不確定性趨避及Merton違約距離模型

Uncertainty Aversion and the Merton Distance to Default Model

陳韋菱(Wei-ling Chen)

指導教授 ： 索樂晴

國立清華大學/科技管理學院/計量財務金融系/碩士(2012年)

https://doi.org/10.6843/NTHU.2012.00465

摘要

There are several measures to compute the default risk. We use Naïve model which is proposed by Bharath and Shumway (2008) as the basic formula. Here, we consider the investor’s uncertainty about the firm value called uncertainty change their evaluation of the equity. We expected the model added Consumer Confidence Index (CCI) to measure the uncertainty of investor is slightly accurate to predict default risk. Cox proportional hazard model is adopted to fit the conditional situation. CDS spread is the pattern to gauge how close our estimated values are. Under the above two methodologies, CCI could be an effective variable to measure default probability and added into default probability formula.

關鍵字

Merton distance to default ； ambiguity aversion ； Consumer Confidence Index ； hazard model

並列摘要

There are several measures to compute the default risk. We use Naïve model which is proposed by Bharath and Shumway (2008) as the basic formula. Here, we consider the investor’s uncertainty about the firm value called uncertainty change their evaluation of the equity. We expected the model added Consumer Confidence Index (CCI) to measure the uncertainty of investor is slightly accurate to predict default risk. Cox proportional hazard model is adopted to fit the conditional situation. CDS spread is the pattern to gauge how close our estimated values are. Under the above two methodologies, CCI could be an effective variable to measure default probability and added into default probability formula.

並列關鍵字

Merton distance to default ； ambiguity aversion ； Consumer Confidence Index ； hazard model

參考文獻

Ait-Sahalia, Y., & Brandt, M. W. (2001). Variable Selection for Portfolio Choice. Journal of Finance, 56(4), 1297-1351.

Berndt, A., Douglas, R., Duffie, D., Ferguson, M., & Schranz, D. (2005). Measuring Default Risk Premia from Default Swap Rates and EDFs. Working Paper, Stanford University.

Black, F., & Scholes, M. (1974). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-645.

Bharath, S., & Shumay, T. (2008). Forecasting Default with the Merton Distance to Default Model. Review of Financial Studies, 21(3), 1339-1369.

Buraschi, A., & Jiltsov, A. (2007). Model Uncertainty and Option Markets with Heterogeneous Beliefs. Journal of Finance, 61(6), 2841-2897.