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題名:信用違約交易訂價的研究--Hull-White模型與KMV模型的應用
書刊名:評價學報
作者:李超雄黃劭彥 引用關係卓佳慶 引用關係蔡効廷
作者(外文):Lee, Chao-hsiungHuang, Shaio-yanCho, Chia-chingTsai, Shiau-ting
出版日期:2013
卷期:6
頁次:頁73-103
主題關鍵詞:信用違約交換Hull-White模型KMV模型Credit default swapHull-White modelKMV model
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:4
  • 點閱點閱:57
1990年以前,信用風險並不是那麼地受到人們重視。然而,自 1990年後, 一連串的企業發生破產或是信用危機。而台灣也接二連三的發生財務危機事件,已使信用風險的衡量及控管成為當前風險管理中最大的挑戰。本研究以電子服務業中曾發行普通公司債的上市(櫃)公司為研究對象總共有18間公司,研究西元2000年到 2010年間,計算這18間電子服務業公司的信用違約交換的價差。研究方法是將資料用KMV模型計算其違約率,再代入Hull-White模型以計算公司信用違約交換的價差。
The credit risk did not be concerned with investor before 1990. However, there are many companies have raised the credit crisis and bankruptcy since 1990. These events have also been occurred in Taiwan. Therefore, the measurement and monitoring of the credit risk has begun a big issue in risk management. In this study, the author selected the 18 electronic service companies which had issued the bonds and listed in Stock Market from the year of 2000 to 2010 for CDS spread calculation. The KMV model and Hull- White model is applied to CDS spread calculation.
期刊論文
1.游日傑(20060800)。信用風險的衡量與信用衍生性商品簡介。華南金控,44,6-16。  延伸查詢new window
2.Takezawa, N.、Takezawa, N.(2003)。A Note on Credit Risk of Vertica Keiretsu Firms: Evidence from the Japanese Automobile Industry。Asia-Pacific Financial Markets,23,377-398。  new window
3.沈大白、凌志銘(20060600)。信用違約交換評價之實證研究--TCRI信用評等資訊之應用。金融風險管理季刊,2(2),47-74。  延伸查詢new window
4.Madan, D. B.、Unal, H.(1998)。Pricing the Risks of Default。Review of Derivatives Research,2,121-160。  new window
5.Hull, J. C.、White, A.(2001)。Valuing Credit Default Swaps II: Modeling Default Correlations。Journal of Derivatives,8(3),12-22。  new window
6.Merton, R. C.(1974)。The Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,28,449-470。  new window
7.Black, F.、Cox, J. C.(1976)。Valuing Corporate Securities: Some Effects of Bond Indenture Provisions。The Journal of Finance,31(2),351-367。  new window
8.Duffie, D.、Singleton, K.(1999)。Modeling term structures of defaultable bonds。Review of Financial Studies,12(4),687-720。  new window
9.Jarrow, R, A.、Lando, D.、Turnbull, S. M.(1997)。A Markov Model for the Term Structure of Credit Risk Spread。The Review of Financial Studies,10(2),481-523。  new window
10.Lando, D.(1998)。On Cox processes and credit risky securities。Review of Derivatives research,2(2),99-120。  new window
11.Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance,50(3),789-819。  new window
12.Duffie, Darrell、Singleton, Kenneth J.(1997)。An econometric model of the term structure of interest rate swap yields。Journal of Finance,52(4),1287-1321。  new window
13.Jarrow, Robert A.、Turnbull, Stuart M.(1995)。Pricing Derivatives on Financial Securities Subject to Credit Risk。Journal of Finance,50(1),53-85。  new window
14.Hull, John、White, Alan(2000)。Valuing Credit Default Swaps I: No Counterparty Default Risk。Journal of Derivatives,8(1),29-40。  new window
15.黃明祥、許光華、溫健志(20041200)。以存活分析法建立金融機構信用風險管理機制之研究。臺灣銀行季刊,55(4),66-92。new window  延伸查詢new window
研究報告
1.Schonbucher Philipp, J.(2000)。The Pricing of Credit Risk and Credit Risk Derivatives。London School of Economics:Financial Markets Group。  new window
2.Zhou, C.(1997)。Jump-Diffiision Approach to Modeling Credit Risk and Valuing Defaultable Securities。Washington, D. C:Federal Reserve Board。  new window
學位論文
1.陳思翰(2003)。商業銀行如何利用Logit及KMV模型檢視授信政策(碩士論文)。國立中央大學。  延伸查詢new window
2.李欣怡(2005)。以修正KMV模式為基礎探討台灣上市上櫃公司違約風險(碩士論文)。國立東華大學。  延伸查詢new window
3.許燕玲(2006)。KMV法適合估計台灣上市櫃公司的信用風險嗎?(碩士論文)。中原大學。  延伸查詢new window
4.陳建良(2004)。違約機率與銀行信用風險管理之探討(碩士論文)。國立中山大學。  延伸查詢new window
5.王瑞銘(2008)。利用分量迴歸法探討KMV信用風險模型:違約點定義之檢討(碩士論文)。國立中山大學。  延伸查詢new window
6.林秀玫(2003)。選擇權基礎企業信用風險評估--以臺灣地區上市公司實證研究(碩士論文)。淡江大學。  延伸查詢new window
圖書論文
1.沈大白、敬永康、蔡嘉倩(2003)。運用TEJ資料計算台灣債務償還率(回收率) 之研究。金融業風險管理實證論文集。  延伸查詢new window
 
 
 
 
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