不透明資訊與最適負債比率對於信用利差之影響

Abstract

此篇論文的主旨為在不完全市場下，建立一個最適負債比的信用風險模型、 推導此模型下之破產機率，並探討最適負債比與不完全資訊對於違約機率、 以及信用利差之影響。研究結果顯示，含有最適負債比率之一般化模型的 假設下，所求得之信用利差更能解釋長期時間結構,再加入不完全資訊之一 般化模型，所求的信用利差能解釋短期時間結構，使得信用利差在時間結 構更為豐富且多元。亦即，此篇論文建構之模型將對於真實市場有較佳之 解釋能力。

Most structural models define that the default threshold of firm is constant, but in practice firms adjust the debt level in respect of changing in the firm value. We propose the default threshold is dependent on firm value, thus the distance to default is a mean reverting process. We suppose that the bond investors not perceive the complete information, thus we propose a structural model of default with noisy information that captures this mean reversion. Further the term structure of credit spreads being enriched, our approach is potential to interpret empirical data in real world.