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研究生： 許典玉
Hsu, Tien Yu
論文名稱： 考慮信用風險及流動性風險下之可轉債評價
Pricing Convertible Bonds with Credit Risk and Liquidity Risk
指導教授： 廖四郎
林士貴
學位類別： 碩士
Master
系所名稱： 商學院 - 金融學系
Department of Money and Banking
論文出版年： 2014
畢業學年度： 102
語文別： 英文
論文頁數： 41
中文關鍵詞： 可轉換公司債 、信用風險 、流動性風險 、由前向後 、由後向前 、最小平方蒙地卡羅 、縮減式 、結構式
外文關鍵詞： convertible bond, credit risk, liquidity risk, forward method, backward method, LSMC, reduced-form, structural form
相關次數： 點閱：106  下載：24 
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    • 除了利率風險及信用風險外，我們發現在台灣的市場中可轉換公司債通常伴隨著流動性風險。在本文的可轉換公司債評價模型中，我們考慮了信用風險及流動性風險。在信用風險的部分，本文採用縮減式模型，建構出與股價呈反向關係的動態違約強度過程來估計信用風險。在流動性風險的部分，本文分別採用成交量法以及買賣價差法來估計流動性風險。在本文中，我們採用三種方法來做模擬，分別為由前向後法、由後向前法以及最小平方蒙地卡羅法。本文發現在相同的參數底下，由後向前法所評價出的價格為最大，最小平方蒙地卡羅法所評價出的價格居中，而由前向後法所評價出的價格為最小。另外，在最小平方法中，我們可以找到一個固定的參數適用於所有的可轉換公司債。在由前向後法中，不同的標的物會對應到不同的參數，因此使用前必須重新校正。

    There are some risks with convertible bonds, and we find that there are liquidity risks with convertible bonds in the Taiwan market. We consider the credit risk and liquidity risk in the model to price the convertible bonds. We construct the dynamic default intensity process by setting the function which is inverse to stock price to estimate the credit risk. We use two methods to estimate liquidity risk. One is to construct the liquidity factor table by separating the different volumes of the convertible bonds into different levels to estimate liquidity risk, the other method is using the average bid-ask spread over the average convertible bond price to estimate liquidity risk. In this thesis, we use three different methods including forward method, backward method and LSMC method to prices the convertible bonds. We find that under the same parameters, the prices of convertible bonds using the backward method are the highest, while prices of convertible bonds using the forward method are the lowest.

    Contents
    Abstract I
    Table Contents III
    Figure Contents IV
    1. Introduction 1
    1.1 Motivation 1
    1.2 Research Structure 2
    2. Literature Review 4
    3. Research Method 6
    3.1 Risk Description 6
    3.1.1 Credit Risk 6
    3.1.2 Liquidity Risk 13
    3.2 Pricing structure 18
    3.2.1 Pricing structure under risk neutral 18
    3.2.2 Pricing convertible bonds with credit risk and liquidity risk 20
    3. 3 Simulation Method 24
    3.3.1 Forward Method 25
    3.3.2 Backward Method 26
    3.3.3 Least Square Monte Carlo Method (LSMC) 27
    4. Empirical Analysis 28
    4.1 Data Description 28
    4.2 Empirical Result 31
    5. Conclusion 38
    6. Reference 40

    6. Reference
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