可轉換公司債的評價--以久津為例

Pricing Convertible Bonds: The Chou Chin Issuance

張益堅(Yi-Chien Chang)

指導教授 ： 呂育道

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.00894

摘要

這篇論文以久津實業在2002年發行的可轉換債公司債為例，討論可轉債的一些性質。可轉換債券的條約往往十分複雜。我們常視可轉債為一般債券附上可轉換為普通股的選擇權。大多數的可轉換公司債均有買回條款、賣回條款以及重設條款。買回條款使發行者能在特定條件下，買回可轉債；賣回條款使可轉債持有人可將債券賣回給公司；重設條款則允酗F票息、轉換比例和到期日的調整。
在久津的例子中，買回條款的主要效果為強制債券持有人轉換，而轉換價格每半年會重設一次。這篇論文使用蒙地卡羅模擬做為可轉債的定價方式，因此，處理重設條款變得十分簡易。賣回條款是這篇論文主要關注的焦點，我將蒙地卡羅模擬切割為幾個層級以處理之。久津實業在2003年3月6號爆發違約交割，而這篇論文也會討論該事件以及其結果。

關鍵字

蒙地卡羅模擬 ； 可轉換公司債

並列摘要

This thesis discusses the characteristics of convertible bonds (CB's), using an issuance of the Chou Chin Industrial Corporation in year 2002 as an example. The contract of a convertible bond is usually quite complicated. We often look at the CB as a straight bond with an attached option to convert into common stocks. Furthermore, most contracts include the call provisions that the issuing company could buy back the issue under certain circumstances, the put features that the CB holders could sell the bond to the issuing company, and some reset features that allow the adjustments of the coupon rate, the conversion ratio, or the maturity date.
In the Chou Chin’s case, the main effect of the call is to force the holders to convert the bonds into the common stocks. The conversion price is reset every half year. This thesis uses the Monte Carlo simulation to price the CB; therefore, handling the reset feature is straightforward. The put feature is a main concern of this thesis. A multi-layer Monte Carlo simulation is used to handle the put provisions. The Chou Chin common stock trading default event burst on March 6th, 2003, and the thesis will discuss this event and its consequences.

並列關鍵字

Monte Carlo Simulation ； Convertible Bonds

參考文獻

2. Carayannopoulos, Peter and Madhu Kalimipalli, 2003. “Convertible Bond Prices and Inherent Biases,” Journal of Fixed Income 13(3), 64-73.

3. Duffie, Darrell and Kenneth J. Singleton, 1999. “Modeling Term Structures of Defaultable Bonds.” Review of Financial Studies, Vol. 12, 687-720.

4. Ingersoll, Jonathan E., Jr. 1977a. “A Contingent-Claims Valuation of Convertible Securities,” Journal of Financial Economics 4, 289-321.

5. Ingersoll, Jonathan E., Jr. 1977b. “An Examination of Corporate Call Policies on Convertible Securities,” Journal of Finance 32, 463-478.

6. Jaffee, Dwight and Andrei Shleifer, 1990. “Cost of Financial Distress, Delayed Calls of Convertible Bonds, and the Role of Investment Banks,” Journal of Business 63, S107-S124.