Please use this identifier to cite or link to this item:
標題: The Valuation and Comparison of Default Probability in the Taiwan Market-Use Multi-Period Structural and Reduced-Form Credit Risk Model
作者: 蔡濰年
Tsai, Wei-Nian
關鍵字: default probability;違約機率;credit rating;structural model;reduced-form model;信用評等;結構式模型;縮減式模型
出版社: 財務金融系所
引用: 洪銘澤, 2003,“The EDF Predictability of LT and KMV Model,”,元智大學財務金融所碩士論文。 陳添源, 2007,“多期結構式與縮減式信用風險模型之實證-以台灣市場為例,”,中興大學財務金融所碩士論文。 黃耀軍, 2006,“Deriving Recovery Rate and Default Point:Reconciliation of Structural and Intensity Models,”,中正大學財務金融所碩士論文。 詹景翔, 2008,“以效率數值方法驗證信用風險模型之研究,”,中興大學財務金融所碩士論文。 劉維中, 2006,“結構性信用風險模型之實證,”,中興大學財務金融所碩士論文。 賴怡安, 2009,“債務違約機率之評估與CDS定價-台灣公司債市場之模擬,”,臺灣大學國際企業所碩士論文。 Acharya, Viral V & Carpenter, Jennifer, 2002. "Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy," CEPR Discussion Papers 3328, C.E.P.R. Discussion Papers. Arora, N., J.R. Bohn and F. Zhu, 2005, “Reduced Form VS. Structural Models of Credit Risk: A Case Study of Three Models,” Journal of Investment Management, Vol. 3, No. 4, pp. 43-67. Black, F. and J. Cox, 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, Vol. 31, No.2, pp. 351-367. Black, F. and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, Vol. 81, No. 3, pp. 637-654. Chen, R.R., 2003, “The Extended Geske-Johnson Model and Its Consistency with Reduced Form Models,” Working paper. Chen, R.R. and S.K. Yeh, 2006, “Pricing Credit Default Swaps with the Extended Geske-Johnson Model,” Working paper. Chen, R.R., S.Y. Hu and G.G. Pan, 2006, “Default Prediction of Various Structural Models, ” Working paper. Collin-Dufresne, P. and R. S. Goldstein, 2001, “Do Credit Spreads Reflect Stationary Leverage Ratios?,” Journal of Finance, Vol. 56, No. 5, pp. 1929-57. Duffie, D., 1999, “Credit Swap Valuation,” Financial Analysts Journal, Vol. 55, pp. 73-87. Duffie, D. and J. Liu, 1999, “Floating-Fixed Credit Spreads,” Journal of Financial Analysts, Vol. 57, No. 3, pp. 76-87. Duffie, D., and K. Singleton, 1997, “An Econometric Model of the Term Structure of Interest Rate Swap Yields,” Journal of Finance, 52, 1287–1321. Duffie, D. and K. Singleton, 1999, “Modeling Term Structures of Defaultable Bonds,” Review of Financial Studies, Vol. 12, No. 4, pp. 687-720. Elizalde, A., 2005, “Credit Default Swap Valuation: An Application to Spanish Firms,” CEMFI and UPNA, Working paper. Eom, Y.H., J. Helwege and J.Z. Huang, 2003, “Structural Models of Corporate Bond Pricing: An Empirical Analysis,” Working paper. Geske, R., 1977, “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis, Vol. 12, No. 4, pp. 541-552. Geske, R., 1979, “The Valuation of Compound Options,” Journal of Financial Economics, Vol. 7, No. 1, pp. 63-82. Geske, R. and H. Johnson, 1984, “The Valuation of Corporate Liabilities as Compound Options: A Correction,” Journal of Financial and Quantitative Analysis, Vol. 19, No. 2, pp. 231-232. Hull, J. and A. White, 2000, “Valuing Credit Default Swaps I: No Counterparty Default Risk,” Journal of Derivatives, Vol. 8 , No. 1, pp. 29-40. Hull, J. and A. White, 2001, “Valuing Credit Default Swaps II: Modeling Default Correlations,” Journal of Derivatives, Vol. 8 , No. 3, pp. 12-22. Jarrow, R.A. and S. Turnbull, 1995, “Pricing derivatives on financial securities subject to credit risk,” Journal of Finance, Vol. 50, No. 1, pp. 53-85. Jarrow, R.A. and P. Protter, 2004, ”Structural Versus Reduced Form Models: A New Information Based Perspective,” Journal of Investment Management, Vol. 2, No. 2, pp. 1-10. Kijima, M., 1998, “A Markov Chain Model for Valuing Credit Derivatives,” Journal of Derivatives, 6, No. 1, pp. 97-108. Kim, Ramaswamy and Sundaresan, “Does Default Risk in Coupons Affect the Valuation of Corporate Bonds: A Contingent Claims Model,” Financial Management, 117-131, 1993. Leland, H.E., 2002, ”Predictions of Expected Default Frequencies in Structural Models of Debt,” Working paper. Leland, H.E. and K. B. Toft, 1996, “Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,” Journal of Finance, Vol. 51, No. 3, pp. 987-1019. Longstaff, F.A. and E. Schwartz, 1995, “Valuing Risky Debt: A New Approach,” Journal of Finance, Vol. 50, No. 3, pp. 789-819. Longstaff, F.A., S. Mithal and E. Neis, 2003, “The credit-default swap market: Is Credit Protection Priced Correctly? ,” Working paper. Merton, R.C., 1974, “On the Pricing of Corporate Debt:The Risk Structure of Interest Rates,” Journal of Finance, Vol.29, No.2, 449-470. Nelder, J.A. and Mead. R., 1965, “A Simplex Method for Function Minimization,” Computer Journal, Vol.7, 308-313. Vasicek, O., 1977, “An Equilibrium Characterization of the Term Structure,” Journal of Financial Economics, Vol. 5, No. 2, pp. 177-188.
Regarding to the global financial market blooming, derivative market starts getting multi-diversified. Since 2002, derivative products were able to trade in Taiwan; financial institutional investors could reduce the credit risk via the derivatives products in order to achieve the goal of risk management. Default risk is the risk that counter-party、taker or bond issuer have the probability to default, it becomes to the key element in the valuation and this study is focus on how to evaluate the probability of default .
The main goal of this study is to use different credit risk models to estimate the default probabilities of the Taiwan TSEC-listed companies. We use the structural and reduced-form model to do the valuation and comparison of the default probabilities of the Taiwan TSEC-listed companies that issued corporate bond and had the same rating of the Taiwan Ratings. We also estimate the default probabilities of companies which have different ratings that are provided from the Taiwan Ratings. It is found that the function of default probability from both model is an increasing convex function. Besides, empirical results are consistent with the ratings of the Taiwan Ratings. Consequently, the company has the higher rating will have the lower default probability.

而本研究主要利用不同的信用風險模型來推估台灣上市公司的違約機率,分別使用結構式模型(Structural Model),以及縮減式模型(Reduced-Form Model),針對台灣有發行普通公司債的上市櫃公司且同時具有相同信用評等的公司,進行違約機率的估計與比較。同時,也根據中華信用評等所提供的等級資料,再次進行不同信用評等公司違約機率的估計與比較。其實證結果發現,使用兩信用風險模型所推估出來的累積違約機率與時間函數,皆呈現遞增的凸函數。此外,本研究實證之結果與中華信用評等相符合,具有較高中華信用評等的公司,將會具有較低的違約機率。
其他識別: U0005-2107201016594700
Appears in Collections:財務金融學系所

Show full item record

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.