Pricing Convertible Bonds with Default Risk: A KMV Approach

• Main Authors: Wan-yi Lee, 利菀怡
• Other Authors: Lin, Bing-Huei
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/6mx88p

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.