考慮信用風險之可轉換公司債二因子樹狀評價模型

Two-Factor Tree Model for Pricing Convertible Bonds with Default Risk

郭翔宇(Hsiang-Yu Kuo)

指導教授 ： 李存修

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.01142

摘要

本篇研究試圖改進Donald R Chambers & Qin Lu (2007)所發表之可轉換公司債評價模型，其利用結合CRR股價模型以及Ho-Lee利率模型，並以Jarrow and Turnbull (1995)提出之方法考慮信用風險，最後加入股價和利率的相關係數，建出二因子樹狀評價模型。本模型為考慮股價與違約機率之關係，再加入Takahashi, Kobayashi, and Nakagawa (2001) 所利用之股價與違約密度關係式，進一步建立更貼切實際之模型。另外對假設之參數作敏感度分析，觀察各參數對可轉換公司債價格造成之影響，最後利用2006年國內發行之可轉換公司債之發行價格進行實證，得出之誤差較李存修(2006)縮小。

關鍵字

可轉換公司債 ； 信用風險

並列摘要

Our research tries to improve the convertible bond pricing model proposed by Donald R Chambers & Qin Lu (2007). They considered equity and interest rate risk using the Cox-Ross-Rubinstein (CRR) equity tree and Ho-Lee interest rate tree, and also modeled default risk in the manner of Jarrow and Turnbull (1995). They finally combined the equity tree and interest tree tree by taking their correlation into account and therefore constructed a two-factor multinomial tree model. We extend their model to account for the empirical relationship between equity price and default intensity. The intensity function introduced by Takahashi, Kobayashi, and Nakagawa (2001) is applied in our framework to match this fact. We further provide sensitivity analyses on how the assumed parameters affect the valuation of convertible bonds. At last, we use the model to price the convertible bonds issued in Taiwan market in 2006. Comparing the results with Lee (2006), we moderately reduced the relative error from 0.2115 to 0.1779.

並列關鍵字

convertible bonds ； credit risk

參考文獻

2. 余冠廷(2007)，”偏度、峰度及信用風險考量下之轉換公司債訂價研究”， 台灣大學財務金融研究所碩士論文

5. 葉隆賢(2004)，”轉換債重設條款之評價”，台灣大學財務金融研究所碩士論文。

15. Jarrow, R. A., D. Lando and S. M. Turnbull (1997)” A Markov model for the term structure of credit risk spreads.” Review of Financial Studies Vol.10 No. 2 pp.481-523

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