The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model

碩士 === 國立高雄第一科技大學 === 金融營運所 === 96 === Abstract Probability default can be estimated by stock price and corporate bond price. Our search count Probability default by Bond Pricing Model (BGM，1997) and Stock Pricing (Merton，1974) and then compared with them which one is more close to CDS spread....

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Bibliographic Details
Main Authors:	Zi-Lang Chen, 陳子良
Other Authors:	Yi-Jen Wang
Format:	Others
Language:	zh-TW
Published:	2008
Online Access:	http://ndltd.ncl.edu.tw/handle/86358032406538033726

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spelling	ndltd-TW-096NKIT56670302015-10-13T12:18:16Z http://ndltd.ncl.edu.tw/handle/86358032406538033726 The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model 企業違約機率模型之比較:選擇權評價模型與BGM債券評價模型 Zi-Lang Chen 陳子良碩士國立高雄第一科技大學金融營運所 96 Abstract Probability default can be estimated by stock price and corporate bond price. Our search count Probability default by Bond Pricing Model (BGM，1997) and Stock Pricing (Merton，1974) and then compared with them which one is more close to CDS spread. We choose the corporation which issue corporate bond and CDS spread to be the samples. Analysis the probability of forward rate under Merton(1974) and BGM(1997) Model. We find the forward rate under stochastic process of libor rate , the prediction bias is smaller and more accurate. Yi-Jen Wang 汪逸真 2008 學位論文 ; thesis 66 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立高雄第一科技大學 === 金融營運所 === 96 === Abstract Probability default can be estimated by stock price and corporate bond price. Our search count Probability default by Bond Pricing Model (BGM，1997) and Stock Pricing (Merton，1974) and then compared with them which one is more close to CDS spread. We choose the corporation which issue corporate bond and CDS spread to be the samples. Analysis the probability of forward rate under Merton(1974) and BGM(1997) Model. We find the forward rate under stochastic process of libor rate , the prediction bias is smaller and more accurate.
author2	Yi-Jen Wang
author_facet	Yi-Jen Wang Zi-Lang Chen 陳子良
author	Zi-Lang Chen 陳子良
spellingShingle	Zi-Lang Chen 陳子良 The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model
author_sort	Zi-Lang Chen
title	The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model
title_short	The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model
title_full	The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model
title_fullStr	The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model
title_full_unstemmed	The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model
title_sort	comparsion of corporate default probability model:option pricing model versus bgm model
publishDate	2008
url	http://ndltd.ncl.edu.tw/handle/86358032406538033726
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The Comparsion of Corporate Default Probability Model:Option Pricing Model versus BGM Model

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