結合結構式模型與縮減式模型評價可轉換公司債

A Hybrid Model from Structural Model and Reduced Model for Pricing Convertible Bond

劉育廷

指導教授 ： 戴天時

國立交通大學/管理學院/資訊管理研究所/碩士(2010年)

https://doi.org/10.6842/NCTU.2010.00492

摘要

本文結合了兩種信用風險模型:縮減式模型(reduced model)與結構式模型(structural model)處理評價可轉債信用風險議題。本文用股價和債券價格內生推論結構式模型違約門檻和違約機率，改善了結構式模型外生給定違約門檻以及縮減式模型不考慮公司資產價值和違約機率的關係。另外，本文還考慮了隨機利率模型下，可轉債的評價。讓模型能夠更符合市場的特性。最後會與Chamber and Lu (2007)的結果做比較，並加以解釋與說明。

關鍵字

縮減式模型 ； 結構式模型 ； 可轉換公司債 ； 信用風險

並列摘要

This thesis combines both the reduced model and the structural model for evaluating convertible bond. The model use the stock price and bond price to infer the endogenous default boundary and default probability. This approach alleviates the problem that the boundary given heuristically in the structural model and that the relationship between firm value and default probability is not considered in the reduced model. Besides, this thesis also consider the stochastic interest rate so that our model can calibrate the real world market better. Finally, this thesis would compare and analyze our results with the result provided by Chamber and Lu (2007).

並列關鍵字

reduced model ； structral model ； convertible bond ； credit risk

參考文獻

[1] 曾右仲(2009), “利用三因子樹狀模型評價可轉換公司債”台灣大學財務金融研究所碩士論文

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