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標題: 應用多期Geske信用風險模型評價與分析可轉換公司債
Pricing Convertible Bond with Multi-period Geske Credit Risk Model
作者: 辜蘭懿
Ku, Lan-I
關鍵字: 可轉換公司債
Convertible Bond
Stock Options
Credit Risk
Geske Structural Model
出版社: 財務金融系所
引用: 中文文獻: 吳儀玲(1993),可轉換公司債發行公司之特徵探討,國立臺灣大學財務金融學系碩 士論文。 王彧疆(2000),我國上市公司發行可轉換公司債之研究,政治大學企業管理系碩士 論文。 程國榮(2000),以Hull and White利率模型評價可轉換公司債,國立高雄第一科技 大學金融營運研究所,碩士論文。 林綾怡(2001),可轉換公司債價格行為探討,大華債券期刊第六期:37 ~49。 吳君誠 (2001),上市公司融資選擇與股價關聯性之研究(2001),國立政治大學企業 管理學系博士論文。 柯錫安 (2001),信用風險下可轉換公司債之評價,中央大學財務金融研究所,碩士 論文。 曹育欣(2003),證券選擇與可轉換公司債發行宣告效果之研究,國立中山大學企業 管理學系研究所,碩士論文。 鍾惠民、廖萬意(2009),以個案研究探討企業發行可轉換公司債之決策,國立交通 大學財務金融學系碩士論文。 葉仕國、葉宗穎、朱漢興 (2010), 雙變數二元樹之股價選擇權評價模型。 英文文獻: Altman, E., 1968, ”Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankrupcy,” Journal of Finance, Vol.22, pp.589-609. Altman, E., R. Haldeman, and P. Narayanan, 1977, “ZETA Analysis : A New Model to Identify Bankrupcy Risk of Corporations,” Journal of Banking and Finance, Vol.1, pp.29-54. Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, 637-59. Brennan, M.J. and E.S. Schwartz, 1977, “Convertible bonds: Valuation and optimal strategies for call and conversion,” Journal of Finance, Vol.32, 1699-1715. Brennan, M.J. and E.S. Schwartz, 1980, “Analyzing convertible bonds,” Journal of Financial and Quantitative Analysis, Vol.15, 907-929. Chen, R.R, Hsuan-Chu Lin, and Shih-Kuo Yeh, 2009, “A Liquidity Index,”Working paper. Chen, R.R. and S.K. Yeh, 2006, “Pricing Credit Default Swaps with the Extended Geske-Johnson Model,” Working paper. Cox, J., Ross, S. and Rubinstein, M., 1979, “Option Pricing: A Simplified Approach,” The Journal of Financial Economics, Vol. 7, 229-263. Geske, R., 1977, “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, 541­552. Hung, M.W. and J.Y. Wang, 2002, "Pricing Convertible Bond Subject to Default Risk,” Journal of derivative, 75-87. Jensen, M. C. and J. B. Warner, 1988, “The Distribution of Power Among Corporate Managers, Shareholders, and Directs,” Journal of Financial and Economics 20,.3-24. Lewis, Rogalski, and Seward (1998),Understanding The Design of the Convertible Debt,Journal of Applied Corporate Finance,Vol.11,41-53。 McConnell, J.J. and E.S. Schwartz, 1986, “LYON Taming,” Journal of Finance, Vol.41, 561-577. Merton, R. C., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, Vol. 29, 449-470. Tan, Z. and Y. Cai, 2007, “Risk Equilibrium Binomial Model for Convertible Bonds Pricing,” South West University of Finance and Economics Vasicek, O., 1977, “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, No. 2, 177-188.
摘要: 可轉換公司債(Convertible Corporate Bond, 簡稱CB)是一種普通公司債連結股票選擇權的金融商品,相較於公司債或是股票都較具彈性,近年來已經成為國內企業主要融資工具之一。在文獻上雖有很多可轉換公司債的訂價方法,但大多數模型卻皆未將公司的信用風險納入考量,實屬不合理,故本文使用Chen and Yeh (2006) 修正後的多期Geske結構式信用風險模型為基礎,此模型是以公司本身之資產價值為主要變數的結構式信用風險模型,此模型除了可以計算多期負債結構下的違約機率,亦可求算出各期的公司權益價值。本文主要針對2010年6月22 日至2011年6月22日在市場流通並尚未到期的可轉換公司債,若為此段期間內上市的可轉債,則研究期間只回推至上市日為止,再應用Geske信用風險模型去計算可轉債的理論價格再與市場價格去做比較,以期找出公司負債結構及其信用風險對可轉債價格之影響。
Comparing with corporate bonds or stocks, convertible bond, the financial product linked by corporate bonds and stock options is more flexible. Convertible bond has become the main financing tool of domestic corporate in recent years. Although there are many pricing methods about convertible bonds in the literature, but most of models not consider the company''s credit risk, it is unreasonable. Therefore we use the Chen and Yeh (2006) correction of Geske structural model, based on the value of the corporate assets which is the main variable. This model can calculate not only the probability of default under the liability structure, but also equity of corporate in every period. In this paper we select outstanding convertible bonds which not expired for June 22, 2010 to June 22, 2011. In according with the selecting, we use Geske model to calculate the theoretical price of the convertible bonds and then we will use the calculation to compare with market price. Finally, we will find out the effect on convertible bond pirce under company''s debt structure and credit risk.
其他識別: U0005-2907201216571300
Appears in Collections:財務金融學系所



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