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題名 考量信用風險下之海外可轉債評價
Pricing Euro-Convertible Bonds with Credit Risk作者 吳岱恩
Wu, Tai En貢獻者 廖四郎
Liao, Szu Lang
吳岱恩
Wu, Tai En關鍵詞 海外可轉債
跳躍過程
信用風險
二項樹
最小平方蒙地卡羅法
CIR利率模型
Euro-convertible bond
jump-diffusion process
credit risk
binomial tree
least squares Monte Carlo simulation
CIR interest model日期 2016 上傳時間 1-Jul-2016 15:00:22 (UTC+8) 摘要 鑒於近年全球海外可轉換公司債發行檔數大增，然而以此商品為研究主題的文獻並不多，於是決定以此為研究目標。 影響海外可轉換公司債的價格因素包括股票價格、匯率、國內利率、國外利率和發行公司的違約機率，因此可買回、可賣回海外可轉換公司債是一個複雜的商品，而評價也較為困難。本文採用三維度二項樹和最小平方蒙地卡羅法建立評價海外可轉債的數值模型。為了更貼近真實世界，本文考量各變數間相關性和動態信用風險；另外，為了使評價更為精準，於股價過程中加入跳躍過程。 本文將模型運用至兩檔台灣公司所發行的海外可轉債，發現理論價格傾向於高估，但是理論價格與市價極為接近，尤其當以最小平方蒙地卡羅法評價時。另外本文也針對發行條件和模型中各個變數作敏感度分析，其中重要的是發現股票波動度、股票與匯率間相關係數在海外可轉債評價中扮演重要的角色。
The number of Euro-convertible bonds issued has highly increased in the early 2010s. However, the related literature is barely found. This paper studies the pricing models of this investment product. Euro-convertible bonds are complex instruments affected by the credit risk of the issuers, the dynamic process of stock prices, the term structure of the interest rate and the movement of the exchange rate in the same time. Accordingly, building the ECB pricing model is a hard work. This paper presents a model considering the dynamic credit risk and jump in stock price process to make valuation more precise. Another advantage of models in this paper is use of stochastic interest rates for both local and foreign so as to make the model more staying with the real world. The other advantage is taking the correlation between each random variables into account. For pricing the Euro-convertible bonds, the numerical methodologies used in this paper are three-dimension binomial tree and least squares Monte Carlo approach. For purpose of assessing the performance of the model, two Euro-convertible bonds issued by Taiwan companies are chosen as samples and the difference between the theoretical price and market price during its issue period are provided. The results demonstrate that in spite of pretty slight overestimation, the least squares Monte Carlo simulation does a better job. In addition, this paper performs several kinds of sensitivity analysis to have in-depth understanding about the models. The consequence shows that the volatility of a stock return and the correlation between stock and exchange rate play a central role in ECB valuations.參考文獻 Black, F., and M. Scholes. (1973). "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81(3), 637-654. Brennan, M. J., and E. S. Schwartz. (1977). "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," The Journal of Finance, 32(5), 1699-1715. doi:10.2307/2326820Brennan, M. J., and E. S. Schwartz. (1980). "Analyzing Convertible Bonds," The Journal of Financial and Quantitative Analysis, 15(4), 907-929. doi:10.2307/2330567Chang, S. T. (2003). "海外可轉換公司債的評價-考慮平均重設條款、信用風險及利率期間結構," (Master), National Cheng-Chi University, Taipei, Taiwan. Cox, J. C., S. A. Ross, and M. Rubinstein. (1979). "Option Pricing: A Simplified Approach," Journal of Financial Economics, 7(3), 229-263. doi:10.1016/0304-405X(79)90015-1Davis, M., and F. R. Lischka. (1999). "Convertible Bonds with Market Risk and Credit Risk," Ams Ip Studies In Advanced Mathematics, 26, 45-58. Duffee, G. R. (1999). "Estimating the Price of Default Risk," The Review of Financial Studies, 12(1), 197-226. Duffie, D., and D. Lando. (2001). "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, 69(3), 633-664. doi:10.1111/1468-0262.00208Duffie, D., and K. J. Singleton. (1999). "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12(4), 687-720. doi:10.1093/rfs/12.4.687Hanson, F. B., and J. J. Westman. (2002). "Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes (corrected)." Ingersoll, J. E. (1977). "A Contingent-Claims Valuation of Convertible Securities," Journal of Financial Economics, 4(3), 289-321. doi:10.1016/0304-405X(77)90004-6Jarrow, R. A., and S. M. Turnbull. (1995). "Pricing Derivatives on Financial Securities Subject to Credit Risk," The Journal of Finance, 50(1), 53-85. doi:10.2307/2329239Jennergren, L. P., and B. Näslund. (1990). "Models for the Valuation of International Convertible Bonds," Journal of International Financial Management & Accounting, 2(2-3), 93-110. doi:10.1111/j.1467-646X.1990.tb00081.xJennings, E. H. (1974). "An Estimate of Convertible Bond Premiums," The Journal of Financial and Quantitative Analysis, 9(1), 33-56. doi:10.2307/2329967Landskroner, Y., and A. Raviv. (2008). "The Valuation of Inflation-Indexed and FX Convertible Bonds," Journal of Futures Markets, 28(7), 634-655. doi:10.1002/fut.20331Li, P., and J. Song. (2014). "Pricing Chinese Convertible Bonds with Dynamic Credit Risk," Discrete Dynamics in Nature and Society, 2014, 5. doi:10.1155/2014/492134Longstaff, F. A., and E. S. Schwartz. (2001). "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, 14(1), 113-147. doi:10.1093/rfs/14.1.113McConnell, J. J., and E. S. Schwartz. (1986). "LYON Taming," The Journal of Finance, 41(3), 561-576. doi:10.2307/2328484Merton, R. C. (1974). "On The Pricing of Corporate Debt: The Risk Structure of Interest Rates," The Journal of Finance, 29(2), 449-470. doi:10.1111/j.1540-6261.1974.tb03058.xMerton, R. C. (1976). "Option Pricing when Underlying Stock Returns are Discontinuous," Journal of Financial Economics, 3(1–2), 125-144. doi:10.1016/0304-405X(76)90022-2Milanov, K., O. Kounchev, F. J. Fabozzi, Y. S. Kim, and S. T. Rachev. (2013). "A Binomial-Tree Model for Convertible Bond Pricing," The Journal of Fixed Income, 22(3), 79-94,74. Poensgen, O. H. (1965). "The Valuation of Convertible Bonds," IMR; Industrial Management Review (pre-1986), 7(1), 73. Rubinstein, M. (1994). "Return to OZ," Risk, 7(11), 67-71. Takahashi, A., T. Kobayashi, and N. Nakagawa. (2001). "Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach," The Journal of Fixed Income, 11(3), 20-29. Tsiveriotis, K., and C. Fernandes. (1998). "Valuing Convertible Bonds with Credit Risk," The Journal of Fixed Income, 8(2), 95-102. Yigitbasioglu, A. B. (2002). "Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk," Paper presented at the EFMA 2002 London Meetings.Zhou, C. (2001). "The Term Structure of Credit Spreads with Jump Risk," Journal of Banking & Finance, 25(11), 2015-2040. doi:10.1016/S0378-4266(00)00168-0 描述 碩士
國立政治大學
金融學系
103352002資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103352002 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.advisor Liao, Szu Lang en_US dc.contributor.author (Authors) 吳岱恩 zh_TW dc.contributor.author (Authors) Wu, Tai En en_US dc.creator (作者) 吳岱恩 zh_TW dc.creator (作者) Wu, Tai En en_US dc.date (日期) 2016 en_US dc.date.accessioned 1-Jul-2016 15:00:22 (UTC+8) - dc.date.available 1-Jul-2016 15:00:22 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2016 15:00:22 (UTC+8) - dc.identifier (Other Identifiers) G0103352002 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98567 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 103352002 zh_TW dc.description.abstract (摘要) 鑒於近年全球海外可轉換公司債發行檔數大增，然而以此商品為研究主題的文獻並不多，於是決定以此為研究目標。 影響海外可轉換公司債的價格因素包括股票價格、匯率、國內利率、國外利率和發行公司的違約機率，因此可買回、可賣回海外可轉換公司債是一個複雜的商品，而評價也較為困難。本文採用三維度二項樹和最小平方蒙地卡羅法建立評價海外可轉債的數值模型。為了更貼近真實世界，本文考量各變數間相關性和動態信用風險；另外，為了使評價更為精準，於股價過程中加入跳躍過程。 本文將模型運用至兩檔台灣公司所發行的海外可轉債，發現理論價格傾向於高估，但是理論價格與市價極為接近，尤其當以最小平方蒙地卡羅法評價時。另外本文也針對發行條件和模型中各個變數作敏感度分析，其中重要的是發現股票波動度、股票與匯率間相關係數在海外可轉債評價中扮演重要的角色。 zh_TW dc.description.abstract (摘要) The number of Euro-convertible bonds issued has highly increased in the early 2010s. However, the related literature is barely found. This paper studies the pricing models of this investment product. Euro-convertible bonds are complex instruments affected by the credit risk of the issuers, the dynamic process of stock prices, the term structure of the interest rate and the movement of the exchange rate in the same time. Accordingly, building the ECB pricing model is a hard work. This paper presents a model considering the dynamic credit risk and jump in stock price process to make valuation more precise. Another advantage of models in this paper is use of stochastic interest rates for both local and foreign so as to make the model more staying with the real world. The other advantage is taking the correlation between each random variables into account. For pricing the Euro-convertible bonds, the numerical methodologies used in this paper are three-dimension binomial tree and least squares Monte Carlo approach. For purpose of assessing the performance of the model, two Euro-convertible bonds issued by Taiwan companies are chosen as samples and the difference between the theoretical price and market price during its issue period are provided. The results demonstrate that in spite of pretty slight overestimation, the least squares Monte Carlo simulation does a better job. In addition, this paper performs several kinds of sensitivity analysis to have in-depth understanding about the models. The consequence shows that the volatility of a stock return and the correlation between stock and exchange rate play a central role in ECB valuations. en_US dc.description.tableofcontents 1 Introduction 12 Literature 42-1 Convertible Bond 42-2 Euro-Convertible Bond 63 Model 73-1 Dynamic Process 73-2 Three-Dimension Binomial Tree 103-2-1 Main Idea 103-2-2 Pricing Framework 113-2-3 Implementation Process 153-3 Least Squares Monte Carlo 173-3-1 Main Idea 173-3-2 Pricing Framework 174 Euro-Convertible Bond 214-1 Settlement Equivalent 214-2 Conversion Provision 214-3 Early Redemption Amount 224-4 Call Provision 224-5 Put Provision 225 Numerical Implement 235-1 Data 235-2 Parameter Estimation 235-3 Contracts 245-4 Pricing Results 266 Sensitivity Analysis 306-1 Sensitivity for Call and Put Provisions 316-2 Sensitivity for Fixed Exchange Rate 336-3 Sensitivity for Conversion Price and Stock Volatility 356-4 Sensitivity for Jump Process 366-5 Sensitivity for Dynamics of Credit Risk 386-6 Sensitivity for Correlation between Stock and FX (I) 406-7 Sensitivity for Correlation between Stock and FX (II) 417 Conclusion 448 References 459 Appendix 479-1 Derivation for Tree Model 479-2 Table about ECBs market 499-3 Table about Numerical Implement Parameters 519-4 Table about Sensitivity Analysis Results 529-4-1 Sensitivity for Terms of Issue: Call Price and Put Price 529-4-2 Sensitivity for Terms of Issue: fixed FX 559-4-3 Sensitivity for Parameters: Conversion Price and Stock Volatility 569-4-4 Sensitivity for Parameters: Jump Process 589-4-5 Sensitivity for Parameters: Dynamics of Credit Risk 599-4-6 Sensitivity for Parameters: Correlation between Stock and FX (I) 629-4-7 Sensitivity for Parameters: Correlation between Stock and FX (II) 63 zh_TW dc.format.extent 2036130 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103352002 en_US dc.subject (關鍵詞) 海外可轉債 zh_TW dc.subject (關鍵詞) 跳躍過程 zh_TW dc.subject (關鍵詞) 信用風險 zh_TW dc.subject (關鍵詞) 二項樹 zh_TW dc.subject (關鍵詞) 最小平方蒙地卡羅法 zh_TW dc.subject (關鍵詞) CIR利率模型 zh_TW dc.subject (關鍵詞) Euro-convertible bond en_US dc.subject (關鍵詞) jump-diffusion process en_US dc.subject (關鍵詞) credit risk en_US dc.subject (關鍵詞) binomial tree en_US dc.subject (關鍵詞) least squares Monte Carlo simulation en_US dc.subject (關鍵詞) CIR interest model en_US dc.title (題名) 考量信用風險下之海外可轉債評價 zh_TW dc.title (題名) Pricing Euro-Convertible Bonds with Credit Risk en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Black, F., and M. Scholes. (1973). "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81(3), 637-654. Brennan, M. J., and E. S. Schwartz. (1977). "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion," The Journal of Finance, 32(5), 1699-1715. doi:10.2307/2326820Brennan, M. J., and E. S. Schwartz. (1980). "Analyzing Convertible Bonds," The Journal of Financial and Quantitative Analysis, 15(4), 907-929. doi:10.2307/2330567Chang, S. T. (2003). "海外可轉換公司債的評價-考慮平均重設條款、信用風險及利率期間結構," (Master), National Cheng-Chi University, Taipei, Taiwan. Cox, J. C., S. A. Ross, and M. Rubinstein. (1979). "Option Pricing: A Simplified Approach," Journal of Financial Economics, 7(3), 229-263. doi:10.1016/0304-405X(79)90015-1Davis, M., and F. R. Lischka. (1999). "Convertible Bonds with Market Risk and Credit Risk," Ams Ip Studies In Advanced Mathematics, 26, 45-58. Duffee, G. R. (1999). "Estimating the Price of Default Risk," The Review of Financial Studies, 12(1), 197-226. Duffie, D., and D. Lando. (2001). "Term Structures of Credit Spreads with Incomplete Accounting Information," Econometrica, 69(3), 633-664. doi:10.1111/1468-0262.00208Duffie, D., and K. J. Singleton. (1999). "Modeling Term Structures of Defaultable Bonds," Review of Financial Studies, 12(4), 687-720. doi:10.1093/rfs/12.4.687Hanson, F. B., and J. J. Westman. (2002). "Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes (corrected)." Ingersoll, J. E. (1977). "A Contingent-Claims Valuation of Convertible Securities," Journal of Financial Economics, 4(3), 289-321. doi:10.1016/0304-405X(77)90004-6Jarrow, R. A., and S. M. Turnbull. (1995). "Pricing Derivatives on Financial Securities Subject to Credit Risk," The Journal of Finance, 50(1), 53-85. doi:10.2307/2329239Jennergren, L. P., and B. Näslund. (1990). "Models for the Valuation of International Convertible Bonds," Journal of International Financial Management & Accounting, 2(2-3), 93-110. doi:10.1111/j.1467-646X.1990.tb00081.xJennings, E. H. (1974). "An Estimate of Convertible Bond Premiums," The Journal of Financial and Quantitative Analysis, 9(1), 33-56. doi:10.2307/2329967Landskroner, Y., and A. Raviv. (2008). "The Valuation of Inflation-Indexed and FX Convertible Bonds," Journal of Futures Markets, 28(7), 634-655. doi:10.1002/fut.20331Li, P., and J. Song. (2014). "Pricing Chinese Convertible Bonds with Dynamic Credit Risk," Discrete Dynamics in Nature and Society, 2014, 5. doi:10.1155/2014/492134Longstaff, F. A., and E. S. Schwartz. (2001). "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, 14(1), 113-147. doi:10.1093/rfs/14.1.113McConnell, J. J., and E. S. Schwartz. (1986). "LYON Taming," The Journal of Finance, 41(3), 561-576. doi:10.2307/2328484Merton, R. C. (1974). "On The Pricing of Corporate Debt: The Risk Structure of Interest Rates," The Journal of Finance, 29(2), 449-470. doi:10.1111/j.1540-6261.1974.tb03058.xMerton, R. C. (1976). "Option Pricing when Underlying Stock Returns are Discontinuous," Journal of Financial Economics, 3(1–2), 125-144. doi:10.1016/0304-405X(76)90022-2Milanov, K., O. Kounchev, F. J. Fabozzi, Y. S. Kim, and S. T. Rachev. (2013). "A Binomial-Tree Model for Convertible Bond Pricing," The Journal of Fixed Income, 22(3), 79-94,74. Poensgen, O. H. (1965). "The Valuation of Convertible Bonds," IMR; Industrial Management Review (pre-1986), 7(1), 73. Rubinstein, M. (1994). "Return to OZ," Risk, 7(11), 67-71. Takahashi, A., T. Kobayashi, and N. Nakagawa. (2001). "Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach," The Journal of Fixed Income, 11(3), 20-29. Tsiveriotis, K., and C. Fernandes. (1998). "Valuing Convertible Bonds with Credit Risk," The Journal of Fixed Income, 8(2), 95-102. Yigitbasioglu, A. B. (2002). "Pricing Convertible Bonds with Interest Rate, Equity, Credit, and FX Risk," Paper presented at the EFMA 2002 London Meetings.Zhou, C. (2001). "The Term Structure of Credit Spreads with Jump Risk," Journal of Banking & Finance, 25(11), 2015-2040. doi:10.1016/S0378-4266(00)00168-0 zh_TW
