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系統識別號 U0026-1007201119574200
論文名稱(中文) 信用違約交換價格的決定因素
論文名稱(英文) The Determinants of Credit Default Swap Price
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance & Banking
學年度 99
學期 2
出版年 100
研究生(中文) 蔡宛諭
研究生(英文) Wan-Yu Tsai
學號 R86985013
學位類別 碩士
語文別 英文
論文頁數 39頁
口試委員 指導教授-王澤世
口試委員-陳怡凱
口試委員-劉裕宏
中文關鍵字 信用違約交換  信用風險  違約機率  市場模型 
英文關鍵字 Credit default swap  credit risk  default probability  structural model 
學科別分類
中文摘要 本篇論文主要探討信用違約交換價格的決定因素。資料來源方面,本篇採用S&P 1000有 CDS 資料信用評等的美國公司為樣本,樣本期間為 2003 年至 2009 年。本研究探討傳統市場信用風險模型和會計變數對信用違約交換價格的解釋能力。實證結果顯示大部分的估計係數有顯著符合理論。本研究結果顯示市場信用風險模型變數比會計變數解釋力強,特別是槓桿可解釋一部份的信用違約交換價格的變異。另外市場模型的 beta 值的確存在風險意酬的效果。
英文摘要 This paper investigates the determinants of credit default swap (CDS) spreads for U.S. firms listed on the S&P1000 for which CDS data was available over the period 2003-2009. We use variables suggested by structural models as well as accounting-based variables to examine the relationship between these variables and CDS spread changes. Our empirical results indicate that most of the estimated coefficients of the determinants of CDS spreads are significant and are consistent with theory. We find that market model-based variables perform better than accounting-based variables; in particular, leverage is able to explain a significant proportion of the variation in CDS spreads. We also focus on how beta affects default risk within the market model-based model and the implications that it has on default probability.
論文目次 CONTENTS
摘要 I
ABSTRACT II
ACKNOWLEDGEMENTS III
CONTENTS IV
LIST OF TABLES V
LIST OF FIGURES VI
Chapter One Introduction 1
Chapter Two Literature Review 6
2.1 Pricing of Credit Risk 6
2.2 KMV Model and EDF Measures 9
2.3 Empirical evidence on the determinants of CDS prices 12
Chapter Three Data and Methodology 18
3.1 Data Collection 18
3.2 Theoretical determinants of CDS spread 19
3.2.1 Market Model-Based Variables 19
3.2.2 Accounting Based Variables 21
3.3 Methodology 24
Chapter Four Empirical Results 27
4.1 Descriptive statistics 27
4.2 Regression Results 28
4.2.1 Univariate regression results 28
4.2.2 Multivariate regression results 30
Chapter Five Conclusion 34
References 36
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