标题: 在跳跃扩散过程之下衡量有考虑破产保护的信用风险
Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
作者: 柯婷瑱
Ke, Ting-Tien
戴天时
Dai, Tian-Shyr
资讯管理研究所
关键字: 信用风险;结构式模型;跳跃扩散;策略性债务清偿;破产保护;破产门槛;Credit risk;Structural model;Jump-Diffusion process;Debt strategy service;Bankruptcy protection;Bankruptcy barriers
公开日期: 2010
摘要: 如何评价债权人、股东及公司价值是研究公司资本结构及信用风险研究领域中的重要议题,金融海啸爆发时,许多公司财务受到严重的影响,因而申请破产保护。因此,衡量破产保护对信用风险的影响显得十分重要。目前有许多申请破产保护之下公司债与公司价值的研究,包括Broadie, Chernov and Sundareasan (2007) 及Broadie and Kaya (2007) 等结构式模型。但是这些都假定公司资产价值下探至一个外生给定的破产门槛 (bankruptcy barrier) 即发生违约事件。本篇论文以 BTT 数值方法分析股东与债权人的行为, 模拟申请第十一章破产保护及进行策略性债务清偿动作之下,公司、股东与债权人价值的变动。本篇的破产门槛为债权人与股东经过比较各自价值后决定最有利的门槛,该门槛与时间变动相依。并且考虑公司资产可能发生跳跃的情况,假设资产服从跳跃扩散过程,解决结构式模式下短期间 credit spread 趋近于零之问题。
Evaluating the equity value, debt value and leveraged firm value is a significant issue in measuring optimal capital structure and credit risk. The global financial crisis had greatly weakened the financial status of many companies and caused some companies applying for Chapter 11 of the U.S Bankruptcy Code for bankruptcy protection. Thus, the effects of filing for Chapter 11 play an important role in credit risk studies. Broadie, Chernov and Sundareasan (2007) and Broadie and Kaya (2007) model the Chapter 11 proceedings by the structural model with an exogenous bankruptcy barrier. This thesis models endogenous bankruptcy barriers--- the default and liquidation decisions are determined by considering equity and debt holders’ decisions in order to maximize themselves benefits. The firm value is assumed to follow the jump-diffusion process to generate larger short-term credit spread than the lognormal diffusion process to fit the market observations.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079734530
http://hdl.handle.net/11536/45495
显示于类别:Thesis


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