Are Credit Spreads Too Low or Too High? ：A Hybrid Barrier Option Approach

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 會議論文 > Item 987654321/95266

請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/95266

題名:	Are Credit Spreads Too Low or Too High? ：A Hybrid Barrier Option Approach
作者:	林蒼祥;孫效孔
貢獻者:	淡江大學財務金融學系
關鍵詞:	Asymmetric threshold cointegration;Barrier option;Credit risk;Diversifiable risk
日期:	2007-07
上傳時間:	2014-02-12 00:00:53 (UTC+8)
摘要:	Applying a modified barrier option model of credit risk based on Brockman and Turtle (2003) and Giesecke (2004), we explain in this study why corporate bond indices exhibit asymmetric pricing behavior. When yield spreads are quoted higher than expected, it tends to persist. But when they are lower than expected, their reversion to long term equilibrium is significant and prompt. This price pattern cannot be explained by the classical structural model with a standard option. Our hybrid model mitigates that problem while correcting unrealistic features of the barrier option model. The model characterizes the valuation of debt under financial stress and the asymmetric price pattern better than both the classical structural and the standard barrier option approaches. Through the aid of asymmetric threshold cointegration methods introduced by Enders and Granger (1998) and Enders and Siklos (2001), we are able to confirm the asymmetric pricing behavior. We also show that it is the systematic credit risk that underlies the price pattern. Results in this study offer better explanations to the pricing of corporate debt, especially the medium and high yield issues. Specifically, classical structural approach may have prescribed, while omitting an option barrier, higher than needed spreads for firms subject to higher credit risks.
關聯:	2007台灣財務工程學會年會暨台灣期貨交易所十周年國際研討會論文集，22頁
顯示於類別:	[財務金融學系暨研究所] 會議論文

文件中的檔案:

檔案	大小	格式	瀏覽次數
Are Credit Spreads Too Low or Too High ：A Hybrid Barrier Option Approach_英文摘要.docx	16Kb	Microsoft Word	175	檢視/開啟

在機構典藏中所有的資料項目都受到原著作權保護.

TAIR相關文章

資料載入中.....