Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
碩士 === 國立交通大學 === 資訊管理研究所 === 98 === 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 apply...
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| Format: | Others |
| Language: | zh-TW |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/79495853130810377414 |
| Summary: | 碩士 === 國立交通大學 === 資訊管理研究所 === 98 === 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.
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