Measure Sovereign Risk of Zero External Debt Country by Using Option Pricing Model

• Main Authors: Yu-Heng Chiou, 邱榆��
• Other Authors: 葉仕國
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/16748874203957737825

碩士 === 國立中興大學 === 財務金融系所 === 97 === The assessment of sovereign risk is of crucial important for international lenders and investors, Gray , Merton and Bodie (2007) measure sovereign risk based on the theory and practice of modern contingent claims analysis, but their model is not suitable for zero external debt country. Every country has its stock market, this research used information from stock market to measure sovereign risk of zero external debt country, and used option pricing model to analyze sovereign risk. Measures of risk exposures include rsk-neutral dfault probability, distance to default, and credit spread. Option theory suggests a number of way to measure exposure to risk, in this research, we use option leverage as our key risk indicator. Finally, Our model is apply on two country, Taiwan and Hong Kong.