서지주요정보
회사채 평가에 영향을 미치는 요인 분석 = An analysis of factors affecting the valuation of corporate bonds
서명 / 저자 회사채 평가에 영향을 미치는 요인 분석 = An analysis of factors affecting the valuation of corporate bonds / 윤성혜.
저자명 윤성혜 ; Yun, Seong-Hye
발행사항 [대전 : 한국과학기술원, 2002].
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등록번호

8013212

소장위치/청구기호

학술문화관(문화관) 보존서고

MGSM 02097

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도서상태

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등록번호

9008731

소장위치/청구기호

서울 학위논문 서가

MGSM 02097 c. 2

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초록정보

The valuation of corporate debt is an important issue in asset pricing; while there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models. Recently there has been extensive development of rating based reduced form models. These models take as a premise that bonds when grouped by ratings are homogeneous with respect to risk. For each risk group the models require estimates of several characteristics such as the default probabilities and the recovery rate. These estimates are then used to compute the theoretical price for each bond in the group. The purpose of this paper is to examine the pricing of corporate bonds when bonds are grouped by ratings and to investigate the ability of characteristic, in addition to bond rating. In this paper the characteristics of bonds that vary within a rating class are as follows; A. Default Risk B. Liquidity C. Tax Liability D. Recovery Rates E. Bond Age As expected, the results of the empirical analysis for all the characteristics of the bonds are consistent with pricing errors and conclude that these are factors that could lead price differences but bond age.

서지기타정보

서지기타정보
청구기호 {MGSM 02097
형태사항 iv, 53 p. : 삽도 ; 26 cm
언어 한국어
일반주기 부록 : 1, 채권종류별 잔존만기별 시가평가 기분수익률. - 2, Nelson and siegel
저자명의 영문표기 : Seong-Hye Yun
지도교수의 한글표기 : 김인준
공동교수의 한글표기 : 김동석
지도교수의 영문표기 : In-Joon Kim
공동교수의 영문표기 : Tong-Suk Kim
학위논문 학위논문(석사) - 한국과학기술원 : 금융공학전공,
서지주기 참고문헌 수록
주제 Jarrow and turnbull 모형
신용등급별 모형가격과 가격 오차
가격결정에 영향을 미치는 회사채 성격
부도율
회수율
Jarrow and Turnbull model
bond characteristics
bond ratings
pricing error for each rating
default probability and recovery rate
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