Pricing Convertible Bonds with Default Risk: A KMV Approach
碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === This thesis combined the KMV model with the Binomial-tree model for pricing con-vertible bonds (CBs). The KMV model is a sort of structural models for credit risk to generate the Expected Default Frequency (or EDF). Some numerical examples are given to illustra...
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ndltd-TW-095NTUS53040312019-05-15T19:48:56Z http://ndltd.ncl.edu.tw/handle/6mx88p Pricing Convertible Bonds with Default Risk: A KMV Approach 考慮信用風險之可轉債訂價-KMV模型 Wan-yi Lee 利菀怡 碩士 國立臺灣科技大學 財務金融研究所 95 This thesis combined the KMV model with the Binomial-tree model for pricing con-vertible bonds (CBs). The KMV model is a sort of structural models for credit risk to generate the Expected Default Frequency (or EDF). Some numerical examples are given to illustrate our model and others. Five zero-coupon CBs issued in the U.S. are collected to conduct the empirical studies to compare the results of our model and the real market price. Lin, Bing-Huei Jr-yan Wang 林丙輝 王之彥 2007 學位論文 ; thesis 36 en_US |
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碩士 === 國立臺灣科技大學 === 財務金融研究所 === 95 === This thesis combined the KMV model with the Binomial-tree model for pricing con-vertible bonds (CBs). The KMV model is a sort of structural models for credit risk to generate the Expected Default Frequency (or EDF). Some numerical examples are given to illustrate our model and others. Five zero-coupon CBs issued in the U.S. are collected to conduct the empirical studies to compare the results of our model and the real market price.
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Lin, Bing-Huei |
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Lin, Bing-Huei Wan-yi Lee 利菀怡 |
author |
Wan-yi Lee 利菀怡 |
spellingShingle |
Wan-yi Lee 利菀怡 Pricing Convertible Bonds with Default Risk: A KMV Approach |
author_sort |
Wan-yi Lee |
title |
Pricing Convertible Bonds with Default Risk: A KMV Approach |
title_short |
Pricing Convertible Bonds with Default Risk: A KMV Approach |
title_full |
Pricing Convertible Bonds with Default Risk: A KMV Approach |
title_fullStr |
Pricing Convertible Bonds with Default Risk: A KMV Approach |
title_full_unstemmed |
Pricing Convertible Bonds with Default Risk: A KMV Approach |
title_sort |
pricing convertible bonds with default risk: a kmv approach |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/6mx88p |
work_keys_str_mv |
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