| Summary: | 碩士 === 國立臺灣大學 === 商學系 === 84 === Bierwag and Kaufman (1977) model will be applied in this thesis
to adjust the duration and convexity of corporate bonds with
default risk. Vasicek two-factor unconstrained model will be
used to acquire the yield to maturity of equivalent government
bonds on behalf of risk-free interest rate. The empirical re-
search includes all corporate bonds which were issued during
1992/1/1-1995/12/31 and findings are as follows: Because of the
existence of default risk, the default time point and amount
are so uncertain for corporate bonds that duration and convexit
can't be assured. In addition, the probability of default which
may be influenced by the company's financial status, operating
result, and economic changes will not be a fixed value. On
considering all the default time pattern and possible amount,
we would rather obtain the upper and lower bound of the
duration and convexity. Duration and convexity of corportate
bonds with default risk would be a distribution between a range
rahter than a particular value.
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