Tang Hoi-man = 受抵押品保護的公司債券的估值 / 鄧凱文. / Thesis submitted in: December 2004. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 69-72). / Text in English; abstracts in English and Chinese. / Tang Hoi-man = Shou di ya pin bao hu de gong si zhai quan de gu zhi / Deng Kaiwen. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.3 / Chapter 2.1 --- Review of Merton Model [24] --- p.4 / Chapter 2.1.1 --- Refinement of the Structural Model --- p.6 / Chapter 2.2 --- "Hui, Lo, Huang and Lee model" --- p.8 / Chapter 2.3 --- Recent models consider the PD-RR relationship --- p.11 / Chapter 2.3.1 --- Frye model --- p.11 / Chapter 2.3.2 --- Jokivuolle and Peura model --- p.12 / Chapter 3 --- The Valuation of Collateralized Corporate Bond --- p.13 / Chapter 3.1 --- The framework of the Model --- p.13 / Chapter 3.2 --- The Valuation of Collateralized Corporate Bond --- p.17 / Chapter 3.2.1 --- Derivation of Collateralized Corporate Bond --- p.18 / Chapter 3.2.2 --- "Relation between Proposed Model and Hui, Lo, Huang and Lee Model" --- p.22 / Chapter 4 --- The Study of the Closed-form Solution --- p.24 / Chapter 4.1 --- Applications --- p.24 / Chapter 4.1.1 --- Probabilities of Default --- p.25 / Chapter 4.1.2 --- Expected Loss-given-default --- p.26 / Chapter 4.2 --- Closed-form solution and Monte-Carlo Simulation --- p.29 / Chapter 4.2.1 --- Closed-form Solution --- p.29 / Chapter 4.2.2 --- Monte-Carlo Simulation --- p.31 / Chapter 4.2.3 --- Comparison between Closed-form Solution and Monte- carlo Simulation --- p.33 / Chapter 5 --- Data Analysis and Discussion --- p.38 / Chapter 5.1 --- Effects on ELGD of Different Parameters --- p.38 / Chapter 5.1.1 --- "Effect of Initial Collateral Value, S0" --- p.39 / Chapter 5.1.2 --- "Effect of Collateral's Volatility, σs" --- p.39 / Chapter 5.1.3 --- "Effect of Correlation between Firm's Leverage Ratio and Collateral, pLS" --- p.40 / Chapter 5.1.4 --- "Effect of residue recovery rate, δ" --- p.40 / Chapter 5.1.5 --- "Effect of Maturity, T" --- p.41 / Chapter 5.2 --- Initial Setting of Parameters --- p.42 / Chapter 5.3 --- Effects on ELGD for Different Rated Firms --- p.43 / Chapter 5.3.1 --- Effects on ELGD of Different S0 and σs --- p.45 / Chapter 5.3.2 --- Effect on ELGD of Different S0 and pLS --- p.47 / Chapter 5.3.3 --- Effect on ELGD of Different S0 and δ --- p.49 / Chapter 5.3.4 --- Effect on ELGD of Different S0 and T --- p.51 / Chapter 5.3.5 --- Effect on ELGD of Different and pLS --- p.53 / Chapter 5.3.6 --- Effect on ELGD of Different σs and δ --- p.55 / Chapter 5.3.7 --- Effect on ELGD of Different and T --- p.57 / Chapter 5.3.8 --- Effect on ELGD of Different pLS and δ --- p.59 / Chapter 5.3.9 --- Effect on ELGD of Different pLS and T --- p.61 / Chapter 5.3.10 --- Effect of on ELGD Different 6 and T --- p.63 / Chapter 5.4 --- Summary --- p.65 / Chapter 6 --- Conclusion --- p.67 / Bibliography --- p.69 / Chapter A --- Derivation of Pricing Equation --- p.73
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325446 |
| Date | January 2005 |
| Contributors | Tang, Hoi-man., Chinese University of Hong Kong Graduate School. Division of Physics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, ix, 81 leaves : col. ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
Page generated in 0.0082 seconds