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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/36586


    Title: Credit Rating and Credit Spread: Some Empirical Evidence in Taiwan
    Authors: 趙世偉
    Chao, Shih-Wei
    Contributors: 胡聯國
    趙世偉
    Chao, Shih-Wei
    Keywords: credit rating
    credit spread
    credit risk
    Date: 2002
    Issue Date: 2009-09-18 18:54:55 (UTC+8)
    Abstract: In recent years, issues about credit risk attract more and more attentions. This thesis provides some empirical evidence for the behavior of credit spreads in Taiwan based on a Markov model proposed by Jarrow, Lando, and Turnbull (1997). Although the estimated risk premium adjustments increases as the credit rating level goes downward, it does not exist robust relations between credit yield spreads and credit ratings. Apparently, the model does not fit the real condition well because of some structural factors and limitations. I try to suggest some possible explanations for this phenomenon. Despites some poor performances of this model, these results still offer some directions to reconsider the valuation of straight corporate bonds in Taiwan.
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    Description: 碩士
    國立政治大學
    國際經營與貿易研究所
    90351028
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090351028
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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