分析及改善在Chapter 11之下的破產模型以及多元破產策略之現象(使用二元格子樹)

Abstract

過去許多研究都常採用結構式破產模型來分析有關公司資本結構、信用風險、股東和債權人的價值。本篇論文則是採用數值方法--二元樹模型來建立公司破產模型。主要延續Fu Sheng Chang(2011)的研究，討論過去文獻在破產模型上不合理的破產模型設定，修正其設定，試圖找出更好的數值結果。此外建立一個簡單多元策略行為的破產模型結構來討論debt strategic service 跟strategic default在Ch11下的影響。

Structural models have been used to analyze the issue of capital structure, credit risk and the value of equity and debt holder in past research. This thesis use the binomial lattice method to construct our bankruptcy model. The main goal for this paper is to extend the Zhang(2011)’s work, discussing the unreasonable model’s setting, and try to find a solution to fix these problem in order to the improve the pricing result . Moreover, we construct a new bankruptcy model to discuss the effect of debt strategic service and the strategic default under the Ch11 of the U.S. bankruptcy code.