Duration and convexity of Taiwan corportate Bonds

• Main Authors: TSAI, Wan-ling, 蔡宛玲
• Other Authors: Lee,Shyan-Yuan
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/35723734392980166921

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.