| dc.contributor | 金融系 | en_US |
| dc.creator (作者) | 林士貴;廖四郎;林德政 | zh_TW |
| dc.creator (作者) | Lin, Shih-Kuei ; Liao, Szu-Lang ; Lin, Te-Cheng | en_US |
| dc.date (日期) | 2010-01 | en_US |
| dc.date.accessioned | 24-Mar-2014 14:07:04 (UTC+8) | - |
| dc.date.available | 24-Mar-2014 14:07:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 24-Mar-2014 14:07:04 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64854 | - |
| dc.description.abstract (摘要) | Merton (1974) proposes a structural form model to evaluate the default bond, and Zhou (2001) investigates a credit spread under a jump diffusion model, in which the jump risk is non-system risk. Empirical analysis finds the leptokurtic feature in the dynamic process of the firm’s value. Based on the structural form model, we investigate the firm value with the exponential Lévy processes to evaluate the default bond and default probability under the Vasicek’s stochastic interest rate model (taking the jump diffusion model as a special case). Empirical studies have also found the volatility clustering phenomenon in the dynamic of asset return. Therefore, in particular, we give Markov modulated Poisson Processes to describe the dynamics of the firm value and evaluate the default bond and default probability in some simple results theoretically and numerically. | - |
| dc.format.extent | 281478 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 證券市場發展季刊, 21(4)=84, 139-176 | en_US |
| dc.subject (關鍵詞) | 跳躍擴散模型 ; Lévy過程 ; 馬可夫調整卜瓦松過程 ; Jump-diffusion model ; Lévy process ; Markov-modulated poisson process | en_US |
| dc.title (題名) | Credit Risks with Lévy Processes under a Stochastic Interest Rate: A Structural Form Model | en_US |
| dc.title.alternative (其他題名) | 隨機利率下Lévy過程在信用風險之應用：結構式模型 | en_US |
| dc.type (資料類型) | article | en |
