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題名 考慮信用風險及流動性風險之可轉債評價
Pricing Convertible Bonds with Credit Risk and Liquidity Risk
作者 許典玉
Hsu, Tien Yu
貢獻者 廖四郎<br>林士貴
許典玉
Hsu, Tien Yu
關鍵詞 可轉換公司債
信用風險
流動性風險
由前向後
由後向前
最小平方蒙地卡羅
縮減式
結構式
convertible bond
credit risk
liquidity risk
forward method
backward method
LSMC
reduced-form
structural form
日期 2013
上傳時間 21-Jul-2014 15:38:12 (UTC+8)
摘要 除了利率風險及信用風險外，我們發現在台灣的市場中可轉換公司債通常伴隨著流動性風險。在本文的可轉換公司債評價模型中，我們考慮了信用風險及流動性風險。在信用風險的部分，本文採用縮減式模型，建構出與股價呈反向關係的動態違約強度過程來估計信用風險。在流動性風險的部分，本文分別採用成交量法以及買賣價差法來估計流動性風險。在本文中，我們採用三種方法來做模擬，分別為由前向後法、由後向前法以及最小平方蒙地卡羅法。本文發現在相同的參數底下，由後向前法所評價出的價格為最大，最小平方蒙地卡羅法所評價出的價格居中，而由前向後法所評價出的價格為最小。另外，在最小平方法中，我們可以找到一個固定的參數適用於所有的可轉換公司債。在由前向後法中，不同的標的物會對應到不同的參數，因此使用前必須重新校正。
There are some risks with convertible bonds, and we find that there are liquidity risks with convertible bonds in the Taiwan market. We consider the credit risk and liquidity risk in the model to price the convertible bonds. We construct the dynamic default intensity process by setting the function which is inverse to stock price to estimate the credit risk. We use two methods to estimate liquidity risk. One is to construct the liquidity factor table by separating the different volumes of the convertible bonds into different levels to estimate liquidity risk, the other method is using the average bid-ask spread over the average convertible bond price to estimate liquidity risk. In this thesis, we use three different methods including forward method, backward method and LSMC method to prices the convertible bonds. We find that under the same parameters, the prices of convertible bonds using the backward method are the highest, while prices of convertible bonds using the forward method are the lowest.
參考文獻 6. Reference
[1] 涂宗旻(2010), “考慮信用風險及利率風險下之可轉債評價”, 碩士論文, 國立
政治大學金融研究所
[2] Takahashi, A., Kobayashi T. and Nakagawa, N. (2001), “Pricing convertible bond
with default risk”, Journal of Fixed Income
[3] Ammann, M., Kind, A. and Wilde C. (2003), “Are convertible bonds under priced? An analysis of the French market”, Journal of Banking and Finance 27, 635-653
[4] Black, F. and Scholes, M. (1973), “The Price of Option and Corporate Liabilities”,
Journal of Political Economy 81, 637-659
[5] Brennan, M. J. and Schwartz, E. S. (1977), “Convertible bonds: valuation and optimal strategies for call and conversion”, Journal of Finance, 32, 5, 1699-1715
[6] Brennan, M. J., and Schwartz, E. S. (1980). “Analyzing convertible bonds”, Journal of Financial and Quantitative analysis, 15, 907-993
[7] Brennan, M. J. and Schwartz, E. S. (1988), “The case for convertibles”,
Journal of Applied Corporate Finance
[8] Derman, E. (1994), “ Valuing convertible bonds as derivatives”, Technical Report,
Goldman Sachs
[9] Davis, M. and Lischka, F. R. (1999), “ Convertible bonds with market risk and
credit risk”, Technical Report, Tokyo-Mitsubishi International PLC
[10] Chambers, D. R. and Lu, Q. (2007), “A Tree Model for Pricing Convertible
Bonds with Equity, Interest Rate, and Default Risk.” Journal of Derivatives, 14,
4, 25-4
[11] Hang, M.W, and Wang J.Y. (2002), “Pricing convertible bonds subject to default
risk”, Journal of Derivative, 10 (2)
[12] Ingersoll, J. (1977), “A contingent-claims valuation of convertible securities”,
Journal of Financial Economics, 4, 289-322
[13] McConnell, J. J. and Schwartz, E. S. (1986), “ LYON Taming”, The Journal of Finance, Volume XLI, No.3, July

[14] Longstaff. F and Schwartz, E. (2001), “Valuing American Option by Simulation:
A Simple Least Square Approach”, Review of Financial Studies, 14, Spring
2001, 113-147
[15] Merton, R.C. (1974), “On the pricing of corporate debt: The risk structure of
interest rates”, Journal of Finance, 29 (2), 449-470
[16] Masaakikijima and Muromachi, Y. (2000), “Credit Events and the Valuation
of Credit”, Review of Derivatives Research, 4, 55-79
[17] Ammann, M., Kind, A. and Wilde, C. (2008), “Simulation-Based Pricing of
Convertible Bonds”, Journal of Empirical Finance, 15, 310-331
[18] Panayids, P. M., Lambertides, N. and Cullinance, K. (2013), “Liquidity risk premium and asset pricing in US water transportation”, Transportation Research, Part E, 52, 3-15
[19] Jarrow, R. A. and Turnbull, S. M. (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk”, The Journal of Finance, VOL L, No.1
[20] Jarrow, R. A., Lando, D., and Turnbull, S. M. (1997), “A Markov Model for the Term Structure of Credit Risk Spreads”, The Review of Financial Studies, V 10, NO.2
[21] Tsiveriotis, K. and Fernandes, C. (1998).”Valuing convertibles bonds with credit
risk”, Journal of Fixed Income, 2, 95-102
[22] Amihud, Y. (2002), “Illiquidity and stock returns: cross-section and time- series effects”, Journal of Financial Markets, 5, 31–56
描述 碩士
國立政治大學
金融研究所
101352011
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352011
資料類型 thesis
dc.contributor.advisor 廖四郎<br>林士貴zh_TW
dc.contributor.author (Authors) 許典玉zh_TW
dc.contributor.author (Authors) Hsu, Tien Yuen_US
dc.creator (作者) 許典玉zh_TW
dc.creator (作者) Hsu, Tien Yuen_US
dc.date (日期) 2013en_US
dc.date.accessioned 21-Jul-2014 15:38:12 (UTC+8)-
dc.date.available 21-Jul-2014 15:38:12 (UTC+8)-
dc.date.issued (上傳時間) 21-Jul-2014 15:38:12 (UTC+8)-
dc.identifier (Other Identifiers) G0101352011en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67599-
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) 101352011zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 除了利率風險及信用風險外，我們發現在台灣的市場中可轉換公司債通常伴隨著流動性風險。在本文的可轉換公司債評價模型中，我們考慮了信用風險及流動性風險。在信用風險的部分，本文採用縮減式模型，建構出與股價呈反向關係的動態違約強度過程來估計信用風險。在流動性風險的部分，本文分別採用成交量法以及買賣價差法來估計流動性風險。在本文中，我們採用三種方法來做模擬，分別為由前向後法、由後向前法以及最小平方蒙地卡羅法。本文發現在相同的參數底下，由後向前法所評價出的價格為最大，最小平方蒙地卡羅法所評價出的價格居中，而由前向後法所評價出的價格為最小。另外，在最小平方法中，我們可以找到一個固定的參數適用於所有的可轉換公司債。在由前向後法中，不同的標的物會對應到不同的參數，因此使用前必須重新校正。zh_TW
dc.description.abstract (摘要) There are some risks with convertible bonds, and we find that there are liquidity risks with convertible bonds in the Taiwan market. We consider the credit risk and liquidity risk in the model to price the convertible bonds. We construct the dynamic default intensity process by setting the function which is inverse to stock price to estimate the credit risk. We use two methods to estimate liquidity risk. One is to construct the liquidity factor table by separating the different volumes of the convertible bonds into different levels to estimate liquidity risk, the other method is using the average bid-ask spread over the average convertible bond price to estimate liquidity risk. In this thesis, we use three different methods including forward method, backward method and LSMC method to prices the convertible bonds. We find that under the same parameters, the prices of convertible bonds using the backward method are the highest, while prices of convertible bonds using the forward method are the lowest.en_US
dc.description.tableofcontents Contents
Abstract I
Table Contents III
Figure Contents IV
1. Introduction 1
1.1 Motivation 1
1.2 Research Structure 2
2. Literature Review 4
3. Research Method 6
3.1 Risk Description 6
3.1.1 Credit Risk 6
3.1.2 Liquidity Risk 13
3.2 Pricing structure 18
3.2.1 Pricing structure under risk neutral 18
3.2.2 Pricing convertible bonds with credit risk and liquidity risk 20
3. 3 Simulation Method 24
3.3.1 Forward Method 25
3.3.2 Backward Method 26
3.3.3 Least Square Monte Carlo Method (LSMC) 27
4. Empirical Analysis 28
4.1 Data Description 28
4.2 Empirical Result 31
5. Conclusion 38
6. Reference 40		zh_TW
dc.format.extent 492955 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352011en_US
dc.subject (關鍵詞) 可轉換公司債zh_TW
dc.subject (關鍵詞) 信用風險zh_TW
dc.subject (關鍵詞) 流動性風險zh_TW
dc.subject (關鍵詞) 由前向後zh_TW
dc.subject (關鍵詞) 由後向前zh_TW
dc.subject (關鍵詞) 最小平方蒙地卡羅zh_TW
dc.subject (關鍵詞) 縮減式zh_TW
dc.subject (關鍵詞) 結構式zh_TW
dc.subject (關鍵詞) convertible bonden_US
dc.subject (關鍵詞) credit risken_US
dc.subject (關鍵詞) liquidity risken_US
dc.subject (關鍵詞) forward methoden_US
dc.subject (關鍵詞) backward methoden_US
dc.subject (關鍵詞) LSMCen_US
dc.subject (關鍵詞) reduced-formen_US
dc.subject (關鍵詞) structural formen_US
dc.title (題名) 考慮信用風險及流動性風險之可轉債評價zh_TW
dc.title (題名) Pricing Convertible Bonds with Credit Risk and Liquidity Risken_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 6. Reference
[1] 涂宗旻(2010), “考慮信用風險及利率風險下之可轉債評價”, 碩士論文, 國立
政治大學金融研究所
[2] Takahashi, A., Kobayashi T. and Nakagawa, N. (2001), “Pricing convertible bond
with default risk”, Journal of Fixed Income
[3] Ammann, M., Kind, A. and Wilde C. (2003), “Are convertible bonds under priced? An analysis of the French market”, Journal of Banking and Finance 27, 635-653
[4] Black, F. and Scholes, M. (1973), “The Price of Option and Corporate Liabilities”,
Journal of Political Economy 81, 637-659
[5] Brennan, M. J. and Schwartz, E. S. (1977), “Convertible bonds: valuation and optimal strategies for call and conversion”, Journal of Finance, 32, 5, 1699-1715
[6] Brennan, M. J., and Schwartz, E. S. (1980). “Analyzing convertible bonds”, Journal of Financial and Quantitative analysis, 15, 907-993
[7] Brennan, M. J. and Schwartz, E. S. (1988), “The case for convertibles”,
Journal of Applied Corporate Finance
[8] Derman, E. (1994), “ Valuing convertible bonds as derivatives”, Technical Report,
Goldman Sachs
[9] Davis, M. and Lischka, F. R. (1999), “ Convertible bonds with market risk and
credit risk”, Technical Report, Tokyo-Mitsubishi International PLC
[10] Chambers, D. R. and Lu, Q. (2007), “A Tree Model for Pricing Convertible
Bonds with Equity, Interest Rate, and Default Risk.” Journal of Derivatives, 14,
4, 25-4
[11] Hang, M.W, and Wang J.Y. (2002), “Pricing convertible bonds subject to default
risk”, Journal of Derivative, 10 (2)
[12] Ingersoll, J. (1977), “A contingent-claims valuation of convertible securities”,
Journal of Financial Economics, 4, 289-322
[13] McConnell, J. J. and Schwartz, E. S. (1986), “ LYON Taming”, The Journal of Finance, Volume XLI, No.3, July

[14] Longstaff. F and Schwartz, E. (2001), “Valuing American Option by Simulation:
A Simple Least Square Approach”, Review of Financial Studies, 14, Spring
2001, 113-147
[15] Merton, R.C. (1974), “On the pricing of corporate debt: The risk structure of
interest rates”, Journal of Finance, 29 (2), 449-470
[16] Masaakikijima and Muromachi, Y. (2000), “Credit Events and the Valuation
of Credit”, Review of Derivatives Research, 4, 55-79
[17] Ammann, M., Kind, A. and Wilde, C. (2008), “Simulation-Based Pricing of
Convertible Bonds”, Journal of Empirical Finance, 15, 310-331
[18] Panayids, P. M., Lambertides, N. and Cullinance, K. (2013), “Liquidity risk premium and asset pricing in US water transportation”, Transportation Research, Part E, 52, 3-15
[19] Jarrow, R. A. and Turnbull, S. M. (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk”, The Journal of Finance, VOL L, No.1
[20] Jarrow, R. A., Lando, D., and Turnbull, S. M. (1997), “A Markov Model for the Term Structure of Credit Risk Spreads”, The Review of Financial Studies, V 10, NO.2
[21] Tsiveriotis, K. and Fernandes, C. (1998).”Valuing convertibles bonds with credit
risk”, Journal of Fixed Income, 2, 95-102
[22] Amihud, Y. (2002), “Illiquidity and stock returns: cross-section and time- series effects”, Journal of Financial Markets, 5, 31–56		zh_TW