An Empirical Analysis of Structural Models for Corporate Bond Pricing
Date Issued
2014
Date
2014
Author(s)
Lin, Yi-Chen
Abstract
This thesis conducts an empirical analysis for corporate bond prices and their credit spreads with several classical structural models. Following Eom, Helwege, and Huang (2004), I examine the models of Merton (1974), Geske (1977), Longstaff and Schwartz (1995), Leland and Toft (1996), and Collin-Dufresne and Goldstein (2001). Moreover, according to Chang (2012), the underestimation of the credit spread based on Collin-Dufresne and Goldstein’s (2001) stationary leverage structural model can be resolved by incorporating the jump process into their stationary leverage stochastic process. Therefore, this thesis also examines this new structural model based on the stationary leverage ratio with jumps. Following the criteria proposed in Eom, Helwege, and Huang (2004) to screen corporate bonds, I obtain several corporate bonds issued between 2002 and 2007 in the U.S. as the study sample to investigate the performance of the above-mentioned six structural models for evaluating the bond prices and their credit spreads.
Subjects
結構式模型
對數槓桿比
隨機利率
跳躍擴散
回溯推算過程
實證分析
Type
thesis
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