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題名 動態信用風險與PBJD模型下之可轉債評價
Pricing Convertible Bonds under Dynamic Credit Risk and Pareto-Beta Jump-Diffusion Model作者 姚博文 貢獻者 廖四郎
姚博文關鍵詞 可轉債
信用風險
跳躍模型
最小平方蒙地卡羅
Convertible Bonds
Credit Risk
Jump-Diffusion Model
LSM日期 2016 上傳時間 11-Jul-2016 17:04:48 (UTC+8) 摘要 可轉換公司債是一種複雜且擁有許多風險的商品，而對於台灣的可轉債市場來說，信用風險佔了評價裡很重要的一部份。本篇論文使用縮減式評價模型，考慮信用風險及股價跳躍。跳躍模型使用Pareto-Beta Jump-Diffusion模型，並且利用信用價差之動態過程，來對可轉換公司債作評價，而為了解決提前轉換的問題，也使用了最小平方蒙地卡羅法來處理。本篇論文分別對宏碁與新光金之可轉債做實證研究，實證結果顯示，加入了股價跳躍之後，的確可以使理論價格更貼近市場真實價格。 參考文獻 【英文參考文獻】Ammann, Manuel, Axel Kind, and Christian Wilde. "Simulation-Based Pricing of Convertible Bonds." Journal of Empirical Finance 15, no. 2 (2008): 310-331.Ayache, Elie, Peter A. Forsyth, and Kenneth R. Vetzal. "Valuation of Convertible Bonds with Credit Risk." The journal of Derivatives 11,no. 1 (2003): 9-29.Brennan, Michael J., and Eduardo S. Schwartz. "Analyzing Convertible Bonds." Journal of Financial and Quantitative analysis 15, no. 4 (1980): 907-929.Brennan, Michael J., and Eduardo S. Schwartz. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion." The Journal of Finance 32, no. 5 (1977): 1699-1715.Clark, Truman A., and Mark I. Weinstein. "The Behavior of the Common Stock of Bankrupt Firms." The Journal of Finance 38, no. 2 (1983): 489-504.Crépey, Stéphane, and Abdallah Rahal. "Pricing Convertible Bonds with Call Protection." The Journal of Computational Finance 15, no. 2 (2011): 37-75.Dao, Binh, and Monique Jeanblanc. "Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure." The Journal of Credit Risk 8, no. 2 (2006) : 21-43.Davis, Mark, and Fabian R. Lischka. "Convertible Bonds with Market Risk and Credit Risk." Ams Ip Studies In Advanced Mathematics 26 (2002): 45-58.Duffie, Darrell, and Kenneth J. Singleton. "Modeling Term Structures of Defaultable Bonds." Review of Financial studies 12, no. 4 (1999): 687-720.Ingersoll, Jonathan E. "A Contingent-Claims Valuation of Convertible Securities." Journal of Financial Economics 4, no. 3 (1977): 289-321.Kou, Steven G. "A Jump-Diffusion Model for Option Pricing." Management science 48, no. 8 (2002): 1086-1101.Li, Ping, and Jing Song. "Pricing Chinese Convertible Bonds with Dynamic Credit Risk." Discrete Dynamics in Nature and Society 2014 (2014): 1-5.Longstaff, Francis A., and Eduardo S. Schwartz. "Valuing American Options by Simulation: A Simple Least-Squares Approach." Review of Financial studies 14, no. 1 (2001): 113-147.McConnell, John, and Eduardo S. Schwartz. "Lyon Taming." The Journal of Finance 41, no. 3 (1986): 561-576.Merton, Robert C. "Option Pricing When Underlying Stock Returns Are Discontinuous." Journal of financial economics 3, no. 1-2 (1976): 125-44.Milanov, Krasimir, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, and Svetlozar T. Rachev. "A Binomial-Tree Model for Convertible Bond Pricing." The Journal of Fixed Income 22, no. 3 (2013): 74,79-94.Moreno, Manuel, and Javier F. Navas. "On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives." Review of Derivatives Research 6, no. 2 (2003): 107-128.Muromachi, Yukio. "The Growing Recognition of Credit Risk in Corporate and Financial Bond Markets." NLI Research Institute,Paper 126 (1999).Ramezani, Cyrus A., and Yong Zeng. "Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices." Available at SSRN 606361 (1998).Stentoft, Lars. "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation." Management Science 50, no. 9 (2004): 1193-1203.Takahashi, Akihiko, Takao Kobayashi, and Naruhisa Nakagawa. "Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach." The Journal of Fixed Income 11, no. 3 (2001): 20-29.Tsiveriotis, Kostas, and Chris Fernandes. "Valuing Convertible Bonds with Credit Risk." The journal of fixed income 8, no. 2 (1998): 95-102.【中文參考文獻】丁柏嵩（2012），可轉債評價 --- LSMC考慮股價跳躍及信用風險，碩士論文，國立政治大學。許典玉（2014），考慮信用風險及流動性風險下之可轉債評價，碩士論文，國立政治大學。 描述 碩士
國立政治大學
金融學系
103352014資料來源 http://thesis.lib.nccu.edu.tw/record/#G1033520141 資料類型 thesis dc.contributor.advisor 廖四郎 zh_TW dc.contributor.author (Authors) 姚博文 zh_TW dc.creator (作者) 姚博文 zh_TW dc.date (日期) 2016 en_US dc.date.accessioned 11-Jul-2016 17:04:48 (UTC+8) - dc.date.available 11-Jul-2016 17:04:48 (UTC+8) - dc.date.issued (上傳時間) 11-Jul-2016 17:04:48 (UTC+8) - dc.identifier (Other Identifiers) G1033520141 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98857 - 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) 103352014 zh_TW dc.description.abstract (摘要) 可轉換公司債是一種複雜且擁有許多風險的商品，而對於台灣的可轉債市場來說，信用風險佔了評價裡很重要的一部份。本篇論文使用縮減式評價模型，考慮信用風險及股價跳躍。跳躍模型使用Pareto-Beta Jump-Diffusion模型，並且利用信用價差之動態過程，來對可轉換公司債作評價，而為了解決提前轉換的問題，也使用了最小平方蒙地卡羅法來處理。本篇論文分別對宏碁與新光金之可轉債做實證研究，實證結果顯示，加入了股價跳躍之後，的確可以使理論價格更貼近市場真實價格。 zh_TW dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 台灣可轉債市場 2第三節 研究架構 3第二章 文獻回顧 4第三章 研究方法 6第一節 信用風險 6第二節 跳躍模型 11第三節 模擬方法 14第四章 資料描述 20第一節 可轉債合約內容 20第二節 參數設定 20第五章 實證結果 23第一節 橫斷面分析 23第二節 時間序列分析 25第三節 敏感度分析 29第六章 結論與建議 31第一節 結論 31第二節 後續研究建議 32參考文獻 34 zh_TW dc.format.extent 1589364 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1033520141 en_US dc.subject (關鍵詞) 可轉債 zh_TW dc.subject (關鍵詞) 信用風險 zh_TW dc.subject (關鍵詞) 跳躍模型 zh_TW dc.subject (關鍵詞) 最小平方蒙地卡羅 zh_TW dc.subject (關鍵詞) Convertible Bonds en_US dc.subject (關鍵詞) Credit Risk en_US dc.subject (關鍵詞) Jump-Diffusion Model en_US dc.subject (關鍵詞) LSM en_US dc.title (題名) 動態信用風險與PBJD模型下之可轉債評價 zh_TW dc.title (題名) Pricing Convertible Bonds under Dynamic Credit Risk and Pareto-Beta Jump-Diffusion Model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 【英文參考文獻】Ammann, Manuel, Axel Kind, and Christian Wilde. "Simulation-Based Pricing of Convertible Bonds." Journal of Empirical Finance 15, no. 2 (2008): 310-331.Ayache, Elie, Peter A. Forsyth, and Kenneth R. Vetzal. "Valuation of Convertible Bonds with Credit Risk." The journal of Derivatives 11,no. 1 (2003): 9-29.Brennan, Michael J., and Eduardo S. Schwartz. "Analyzing Convertible Bonds." Journal of Financial and Quantitative analysis 15, no. 4 (1980): 907-929.Brennan, Michael J., and Eduardo S. Schwartz. "Convertible Bonds: Valuation and Optimal Strategies for Call and Conversion." The Journal of Finance 32, no. 5 (1977): 1699-1715.Clark, Truman A., and Mark I. Weinstein. "The Behavior of the Common Stock of Bankrupt Firms." The Journal of Finance 38, no. 2 (1983): 489-504.Crépey, Stéphane, and Abdallah Rahal. "Pricing Convertible Bonds with Call Protection." The Journal of Computational Finance 15, no. 2 (2011): 37-75.Dao, Binh, and Monique Jeanblanc. "Double Exponential Jump Diffusion Process: A Structural Model of Endogenous Default Barrier with Roll-over Debt Structure." The Journal of Credit Risk 8, no. 2 (2006) : 21-43.Davis, Mark, and Fabian R. Lischka. "Convertible Bonds with Market Risk and Credit Risk." Ams Ip Studies In Advanced Mathematics 26 (2002): 45-58.Duffie, Darrell, and Kenneth J. Singleton. "Modeling Term Structures of Defaultable Bonds." Review of Financial studies 12, no. 4 (1999): 687-720.Ingersoll, Jonathan E. "A Contingent-Claims Valuation of Convertible Securities." Journal of Financial Economics 4, no. 3 (1977): 289-321.Kou, Steven G. "A Jump-Diffusion Model for Option Pricing." Management science 48, no. 8 (2002): 1086-1101.Li, Ping, and Jing Song. "Pricing Chinese Convertible Bonds with Dynamic Credit Risk." Discrete Dynamics in Nature and Society 2014 (2014): 1-5.Longstaff, Francis A., and Eduardo S. Schwartz. "Valuing American Options by Simulation: A Simple Least-Squares Approach." Review of Financial studies 14, no. 1 (2001): 113-147.McConnell, John, and Eduardo S. Schwartz. "Lyon Taming." The Journal of Finance 41, no. 3 (1986): 561-576.Merton, Robert C. "Option Pricing When Underlying Stock Returns Are Discontinuous." Journal of financial economics 3, no. 1-2 (1976): 125-44.Milanov, Krasimir, Ognyan Kounchev, Frank J. Fabozzi, Young Shin Kim, and Svetlozar T. Rachev. "A Binomial-Tree Model for Convertible Bond Pricing." The Journal of Fixed Income 22, no. 3 (2013): 74,79-94.Moreno, Manuel, and Javier F. Navas. "On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives." Review of Derivatives Research 6, no. 2 (2003): 107-128.Muromachi, Yukio. "The Growing Recognition of Credit Risk in Corporate and Financial Bond Markets." NLI Research Institute,Paper 126 (1999).Ramezani, Cyrus A., and Yong Zeng. "Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices." Available at SSRN 606361 (1998).Stentoft, Lars. "Convergence of the Least Squares Monte Carlo Approach to American Option Valuation." Management Science 50, no. 9 (2004): 1193-1203.Takahashi, Akihiko, Takao Kobayashi, and Naruhisa Nakagawa. "Pricing Convertible Bonds with Default Risk: A Duffie-Singleton Approach." The Journal of Fixed Income 11, no. 3 (2001): 20-29.Tsiveriotis, Kostas, and Chris Fernandes. "Valuing Convertible Bonds with Credit Risk." The journal of fixed income 8, no. 2 (1998): 95-102.【中文參考文獻】丁柏嵩（2012），可轉債評價 --- LSMC考慮股價跳躍及信用風險，碩士論文，國立政治大學。許典玉（2014），考慮信用風險及流動性風險下之可轉債評價，碩士論文，國立政治大學。 zh_TW
