The Estimation for Hazard Rates by Prices of Convertible Bonds

[[abstract]]本研究是以Cox Ross and Rubinstein (1979) 和 Hull and White (1990)模型說明股價與利率的動態波動過程，同時在每個節點都存在違約與不違約兩種可能，建構股價、利率及信用風險之下之樹狀結構圖。透過此模型以二分法的方式去找出可轉換公司債市價每月之違約機率。利用此違約機率說明違約強度(hazard rate)，是否都受金融事件發生的時間點上，公司是否都產生影響，在以產業分別的方式看出某產業是否在所有產業中為違約機率最高者。 研究結果發現以可轉換公司債市價估算公司之違約機率，在當股市受到金融事件所影響時，違約機率會有明顯的上升，而在區別產業的違約機率也可看出某產業在產業分類上有較明顯之違約機率。[[abstract]]We use Cox Ross and Rubinstein (1979) and Hull and White (1990) to describe the stochastic process of stock price and interest rate Meanwhile each node consists of two possibilities default or not default We can construct convertible bond pricing model by considering interest rate process stock process and credit risk and as CB price as given to find out the hazard rate of CB We use the default probabilities description of the hazard rate are subject to financial incidents occurred at a time point the company have an impact on industries are the way to see one industry is the highest probability of default in all industries The result of my research show that the estimation for hazard rate by prices of the convertible bonds the hazard rate rises dramatically while the stock market is affected by financial incidents Besides the default probabilities in different industries show that a certain industry has distinct default probabilities in the industry categor