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Do the Economies of Specialization Justify the Work Ethics? An Examination of Buchanan's Hypothesis
Increasing Returns and Economic Efficiency
This paper focuses on evaluating the credit risk of corporate bond in the fixed income market of Taiwan. We apply Vasicek (1977) model into Merton's (1974) option framework and obtain a closed-form solution of the options model. The solution algorithm employs the Newton-Raphson method in combination with the inverse quadratic interpolation and bisection technique of Dekker (1967) to find out the roots and calculate the credit spread. The result shows that the average credit spread is 1.346%,doi:10.1057/9780230236813_10 fatcat:mwsr62hpcjgvhe7bhqekdx52ne