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政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/83335

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83335

Title:	信用風險下可轉換公司債之評價 Pricing Convertible Bonds with Credit Risk
Authors:	紀景耀 Chi, Ching-Yao
Contributors:	廖四郎 Liao, Szu-Lang 紀景耀 Chi, Ching-Yao
Keywords:	可轉換公司債信用風險 Convertible Bonds Credit Risk
Date:	2000
Issue Date:	2016-03-31 16:36:21 (UTC+8)
Abstract:	本研究主要著重信用風險對於可轉換公司債評價之影響。因可轉換公司債兼具股權與債權之特性，使得它在某些時候亦與一般債權一樣面臨公司無法完全清償的風險。本文的研究架構主要分為兩項：以公司資產價值及以普通股股價為可轉換公司債之標的資產，並將信用風險的設定融入模型之中。在實證部份，則以茂矽二與新纖二這兩檔可轉換公司債為樣本。當以公司價值做為標的時，可再區分為Merton模型的設定或是首次通過時間模型(First Passage Time Model)的設定，此二者並無明顯的差異，主要原因來自於可轉換公司債同時具有債券及股票的性質，公司提前破產與否對可轉換公司債的影響並不大。此外，當以公司普通股股價做為標的時，可再分為以信用價差(credit spread)與Jarrow and Turnbull (1995)來評價其價值，此時，需將不同的信用品質分離出來，給予不同的折現率，當股價處於深度價外時，可轉換公司債對信用風險的敏感度較高。若再以理論價值與市價做比較，則可發現無論是茂矽二或新纖二的理論價值皆高於市價，其中一部份來自於模型設定已將部份發行條款予以簡化所造成的誤差，更重要的原因乃是可轉換公司債的市場流動性不足，造成效率性低落所導致。
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Description:	碩士國立政治大學金融研究所
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002002083
Data Type:	thesis
Appears in Collections:	[金融學系] 學位論文

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