提前違約風險下專案融資之評價模式

The Project Financing Model with Default Risk in Pre-breaking Contract

林達榮(Tyrone T. Lin) ； 林安城(An-Cheng Lin)

《風險管理學報》 6卷1期 (2004/03) Pp. 57-83

https://doi.org/10.30003/JRM.200403.0003

摘要

本文旨在衡量專案融資時，利用公司價值模型評估其信用風險，即時反應公司違約可能情形之模式進行探討。全文以Freydefont（2001）模型為基礎，結合Jarrow and Turnbull（1995）離散模型，在考量利率風險條件下，允許到期日前違約情形發生所衍生較符合實際之專案融資擴展模式。另外，針對到期前發生違約可能性和依附於專案資產變化的回復率特性，進行專案融資負債等相關衍生性金融商品評價之探討，其結果與Stoll（1969）導出買權賣權等價理論相符，故可藉此過程協助投資人於專案融資特性之債券投資時，進行避險策略執行或其他選擇權交易策略規劃之參考依據。

關鍵字

專案融資 ； 信用風險 ； 提前違約 ； 回復率 ； 等價理論

並列摘要

This paper is intended as to evaluate credit risk in project financing by firm valuation model and considers the condition of default before maturity so as to response the probability of default. Following the model introduced by Freydefont (2001), how to create the standard approach to assess credit risk under priority of cash-flower to repay. We also take account into the discrete model proposed by Jarrow and Turnbull (1995), which considers the additional condition with interest risk of default before maturity. The proposed model extends these two models for more reality and used of the characteristic of the model of Jarrow and Turnbull (1995) to assess the derivative financial products. The process of the proposed model assessing the derivative financial products is consistent with the Put-Call parity proposed by Stoll (1969). Therefore, it can help investors to plan their hedging position on their portfolio of the bonds under priority of cash-flower to repay.

並列關鍵字

Project Financing ； Credit Risk ； Pre-breaking Contract ； Recovery Rates ； Put-call Parity

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