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    题名: 公司債定價, 信用風險以及外生性破產時點之決定
    Corporate Bond Pricing, Credit Risk and the Determination of Endogenous Bankruptcy Barrier
    作者: 李和忠
    Ho-Chung, Li
    贡献者: 胡聯國
    李和忠
    Ho-Chung, Li
    关键词: 公司債定價
    信用風險
    破產
    日期: 2002
    上传时间: 2009-09-11 17:03:40 (UTC+8)
    摘要: 隨著債券市場的發展，如何針對信用風險評價，在債券定價領域變的越來越重要，但目前在這領域的大多數論文都有一個缺點：破產時點的形成不甚合理，在他們的研究中，破產點是外生給定，也因此沒有考慮到股東以及債權人的最佳策略，也因此，在本篇論文中，將以內生性方法決定最適破產時點，其中，許多結果也顯示股東和債權人在面對決定破產時點時，有相當不一樣的表現，除此之外，就公司整體而言，認為只有在公司價值為零時才能破產，這跟目前政府的政策是相同的。
    With the development of the bonds market, the valuation of credit risk becomes the most popular topic in the bond pricing, but most literature in this field falls short in one assumption：the formation of bankruptcy barrier. In their studies, bankruptcy threshold is set exogenously without considering the optimal strategy of stockholders and bondholders. Thus, in my study, the endogeneity is brought into the determination of bankruptcy value and the results do illustrate the different behaviors of stockholders and debtholders to the determination of bankruptcy level. In addition, the choice of the firm as a whole is also taken into consideration and the result is consistent with nowadays policy, that is, declaring bankruptcy until the value of the firm comes to be zero.
    參考文獻: Bianca Hilberink and L. C. G. Rogers, 2002, Optimal capital structure and endogenous default, Finance and Stochastics 6, 237-263.
    Black, F. and John Cox, 1976, Valuing corporate securities：Some effects of bond indenture provisions, Journal of Finance 31, 351-367.
    Black, F. and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 637-654.
    Brennan Michael and Eduardo Schwartz, 1978, Corporate income taxes, valuation, and the problem of optimal capital structure, Journal of Business 51, 103-114.
    Cox, J. C., J. E. Ingersoll and S. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
    Duffee, G., 1999, Estimating the price of default risk, Review of Financial Studies 12, 197-226.
    Duffie Darrel and Kenneth Singleton, 1995, Modeling term structures of defaultable bonds, Review of Financial Studies 12, 687-720.
    Duffie Darrel and M. Huang, 1996, Swap rates and credit quality, Journal of Finance 51, 921-949.
    Geske, R., 1977, The valuation of corporate liabilities as compound options, Journal of Financial and Quantitative Economics 12, 541-552.
    Harrison, J. M., 1990, Brownian motion and stochastic flow systems, Krieger Publishing Company.
    Iben, Th. and R. Litterman, 1991, Corporate bond valuation and the term structure of credit spreads, Journal of Portfolio Management 17, 52-64.
    Jarrow, R., D. Lando, and S. Turnbull, 1997, A markov model for the term structures of credit spreads, Review of Financial Studies 10, 481-523.
    Jarrow, R., and S. Turnbull, 1995, Pricing options on financial securities subject to default risk, Journal of Finance 50, 53-86.
    Kim, I., K. Ramaswamy, and S. Sundaresan, 1993, Does default risk in coupons affect the valuation of corporate bonds?： A contingent claims model, Financial Management, special issue on financial distress, 117-131.
    Leland, H., 1994, Corporate debt value, bond covenants, and optimal capital structure, Journal of Finance 49, 1213-1252.
    Leland, H., 1998, Agency costs, risk management, and capital structure, Presidential Address presented at the AFA meeting in Chicago.
    Leland, H. and Klaus Toft, 1996, Optimal capital structure, endogenous bankruptcy, and the term structure of credit spreads, Journal of Finance 51, 987-1019.
    Longstaff, F. and E. Schwartz, 1995, A simple approach to valuing risky fixed and floating rate debt, Journal of Finance 50, 789-819.
    Madan, D., and H. Unal, 1993, Pricing the risks of default, working paper, University of Maryland.
    Merton, R., 1974, On the pricing of corporate debt：The risk structure of interest rates, Journal of Finance 29, 449-469.
    Modigliani, F. and M. Miller, 1958, The cost of capital, corporation finance and the theory of investment, American Economic Review 48, 267-297.
    Rubinstein, M., and E. Reiner, 1991, Breaking down the barriers, Risk Magazine 4, 28-35.
    Taurén, M., 1999, A comparison of bond pricing models in the pricing of credit risk, working paper, Indiana University.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    90351018
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0090351018
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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