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Pricing a Defaultable Convertible Bond by Simulation
Keehwan Park(박기환),Mookwon Jung(정무권),Sangki Lee(이상기) 한국증권학회 2017 한국증권학회지 Vol.46 No.4
본 연구는 Longstaff-Schwartz 몬테카를로 시뮬레이션 최소자승법을 이용하여 부도위험이 있고 (defaultable) 콜옵션이 있으며(callable), 그리고 전환옵션이 있는(convertible) 채권의 가격을 산정하는 단순한 방법을 제공한다. 전환사채의 가격은 주가의 동태적 움직임으로 나타낸다. 우리 모형의 주요 특징은 특정 시점에서 채권 발행자가 부도가 나면, 발행자와 투자자가 각각 자신에게 유리한 옵션을 선택한 경우와 같이 시뮬레이션 표본경로를 종결하고 현금흐름을 무위험 이자율로 역으로 할인하여 현재의 가치를 산정하는 것이다. 결국 부도가 나는 경로는 특정시점주가의 하위 일정 백분율이 될 것인데, 이는 발행자와 동일한 등급 기업의 누적 또는 한계확률에 의해 외생적으로 결정된다. 우리는 우리의 시뮬레이션 모델을 적용한 결과 전환 사채 가격은 부도확률과 회수율에 의해 결정된다는 것을 발견하였다. In this study, we offer a simple way to price a defaultable, convertible, and callable bond by applying the Longstaff-Schwartz Least Squares simulation method. In our model, the stock price is a driving force for valuing the security. A key idea is to terminate the simulated sample path immediately when the issuer defaults on the bond at time t, the same as when the investor and the issuer optimally exercise their option, and to discount back the resulting cash flows at a risk-free rate. In turn, the defaulted group of the sample paths belongs to a bottom x percentile of the realized stock prices at each time, which is exogenously given by the cumulative or marginal default probability of a firm equally rated as the issuer. We apply our simulation model to a zero-coupon, callable, convertible and defaultable bond and show that the price depends on its default probability and recovery ratio.
Jump Risk and Expected Returns on Debt and Equity
Keehwan Park 한국재무학회 2008 한국재무학회 학술대회 Vol.2008 No.11
Our paper estimates expected returns on equity using the corporate yield and historical default experience in the bond market. This is done by reframing the Merton (1974) model in the context of the general equilibrium model such as the Ahn and Thompson (1988). By doing so, we account for systematic jump risk in estimating the expected return on equity and extend Cooper and Davydenko (2003) and Campello, Chen and Zhang (2006) to the case of systematic jump risk. We find that jump risk raises the expected return on equity without increasing the volatility of the firm value and our estimates fit quite well in the historical returns over the period of 1926-2005 in the U.S. capital market.
Risk Premium and Convexity Premium in the Stock Return
Keehwan Park,Saekwon Kim 한국재무학회 2011 한국재무학회 학술대회 Vol.2011 No.05
We model and estimate equity premium in a general equilibrium setting. It is done by reframing the Merton's model (1974) in the context of the general equilibrium models such as Ahn and Thompson (1988) and Bates (1991). A novelty of our approach is to derive equity premium by evaluating the equity returns dynamics at equilibrium and to thereby allow a non-risk convexity premium for equity as well as its risk premium. While risk premium is generally due to systematic risk, convexity premium is due to the option-like feature of equity, and exists under returns discontinuity and risk neutrality. We model equity premium such that the convexity premium pays for the liquidity cost of equity. We calibrate our equity premium model and report that the convexity premium counts for about 50 percent of our predicted equity premium. We find relevance of our non-risk convexity premium on the premium puzzle and anomalies in the stock market.
An Empirical Study of Credit Spreads in an Emerging Market : The Case of Korea
Keehwan Park,Chang Mo Ahn,Dohyeon Kim,Saekwon Kim 한국재무학회 2010 한국재무학회 학술대회 Vol.2010 No.11
Empirically we test the Merton-type model (1974) of credit risk in an emerging market such as the Korean corporate bond market. For that purpose, we assume two alternative firm value processes: Diffusion process for the Merton (1974) model and jump-diffusion process for our extended model in a general equilibrium setting. Our empirical results show that the diffusion model generally underpredicts spreads – which is referred to as “the credit spread under prediction puzzle” in the literature, while our jump-diffusion model somewhat raises the predicted spreads. We assert that jump raises the spreads on two grounds. Firstly, an extremely large (negative) change tends to increase the probability for a firm to default particularly over a short-time horizon. Secondly, jump requires the systematic risk premium for a positively correlated firm particularly when the market turns extremely volatile.
3축 홀 센서를 이용한 전자식 변속 레버 패턴 검출 방법에 관한 연구
권기환(Keehwan Kwon),강정훈(Junghoon Kang),강상국(Sangkook Kang) 한국자동차공학회 2015 한국자동차공학회 부문종합 학술대회 Vol.2015 No.5
As the customers’ demand regarding new electronic technology is highly increased in the market of vehicle industry, electronic gear selector levers were emerged into the world. So, called Shift-by-wire. It enables the drivers to have comfortable handling with small operation angles and a low but precise shifting force. Also it has contributed automobile fuel efficiency by removing the heavy and massive Bowden cable. It would not have been possible without the sensor technology. So far, 2-axis and discrete hall-effect sensors have been used mainly. 2-axis sensors, however, are less degree of freedom of the shift pattern. In addition, discrete type sensors require an array of many IC. This results in an increase in growth of package size and price of the product. 3-axis hall-effect sensor solves these two problems at the same time. In this paper, we present an electronic gearshift pattern application by using three axis hall sensor. Especially, we mainly focus on the feasibility to extend the pattern used in the implementation to general gearshift pattern.
金基煥,朴正淑 嶺南大學校 基礎科學硏究所 1997 基礎科學硏究 Vol.17 No.-
We introduce an iteration method for common fixed points of some nonlinear mappings which are more general than a generalized contraction and then prove a convergence theorem containing that of Q. Liu [4] for this definition in a nonempty convex subset of a Banach space.
金基煥,申相植 嶺南大學校 基礎科學硏究所 1997 基礎科學硏究 Vol.17 No.-
In this paper we shall give some results on approximating fixed points in Banach spaces, which are generalizations of the Singh-Watson [6], Pietramala [4] and AcedoXu [1]
김기환,유정 嶺南大學校 基礎科學硏究所 1996 基礎科學硏究 Vol.16 No.-
Many authors have generalized the Banach's Contraction Principle. In this paper, we presents a new proof of a result due to Ohta-Nikaido by considering the diameter of the orbit on compact metric spaces.