Fernandes(1998), “Valuing Convertible Bonds with Credit Risk.” The Journal of Fixed Income, Vol. 8, No.2, 95-102.
    Longstaff and Schwartz(2001), “Valuing American Options by Simulation: A Simple Least-Squares Approach.” The Review of Financial Studies, Volume 14, No.1, 113-147.
    M. J. Brennan and E. S. Schwartz(1980), “Analyzing Convertible Bonds.” Journal of Financial And Quantitative Analysis, Volume XV, No.4, November.
    Manuel Ammann, Axel Kind, Christian Wilde(2008), “Simulation-based Pricing of Convertilbe bonds.” Journal of Empirical Finance, Volume 15, 310-331
    Simona Svoboda, “Interest rate modeling,” p.214-p.221, Chapter 12.
    Steven E. Shreve, “Stochastic Calculus for Finance II.”
    Description: 碩士
    國立政治大學
    金融研究所
    97352031
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0973520311
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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