衡量有考慮策略性債務清償的結構式模型的信用風險

Abstract

財務工程領域中衡量信用風險是很重要的一個議題，而結構式模型是去建立出公司價值的變化並決定違約與清算事件發生的模型。根據美國破產法第十一章，破產不意味著須馬上清算。清算與違約過程是決定股東、債權人與公司價值很重要的因素，因為清算成本的存在，債權人想要延後清算，同時也給了股東用策略性的方法來償還債務的機會，這個理論建立出股東與債權人策略性債務清償的模型。用CRR二元樹數值方法再利用結構式模型去建立出一個同時考慮策略性債務清償、稅盾效果與財務危機成本的模型，衡量債權人與債務人在不同狀態下的行為動態移轉，違約門檻的設定也突破以往結構式模型的決定方法，股利計算是利用展樹機率作調整，期盼模型能更符合真實狀況。

Measuring the credit risk problem is vital in financial engineering field. The structural model is a credit-risk model that models the evolution of the firm value and that determines the event of default (and liquidation). However, the bankruptcy doesn’t lead to immediately liquidation due to chapter 11 of U.S Bankruptcy Code. Liquidation and default procedures are important factors to determine the values of equity, debt and firm. Because of the liquidation cost, debt holders want to delay the liquidation, and it provides equity holders an opportunity to repay the loan strategically .The thesis models the debt strategic service of equity holders and the liquidation concerns of debt holders. I provide a numerical model to evaluate the credit risk by simultaneously considering the debt strategic service, tax benefit, and bankruptcy cost under the structural model.