在跳躍擴散過程之下衡量有考慮破產保護的信用風險

Abstract

如何評價債權人、股東及公司價值是研究公司資本結構及信用風險研究領域中的重要議題，金融海嘯爆發時，許多公司財務受到嚴重的影響，因而申請破產保護。因此，衡量破產保護對信用風險的影響顯得十分重要。目前有許多申請破產保護之下公司債與公司價值的研究，包括Broadie, Chernov and Sundareasan (2007) 及Broadie and Kaya (2007) 等結構式模型。但是這些都假定公司資產價值下探至一個外生給定的破產門檻 (bankruptcy barrier) 即發生違約事件。本篇論文以 BTT 數值方法分析股東與債權人的行為, 模擬申請第十一章破產保護及進行策略性債務清償動作之下，公司、股東與債權人價值的變動。本篇的破產門檻為債權人與股東經過比較各自價值後決定最有利的門檻，該門檻與時間變動相依。並且考慮公司資產可能發生跳躍的情況，假設資產服從跳躍擴散過程，解決結構式模式下短期間 credit spread 趨近於零之問題。

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.