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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Main Authors:	Ke, Ting-Tien, 柯婷瑱
Other Authors:	Dai, Tian-Shyr
Format:	Others
Language:	zh-TW
Published:	2010
Online Access:	http://ndltd.ncl.edu.tw/handle/79495853130810377414

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spelling	ndltd-TW-098NCTU53960792016-04-18T04:21:48Z http://ndltd.ncl.edu.tw/handle/79495853130810377414 Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process 在跳躍擴散過程之下衡量有考慮破產保護的信用風險 Ke, Ting-Tien 柯婷瑱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. Dai, Tian-Shyr 戴天時 2010 學位論文 ; thesis 57 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	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.
author2	Dai, Tian-Shyr
author_facet	Dai, Tian-Shyr Ke, Ting-Tien 柯婷瑱
author	Ke, Ting-Tien 柯婷瑱
spellingShingle	Ke, Ting-Tien 柯婷瑱 Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
author_sort	Ke, Ting-Tien
title	Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
title_short	Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
title_full	Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
title_fullStr	Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
title_full_unstemmed	Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process
title_sort	measuring credit risk and modeling chapter 11 proceedings of the u.s bankruptcy code under the jump-diffusion process
publishDate	2010
url	http://ndltd.ncl.edu.tw/handle/79495853130810377414
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Measuring Credit Risk and Modeling Chapter 11 Proceedings of the U.S Bankruptcy Code Under the Jump-Diffusion Process

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