一般化信用風險模式之研究---隨機負債下選擇權架構之應用

A Study on Generalized Credit Risk Model---A Framework of Option Pricing Model with Stochastic Debt

朱燦漳(Tsan-Chang Chu)

指導教授 ： 林筠 ； 陳勝源

國立臺灣大學/管理學院/財務金融學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.00376

摘要

本論文為首篇同時鬆綁Merton (1974)提出的以買權評價信用風險模型中之兩個假設：倒帳只在負債到期發生以及負債金額為固定，推導出隨機履約價格之向下觸及失效買權模式之違約機率。由於在實務上，公司的破產過程應該是路徑相依而不是只在負債到期日才發生，另一方面，公司的負債金額應隨著時間而變動而不應視為固定，因此本論文提供一個更實際且一般化的公司違約機率估計模型。

本論文亦探討模型中之各變數對公司破產機率的影響，並使用COMPUSTAT以及CRSP之資料作美國公司之破產機率實證研究。實證結果顯示本模型所推導之破產機率於公司發生財務危機前六季開始，有逐漸上升的趨勢。

關鍵字

隨機負債 ； 向下觸及失效買權 ； 障礙選擇權 ； 信用風險 ； 破產機率 ； 倒帳機率

並列摘要

This is the first study on proposing a framework for corporate credit risk based on stochastic and path-dependent barrier options. The main contribution of this study is deducing a more realistic estimate for corporate default probability by releasing two assumptions made by the standard call option model. Two important factors ignored by the standard call option model are the possibility of default before debt maturity and the stochastic process of debt. Actually, a firm may go bankruptcy at any point in time before debt matures, and its debt value should follow a stochastic process such as the Geometric Brownian motion. If assets value falls below debt value at any time before maturity, corporate equity should be knocked out by bankruptcy.

The sensitivity analysis presents rational results about how variables affect default probabilities. In addition to the sensitivity analysis, we use empirical data from the COMPUSTAT and CRSP databases to compute the default probabilities of inactive firms, and our model provides a more realistic alternative for estimating a firm’s risk of default.

並列關鍵字

Stochastic Debt ； Down-and-out Call Options ； Barrier Options ； Credit Risk ； Default Probability

參考文獻

Altman, Edward I., 1968, “Financial ratios, discriminant analysis and the prediction of corporate bankruptcy,” Journal of Finance 23, 589–609.

Altman, Edward I., 1989, “Measuring corporate bond mortality and performance,” Journal of Finance, Vol. 44, 909–922.

Begley, J., J. Ming, and S. Watts, 1996, “Bankruptcy classification errors in the 1980’s: An empirical analysis of Altman’s and Ohlson’s models,” Review of Accounting Studies 1, 267–284.

Black, F and M. Scholes, 1973, “On the pricing of options and corporate liabilities,” Journal of Political Economy, Vol. 81, 637–654.

Brockman, Paul and H. J. Turtle, 2003, “A barrier option framework for corporate security valuation,” Journal of Financial Economics, pp 511–529.