| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.advisor | Liao,Szu-Lang | en_US |
| dc.contributor.author (Authors) | 黃星華 | zh_TW |
| dc.contributor.author (Authors) | Huang,Hsing-Hua | en_US |
| dc.creator (作者) | 黃星華 | zh_TW |
| dc.creator (作者) | Huang,Hsing-Hua | en_US |
| dc.date (日期) | 2005 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:32:43 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:32:43 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:32:43 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0903525022 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31213 | - |
| dc.description (描述) | 博士 | 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) | 90352502 | zh_TW |
| dc.description (描述) | 94 | zh_TW |
| dc.description.abstract (摘要) | This dissertation includes three essays, which investigate contingent claims pricing subject to credit risk based on the structural approach and analyze associated issues of corporate finance. The first essay develops and examines a partial equilibrium model to investigate the effects of macroeconomic condition and firm-level productivity shocks on the determination of optimal debt ratio. The model extends the contingent-claims models of the firm`s capital structure by incorporating both the industry demand and firm-level supply factors into the firm`s earnings and unlevered asset value. Our model predicts that the optimal debt ratio is negatively correlated to the macroeconomic conditions and the firm-level productivity. Furthermore, the theoretical implications are totally supported by the pooled feasible generalized least squares estimation with 311 Taiwanese listed manufacturing firms` quarterly data over the period from 1994 to 2003. The differences between the high-tech electronics and other manufacturing firms are also investigated, and particularly the high-tech firms are not tied up with the macroeconomic conditions while the others are. The second essay presents a contingent claim valuation of a callable convertible bond with the issuer`s credit risk. The optimal call, voluntary conversion and bankruptcy strategies are jointly determined by shareholders and bondholders to maximize the equity value and the bond value, respectively. Our model not only incorporates tax benefits, bankruptcy costs, refunding costs and a call notice period, but also takes account of the issuer`s debt size and structure. The numerical results show that the predicted optimal call policies are generally consistent with recent empirical findings; therefore calling convertible bonds too late or too early can be rational. The third essay provides a closed-form valuation formula for the Black-Scholes options subject to interest rate risk and credit risk. Not only does our model allow for the possible default of the option issuer prior to the option`s maturity, but also considers the correlations among the option issuer`s total asset, the underlying stock, and the default-free zero coupon bond. We further tailor-make a specific credit-linked option for hedging the default risk of the option issuer. The numerical results show that the default risk of the option issuer significantly reduces the option values, and the vulnerable option values may be remarkably overestimated in the case where the default can occur only at the maturity of the option. | en_US |
| dc.description.tableofcontents | Table of Contents ii Acknowledgement iv List of Tables v List of Figures vi Abstract vii Essay One: Effects of Macroeconomic Conditions and Firm-Level Productivity on Optimal Capital Structure: Theory and Evidence 1.1 Introduction 1 1.2 The Model 3 1.2.1 Macroeconomic Condition and Firm-Level Productivity Shocks 4 1.2.2 The Dynamics of the Firm’s Unlevered Asset Value 6 1.2.3 The Firm’s Optimal Capital Structure 8 1.3 Theoretical Implications 11 1.3.1 Effect of Macroeconomic Conditions 12 1.3.2 Effect of Firm-Level Productivity 13 1.4 Empirical Evidence 14 1.4.1 Data and Empirical Specification 14 1.4.2 Estimation Results 18 1.5 Summary and Concluding Remarks 19 Appendix 1A 21 Appendix 1B 22 Essay Two: Valuation and Optimal Strategies of Convertible Bonds 2.1 Introduction 29 2.2 Valuation Framework 33 2.3 Valuation and Optimal Strategies of a Non-Callable Convertible Bonds 38 2.4 Valuation and Optimal Strategies of a Call-Forcing Convertible Bonds 42 2.5 Valuation and Optimal Strategies of a Callable Convertible Bonds 45 2.6 Numerical Analysis 51 2.6.1 Comparative Static Analysis 55 2.6.2 Remarks 56 2.7 Conclusion 57 Appendix 2A 59 Essay Three: Pricing Black-Scholes Options with Correlated Interest Rate Risk and Credit Risk: An Extension 3.1 Introduction 63 3.2 The Valuation Framework 65 3.3 Valuing Vulnerable Options with Stochastic Interest Rates 70 3.4 Numerical Examples 80 3.5 Extensions 85 3.6 Concluding Remarks 87 Appendix 3A 89 Appendix 3B 91 Bibliography 101 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0903525022 | en_US |
| dc.subject (關鍵詞) | Contingent Claims Analysis | en_US |
| dc.subject (關鍵詞) | Credit Risk | en_US |
| dc.subject (關鍵詞) | Convertible Bonds | en_US |
| dc.subject (關鍵詞) | Optimal Capital Structure | en_US |
| dc.subject (關鍵詞) | Structural Model | en_US |
| dc.subject (關鍵詞) | Vulnerable Options | en_US |
| dc.title (題名) | Essays on Contingent Claims Pricing Subject to Credit Risk | zh_TW |
| dc.title (題名) | 信用風險下或有求償權之評價 | zh_TW |
| dc.type (資料類型) | thesis | en |
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