A Research on Taiwanese Corporate Bond Tranches, Reasonableness of Transaction Price, And Credit Curve Construction
碩士 === 臺灣大學 === 財務金融學研究所 === 98 === In early days, corporate bond tranche had been a serious problem in Taiwanese corporate bond markets because the transaction prices fail to reflect true values of the corporate bond. We analyzed the primary market of Taiwanese corporate bond from 1991 to 2009 and...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75788300379288200357 |
| Summary: | 碩士 === 臺灣大學 === 財務金融學研究所 === 98 === In early days, corporate bond tranche had been a serious problem in Taiwanese corporate bond markets because the transaction prices fail to reflect true values of the corporate bond. We analyzed the primary market of Taiwanese corporate bond from 1991 to 2009 and found that the tranche problem has been improved since the announcement of the bond tranches regulation in 2006. Furthermore, we calculated the differences between the quote prices and the transaction prices from 2006 to 2009 and studied the reasonableness of Taiwanese corporate bond prices. The results indicated that during most transaction days, the differences between the quote and transaction prices were insignificant. Finally, we constructed a model to establish credit curves using the Taiwanese treasury bond and corporate bond yield curves and compared the credit curves of multiple dates.
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