隨機利率模型下內生違約條件公司債之評價

Acharya (2002)在內生決定最佳違約時間及贖回時間，分別分析具有違約風險的債券(defaultable bond)、可贖回債券(callable bond)等的價格與市場其他參數(如公司資產價格與利率)的關係，本文將延伸Acharya (2002)所未分析到對債權人有保護作用的可賣回債券(putable bond)與可轉換債券(convertible bond)等公司債，再與Acharya (2002)提出的公司債做組合討論具有違約風險的可轉換債券(defaultable -convertible bond)等，本文將這些公司債視為無風險債券(host bond)與美式選擇權的組成，並以數學推導證明公司債的特性，再以陳博 (2009) 所提出的三維度立體樹狀結構評價模型DFPM-WHT數值評價方法為基礎，驗證各種公司債的性質，進而討論對債權人保護的問題。

關鍵字

信用風險；隨機利率；結構式模型；內生違約門檻；公司債；債權人保護

並列摘要

Acharya (2002) analyzes the evaluation of corporate bond with defaultable and callable features when interest rates and firm value are stochastic. This thesis analyzes the sensitivity characteristics of putable bond and convertible bonds. By combining the results of Acharya (2002), we can analyze the corporate bond with multiple features, says callable-convertible bond. We also use a numerical method DFPM–WHT, to verify the analytical properties of corporate bonds proved in this thesis. Besides, we find that the payment rule greatly influence the right of bond holders, and use our numerical model to analyze the bondholder protection problem.

並列關鍵字

Credit Risk ； Stochastic Interest Rate ； Structure Model ； Endogenous Bankruptcy ； Corporate Bond ； Bondholder Protection

參考文獻

[3] 陳博宇, “在Hull-White隨機利率下信用風險之衡量—運用創新的數值方法DFPM-HWT”,國立交通大學,碩士論文,民國98年。

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

[2] Black, F., and Cox, J.C., “Valuing Corporate Securities：Some Effects of Bond Indenture provisions,” Journal of Finance, 31, 361-367, 1976

[5] Dai, T.S., and Lyuu, Y.D., “The Bino-Trinomial Tree：a Simple Model for Efficient and Accurate Option Pricing.”, Journal of Derivatives, 17,7-24, 2010.

[6] Hull, J., Options, Futures, and Other Derivatives 6Th. Englewood Cliffs, NJ Prentice-Hall, 2006.

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隨機利率模型下內生違約條件公司債之評價

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