可贖回公司債之評價

摘要信用風險的研究是以普通公司債之評價為根本，既而發展出各式各樣有關信用風險商品的評價方法。現今越來越多的公司發行包括選擇權的普通公司債來籌資，因此，評價這些包括選擇權的普通公司債變得重要。可贖回公司債是普通公司債內含贖回權，因此評價可贖回公司債除了違約的因素要考慮之外，必須加入贖回的因素。本文以縮減式模型評價可贖回公司債，且提出除了信用風險會影響可贖回公司債的價格，流動性風險也是影響可贖回公司債價格的重要因素。因此將流動性的調整加入可贖回公司債的評價模型中，推導出包括流動性的可贖回公司債評價模型，並且將模型推廣至可賣回公司債的評價。實證結果顯示加入流動性調整的模型算出的價格比未加入流動性的模型算出的價格接近市場價格。未來的課題，在於我們對流動性風險在有違約風險債券的形式與影響，還未有定論，因此，需要更多的實證資料與理論來明確的說明流動性風險與信用風險的關係以及此兩種風險對信用風險相關商品價格的影響。

關鍵字

信用風險；可贖回債券；公司債

並列摘要

Abstract The research related to credit risk is based on the pricing of corporate bonds, and then developed pricing methods about all kinds of credit derivatives. Recently, there are more and more corporations funding by issuing corporate bonds with embedded options. Therefore, it is important to valuing those corporate bonds with embedded options. Callable defaultable bonds can be viewed as straight bonds with call provision. So, when we are valuing callable defaultable bonds, we have to consider both default factors and call factors. We use reduced form model to price callable defaultable bonds. And then, we mention that credit risk and liquidity risk both have great influence on the price of callable deafultable bonds. Therefore, we add liquidity adjustments into the pricing model of callable defaultable bonds. We find out the pricing model of callable defaultable bonds with liquidity, and develop the pricing model of putable deafultable bonds with liquidity. Empirical results show that the model with liquidity is better than the model without liquidity. We have not found out that how liquidity risk could affect defaultable bonds and to what extent. In the end, we need more empirical studies and theories about the field to tell us the relationship between liquidity risk and credit risk.

並列關鍵字

Corporate bonds ； Credit risk ； Callable bonds

參考文獻

Acharya, V.V., and J.N. Carpenter, 2002, “Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy,” Review of Financial Studies, 15, 1355-1383

Black, F., and J.C. Cox, 1976, “Valuing Corporate Securities：Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, 351-367

Chakravarty, S., and A. Sarkar, 1999, “Liquidity in U.S. Fixed Income Markets：A Comparison of the Bid-Ask Spread in Corporate、 Government and Municipal Bond Markets,” Working Paper, Federal Reserve Bank of New York

Collin-Dufresne, P., R. Goldstein, and S. Martin, 2001, “The Determinants of Credit Spread Changes,” Journal of Finance, 56, 2177-2207

Cox, J.C., J.E. Ingersoll, Jr., and S.A. Ross, 1985, “A Theory of the Term Structure of Interest Rates,” Econometrica, 53, 385-407

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可贖回公司債之評價

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