公司債結構式模型實證

An Empirical Analysis of Structural Models for Corporate Bond Pricing

林易辰(Yi-Chen Lin)

指導教授 ： 王之彥

國立臺灣大學/管理學院/國際企業學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.02395

摘要

Chang (2012) 指出，在Collin-Dufresne and Goldstein (2001) 公司債定價模型的基礎上，再加入Amin (1993) 之跳躍擴散樹狀模型之後，可解決現有結構式模型容易低估信用價差 (Credit Spread) 的先天缺陷，同時在採用回溯推算過程之下，此模型甚至可計算如可贖回債券 (callable bond)、信用違約交換 (Credit Default Swap) 等其他金融商品。而本研究針對其模型計算公司債之部分，與另外五個具代表性之結構式定價模型進行實證分析與比較，其包含：Merton (1974)、Geske (1977)、Longstaff and Schwartz (1995)、Leland and Toft (1996)、以及Collin-Dufresne and Goldstein (2001)。
資料方面，本研究選出數張符合模型設定標準，於2002至2007年於美國發行之純含息債券作為實證樣本，並與評價日之市價隱含信用價差進行比較。
全文內容主要以跳躍擴散樹狀模型及其他結構式模型之建構為主，其中包含前人文獻之細節回顧與模型參數之估計方式等。次之，則以實證資料之計算結果作為搭配，以驗證此跳躍擴散樹狀模型對於過去結構式模型缺陷之改良程度。

關鍵字

結構式模型 ； 對數槓桿比 ； 隨機利率 ； 跳躍擴散 ； 回溯推算過程 ； 實證分析

並列摘要

This thesis conducts an empirical analysis for corporate bond prices and their credit spreads with several classical structural models. Following Eom, Helwege, and Huang (2004), I examine the models of Merton (1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin-Dufresne and Goldstein (2001). Moreover, according to Chang (2012), the underestimation of the credit spread based on Collin-Dufresne and Goldstein’s (2001) stationary leverage structural model can be resolved by incorporating the jump process into their stationary leverage stochastic process. Therefore, this thesis also examines this new structural model based on the stationary leverage ratio with jumps. Following the criteria proposed in Eom, Helwege, and Huang (2004) to screen corporate bonds, I obtain several corporate bonds issued between 2002 and 2007 in the U.S. as the study sample to investigate the performance of the above-mentioned six structural models for evaluating the bond prices and their credit spreads.

並列關鍵字

Structural Model ； Leverage Ratio ； Stochastic Interest Rate ； Jump Diffusion ； Lattice Model ； Corporate Bond Price ； Credit Spread

參考文獻

Amin, K. I. (1993). “Jump Diffusion Option Valuation in Discrete Time,” Journal of Finance, Vol. 48, No.5, pp.1833–1863.

Black, F. and J. C. Cox (1976). “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, Vol. 31, No. 2, pp. 351–367.

Black, F. and M. Scholes (1973). “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, No. 3, pp. 637–659.

Collin-Dufresne, P. and R. S. Goldstein (2001). “Do Credit Spreads Reflect Stationary Leverage Ratios,” Journal of Finance, Vol. 56, No. 5, pp. 1929–1957.

Dai, T. S. (2009). “Efficient Option Pricing on Stocks Paying Discrete or Path-Dependent Dividends with the Stair Tree,' Quantitative Finance, Vol. 9, No. 7, pp. 827–838.