碩士 / 國立高雄第一科技大學 / 財務管理所 / 93 / Euro Convertible Bond ( hereafter referred to as ECB) can be deemed as combine the financial products of ‘ the pure convertible Band ' and ' call option ', It is suitable for conservative investors. Because ECB can be exchanged through the asset swap it makes different investment demands match each other, meet different cash flow of investors, all persons who participate in the products can make the capital market more efficient and make ECB asset swap market grow up more quickly.
There is no one open trade platform while dealing ECB asset swap, in the primary market dealers, mainly consult the distributor's quotation, and on the secondary market, by each quotation of the trader, both sides buy and sell the decision of consulting through the counter again, the quotation of the credit spread does not have certain standard to deal the asset swap. The quotation of the credit spread of the same subject differs from the different securities traders even at the same time, the offer spread up to the difference of 100bps. This paper also find out ECB price, pure convertible bond price, call option value of ECB, credit spread of ECB Asset Swap refer to deal.
The paper pricing ECB and their asset swap as theme of study is very rare. This paper is mainly about pricing ECB and their asset swaps subject to interest rate, equity, exchange rate, and credit risk. The Empirical and Investigation result shows, the trader quotation of the credit spread is obviously underestimated, the credit spread that the trader offers is obviously lower than the Empirical credit spread, the relation between of the market offers credit spread shows that the high credit spread and the Empirical credit spread is positive correlation, and the greater the price differential among the higher credit spread of the market offer, so the Empirical result shows that the larger credit spread will be more serious underestimated .
The setting up of rating system for ECB issuing company not only contribute to the obtaining of overseas financing, through the rating System, even give more help to set up the suitable credit spread in order to the credit spread quotation while exchanging as the asset swap.
| Identifer | oai:union.ndltd.org:TW/093NKIT5305001 |
| Date | January 2005 |
| Creators | Wei-Min Wu, 吳維民 |
| Contributors | Chou-WEN Wang(王昭文）, 王昭文 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 93 |
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