รายละเอียดบทความ
| ชื่อเรื่อง |
Application of structural credit risk models in the Thai Corporate Bond Market
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| ชื่อเรื่องรอง |
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| ชื่อผู้แต่ง |
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| หัวเรื่องคำสำคัญ |
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| หัวเรื่องควบคุม |
| 1. | หุ้นและการเล่นหุ้น |
| 2. | หุ้นกู้ |
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| คำอธิบาย / บทคัดย่อ |
For investments in corporate bond markets throughout the world, credit risk models calibrated to equity markets are often relied upon to quantitatively assess risk and return risk and return tradeoffs of investment decisions. This is especially true in a developing market such as Thailand, where the corporate bond market lacks the breadth and depth of more developed financial markets, and other credit risk assessment methodologies cannot be applied. In Thailand, breadth and depth of the equity market dose all the use of structural credit risk models which are calibrated to equity prices. Structural credit risk models use an option-pricing approach with the analogy of equity as a call option on the value of the assets of the firm. Structural credit risk models have been the subject of many empirical studies and commercial applications for both pricing and default prediction of corporate securities. However, prior empirical research on the Thai corporate bond market has shown the performance of the models to be inconsistent with that which has typically been observed in more developed capital markets. Hence it is not clear that the degree of linkage between the equity and credit markets in Thailand is sufficient for this methodology.
In this study, we look at pricing performance of two structural credit risk models, the Merton (1974) and down-and-out call barrier option. This study utilizes the maximum likelihood calibration methodology that avoids bias in the parameter estimates of the models and allows for statistical inference of the results even in a limited sample study. This study will focus the pricing errors in actively traded bonds in the period following the post-Asian financial crisis of 1997, from 2000 to 2005. The pricing errors are tested for other influencing factors in the risk bond credit spreads. After screening for anomalies in the Thai corporate bond market data, results here show a credit-equity linkage that is more in line with prior empirical research such as has been done in the U.S. The noted anomalies in the Thai bond market can offer an explanation for prior studies that have conflicted with the more typical results.
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