| dc.contributor.advisor | 陳威光<br>江彌修 | zh_TW |
| dc.contributor.author (Authors) | 劉昶輝 | zh_TW |
| dc.creator (作者) | 劉昶輝 | zh_TW |
| dc.date (日期) | 2008 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:31:14 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:31:14 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:31:14 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0096352006 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31199 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 96352006 | zh_TW |
| dc.description (描述) | 97 | zh_TW |
| dc.description.abstract (摘要) | 本論文將信用風險模型CreditGrades model延伸至可轉債評價。相對 Hung and Wang (2002) 與 Chambers and Lu (2007), 本文信用風險模型的設定較有經濟意涵。除了結構式模型(structural models) 本身就比縮減式模型 (reduced-form models) 較具經濟意涵外, 本文模型在股價愈低時, 發生違約的機率愈高, 與在真實世界公司股價愈低愈有可能發生違約的現象一致。但是 Hung and Wang (2002) 與Chambers and Lu (2007) 的設定隱含假設公司股價高低於皆不影響違約發生機率。Ayache, Forsyth and Vetzal (2003) 雖然將違約強度設定為股價的遞減函數, 試圖捕捉股價愈低違約機率愈高的現象。卻沒有說明如何估計該設定的參數。本文模型的參數校準容易而且快速。<br>本研究選用最小平方蒙地卡羅法(Least Square Monte Carlo, LSM) 進行評價。相對於樹狀法與有限差分法, 蒙地卡羅法能夠輕易評價具有路徑相依性質條款的可轉債。此外, 未來如果需要新增其它隨機因子, 比起樹狀法與有限差分法更有彈性。蒙地卡羅法的缺點為評價時間冗長, 本文以準隨機亂數(quasi-random sequences) 輔助, 縮短評價時間。<br>本文有以下發現:考慮信用風險的模型價格比起未考慮信用風險更接近市場價格; 可轉債對波動度較不敏感, 與Brennan and Schwartz (1988) 的觀察一致; 股價波動度愈大會使得可轉債價值提高, 但具有贖回條款的可轉債, 提高幅度不如沒有贖回條款的可轉債; 加入賣回條款的可轉債對利率較不敏感, 利率上升會降低可轉債的價值, 但具有賣回條款的可轉債, 下跌幅度小於沒有賣回條款的可轉債。 | zh_TW |
| dc.description.tableofcontents | 1 緒論7 1.1 研究動機與目的. . . . . . . . . . . . . . . . . . . . . . . 7 1.2 研究架構. . . . . . . . . . . . . . . . . . . . . . . . . . 8 2 文獻回顧9 3 研究方法11 3.1 CreditGrades Model . . . . . . . . . . . . . . . . . . . 11 3.2 可轉債模型設定. . . . . . . . . . . . . . . . . . . . . . . 15 3.3 可轉債模型參數校準. . . . . . . . . . . . . . . . . . . . 16 3.4 最小平方蒙地卡羅模擬法(LSM) . . . . . . . . . . . . . . 19 3.5 準隨機亂數. . . . . . . . . . . . . . . . . . . . . . . . . 22 4 實證結果與分析23 4.1 Parker Drilling Co 可轉債實證分析. . . . . . . . . . . . 23 4.2 聯強可轉債實證分析. . . . . . . . . . . . . . . . . . . . 27 5 結論與建議35 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0096352006 | en_US |
| dc.subject (關鍵詞) | 可轉換公司債 | zh_TW |
| dc.subject (關鍵詞) | 結構式信用風險模型 | zh_TW |
| dc.subject (關鍵詞) | CreditGrades 模型 | zh_TW |
| dc.subject (關鍵詞) | 最小平方蒙地卡羅模擬 | zh_TW |
| dc.subject (關鍵詞) | Convertible Bonds | en_US |
| dc.subject (關鍵詞) | Structural Models | en_US |
| dc.subject (關鍵詞) | CreditGrades Model | en_US |
| dc.subject (關鍵詞) | Least Square Monte Carlo Simulation | en_US |
| dc.title (題名) | 考慮信用風險之可轉債評價研究 | zh_TW |
| dc.type (資料類型) | thesis | en |
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