Browsing by Author "Treerapot Kongtoranin"
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ItemThe determinants of credit spread changes of investment grade corporate bonds in Thailand between June 2006 and February 2012 : an application of the regime switching model(Assumption University, 2013) Treerapot Kongtoranin ; Assumption University. Martin de Tours School of Management and EconomicsThis study proposes the two-state regime-switching model to explain the change of credit spread for investment grade corporate bonds in Thailand. The regimes of low and high volatility are extracted by Markov switching model. The results suggest that the model can improve explanatory power. The sensitivities of the risk factors including interest rate, macroeconomic, and liquidity factors increase in the high volatility regime rather than in the low regime. However, the liquidity factors are not significant for low credit rating corporate bonds.
ItemWarrant pricing model : an empirical study on the valuation models for warrants listed in Thailand(Assumption University, 2007) Ekkachai Boonchuaymetta ; Treerapot Kongtoranin ; Assumption University. Martin de Tours School of Management and EconomicsThis empirical study focwes on examining the relative performance between four wa"ant pric- ing models; Black-Scholes-Merton Model (BS), Galai and Schneller Model (GS), a Dilution Adjusted- BlacJc -Scholes Model (DA.BS), and Square-Root Constant Elasticity of Variance (SRCEV) of Beclrers. Over 8,000 daily wa"ant prices on 14 most actively traded wa"ants in Thailand are employed. We.find that among models, BS model provides the best accuracy. In terms of moneyness and maturity, BS model calculates accurately for out-of-the-money and short-term maturity, while the SRCEV model outperforms for in-the-money and long-term maturity. In terms of volatility, DABS, GS and SRCEV models are better than the BS model.