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題名:結構型信用風險管理模型之研究
作者:林郁翎 引用關係
作者(外文):Yu-ling Lin
校院名稱:東吳大學
系所名稱:經濟學系
指導教授:張大成
學位類別:博士
出版日期:2007
主題關鍵詞:結構型模型信用風險模型障礙選擇權複合選擇權違約相關性首次通過模型Structural ModelsCredit Risk ModelsBarrier OptionCompound OptionDefault CorrelationFirst Passage Model
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本文旨在針對BSM(Black-Scholes-Merton)模式應用於信用風險衡量上的缺失進行修正,分別以障礙選擇權與複合選擇權兩種新奇選擇權理論,利用債務限制條款與多重債務形式,考慮較BSM模式更符合實際之企業違約過程與負債結構情況,建構一套適於台灣上市櫃企業之信用風險模型,使之能在台灣現況下應用,俾能更精確的預測違約之發生。除此之外,本文亦根據Zhou(2001)以首次通過架構延伸建立之兩家企業違約相關模型,探討未來一年內台灣上市企業間的違約相關情形。根據本文利用1997至2006年6月間台灣上市企業資料進行驗證,結果顯示,本文所建構之修正模型:DOC(down and out call option)模型與CO(compound option)模型,對於企業違約預警之效力確實較傳統BSM結構型模型為佳。另外,就未來一年內台灣上市企業間違約相關性之預測而言,本文發現以營建相關產業之營建業與鋼鐵業具有較高的產業內違約相關性;至於產業間違約之相關性,則以營建相關產業間與塑化相關產業間具有較大之違約相關情形;若就資產組合的風險分散度而言,則以機電業與電子業間較佳;另將同產業之企業依不同評等等級進行觀察時,可以發現高風險企業間違約相關性最大,其次為不同等級企業間,最後方為低風險企業之間。
This essay is intended to renovate the BSM model in credit risk analysis. We use two exotic options, the barrier option and the compound option, to improve the BSM’s performance of detective default on firms in credit risk management. In our study, we use both the safety covenants and the existence of multiple debt issues, and consider the fitness of business default process and the status of debt structure that is more practical than the BSM model. We hope the developed model can predict the happening of default more precisely, and it can provide as a very fine basis in measuring the credit risk of firms in Taiwan. Aside from above, we follow the Zhou’s model(2001)and use first passage model to build default correlation of two representative firms to observe the default correlations in Taiwan listed companies on the following year. In this study, using the listed company data in Taiwan from 1997 to 2006/6, and compared with the traditional BSM structural model using market information, we find the performance of detective default in firms of our DOC and CO model established by the using of barrier and compound option theory has improved effect. Additionally, for the prediction of default correlations in Taiwan listed companies in the following year, we find the default correlation of two representative firms in construction industry as well as that of two representative firms in steel & iron industry are higher. The result also exhibits the default correlation between two representative firms that belonging to construction related industry and plastic related industry respectively are higher. We also find the portfolio diversification between the electron industry and the electric & machinery industry is the best. By the observation of the degree of default correlation between representative firms which have different rating grades but belong to the same industry, we find the default correlation between high risk representative firms is the highest, that between the different rating grades representative firms is next and between low risk representative firms is the least .
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