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隨機利率下L眤vy 過程在信用風險之應用：結構式模型 = The App...

國立高雄大學亞太工商管理學系碩士班

隨機利率下L眤vy 過程在信用風險之應用：結構式模型 = The Application of L眤vy Processes with Stochastic Interest Rates in Structural Models

紀錄類型:	書目-語言資料,印刷品 : 單行本
並列題名:	The Application of L眤vy Processes with Stochastic Interest Rates in Structural Models
作者:	林德政,
其他團體作者:	國立高雄大學
出版地:	[高雄市]
出版者:	撰者;
出版年:	2008[民97]
面頁冊數:	89面圖，表 : 30公分;
標題:	跳躍擴散模型
標題:	Jump-diffusion process
電子資源:	http://handle.ncl.edu.tw/11296/ndltd/30074755969662423283
附註:	指導教授：林士貴
附註:	參考書目：面48-53
摘要註:	Merton (1976)提出跳躍擴散模型評價有風險債券，假設擴散部分代表系統風險，而跳躍部分代表公司特有風險，成為結構式模型的主軸。然而Jarrow and Rosenfeld (1984)與Kim et al. (1994)經過實證發現，跳躍部分主要為系統風險。本文假設資產動態過程為L眤vy過程，利率為隨機，同時放寬跳躍部分為系統性風險，採用Esscher transform 處理機率測度的轉換，計算負債價值與違約機率。另外跳躍頻率也進一步假設，由原本的普瓦松過程放寬為馬可夫調整普瓦松過程。數值分析結果發現在跳躍頻率服從普瓦松過程之下，隨著負債到期日的增加，跳躍幅度的平均值、變異數、跳躍頻率與負債價值呈現負相關，與違約機率呈現正相關。在跳躍頻率服從馬可夫調整普瓦松過程之下，越容易停留狀態之跳躍頻率，對於負債價值的影響越大。本文模型計算負債價值與違約機率，可適用於系統風險造成資產價值發生跳躍，例如美國次級房貸風暴，亦可在不同跳躍頻率的情況之下使用。 In jump-diffusion process, jump component is supposed to reflect non-systematic risk. In terms of CAPM, this means that the jump risk is not priced. However, Jarrow and Rosenfeld (1984) and Kim et al. (1994) document that jump component mainly represent systematic risk. In this paper, we not only suppose the jump risk is non-diversifiable but also model the firm value as the exponential of a L眤vy process. Assuming jump risk is systematic will need the well-established technique, Esscher transform for change of measure. In particular, we set the arrival of new information may be modeled by Markov modulated Poisson Process and adopt the Vasicek stochastic interest rate model. Our model can price risky debt under different jump intensity when jump risk is systematic, like subprime mortgage crisis.

隨機利率下L眤vy 過程在信用風險之應用：結構式模型 = The Application of L眤vy Processes with Stochastic Interest Rates in Structural Models
林, 德政

隨機利率下L眤vy 過程在信用風險之應用：結構式模型 = The Application of L眤vy Processes with Stochastic Interest Rates in Structural Models / 林德政撰 - [高雄市] : 撰者, 2008[民97]. - 89面 ; 圖，表 ; 30公分.
指導教授：林士貴參考書目：面48-53.
跳躍擴散模型Jump-diffusion process

隨機利率下L眤vy 過程在信用風險之應用：結構式模型 = The Application of L眤vy Processes with Stochastic Interest Rates in Structural Models
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