A Study of Project Financing Pricing Model with Pre-default and an Optimal Capital Structure Model

• Main Authors: Lin, An Cheng, 林安城
• Other Authors: Lin, Tyrone T.
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/42169235115951292373

碩士 === 銘傳大學 === 管理科學研究所 === 91 === This thesis is intended as to evaluate credit risk in project financing by firm valuation model and considers the condition of default before maturity so as to response the probability of default. Following the model introduced by Freydefont (2001), how to create the standard approach to assess credit risk under priority of cash-flower to repay is main purpose in this thesis. This discussion also takes account into the discrete model proposed by Jarrow and Turnbull (1995), which considers the additional condition with interest risk of default before maturity. The process of the proposed model assessing the derivative financial products is consistent with the Put-Call Parity proposed by Stoll (1969). Therefore, it can help investors to plan their hedging position on their portfolio of the bonds under priority of cash-flower to repay. Further this discussion uses the model introduced by Ferydefont (2001) and the model of bank’s objectives and the demand for loans in optimizing regulation of deposit taking financial intermediaries introduced by Miles (1995) in order to get the optimal capital structure of banks.