使用改良結構式模型運用於信用風險及資本結構

Abstract

財務金融日新月異，造就了許多公司企業運用各式各樣的方法美化財務報表或投資於高槓桿的金融商品。進而影響公司正常的營運，嚴重者甚至使公司發生違約而破產。因此，信用風險議題逐漸受到金融界重視，本文提出新的數值方法SJ-DFPM，以離散時間點觀察公司資產價值與違約門檻之間的關係。除了償還公司債的跳躍因子外，還增加公司營業所得稅及破產成本因子，期盼模型能更符合真實狀況來預測違約的發生。

As the knowledge of finance has its field extended and progressed, many corporations have tried to apply all kinds of methods to transfigure financial statements or invest in financial derivatives of high leverage. These attempts would influence corporations to operate normally or even account for default then lead to bankruptcy. This phenomenon therefore raises the concern of financial field on the issues of credit risk. This paper brings up a new numerical method: SJ-DFPM, which explores the relationship between the value of corporate assets and the threshold of default. In addition to the jump factors of corporate bond repayment, the paper further joins the factors of the corporate taxes and bankrupt cost into the model to make it correspond to real situation more and finally able to forecast corporate default.