權益違約交換之評價

Valuation of Equity Default Swaps

呂昊穎(Hao-Ying Lu)

指導教授 ： 岳夢蘭 ； 陳建中

國立中央大學/管理學院/財務金融學系/碩士(2007年)

摘要

信用型衍生性商品的交易量在全球市場中快速的提升，這些商品的出現提供了管理信用風險之方法以及提升信用風險的交易量。權益違約交換即是其中一種信用型衍生性商品，首次於2004年在美國推出。
此篇論文以信用型衍生性商品的角度出發，介紹評價權益違約交換的方法。評價所需之參數乃應用最大概似估計法來估計，透過Duan(1994)所提出之參數估計方法，可以克服公司資產無法直接觀察的問題。
此篇論文計算出以某些公司為標的之權益違約交換價差，並且分析會影響權益違約交換價差之相關因子。參數估計所選取之股價資料期間會顯著影響權益違約交換之價差。

關鍵字

信用型衍生性商品 ； 權益違約交換 ； 結構法

並列摘要

Credit derivatives are rapidly growing in volumes over the global market. These instruments provide a solution to manage the credit risk and increase the liquidity of trading in credit risk. Equity default swap (EDS) is one of the credit derivatives which was first introduced in America in 2004.
This paper introduces a pricing method for equity default swap. By Merton (1974) model, we consider EDS as a kind of credit derivatives. Moreover, a maximum-likelihood estimation method is applied to estimate the parameters required for pricing. The problem of unobservable firm asset value data is overcome by a method introduced by Duan (1994) and the technique of changing variables.
This paper calculates the EDS spreads with some reference firms. Some of the factors which may affect EDS spread are analyzed. The EDS spreads are sensitive to the stock price data we selected for estimation.

並列關鍵字

Credit derivatives ； EDS ； Structural approach

參考文獻

Black, F., and M. S. Scholes, 1973. “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy. 7:637-54.

Black, F., Cox, J.C., 1976. “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Financial. 31:351-367

Briys, E., and F. de Varenne, 1997. “Valuing Risky Fixed rate Debt: An Extension,” Journal of Financial and Quantitative Analysis. 32:239-248.

Duan, J.-C., 1994, “Maximum likelihood estimation using price data of the derivative contract,” Mathematical Finance 4:155-67.

Duffie, D., and K. Singleton, 1997. An Econometric Model of the Term Structure of Interest Rate Swap Yields, Journal of Finance. 52(4):1287–1321.