An Analysis of Information Transparency and Target Debt Ratio on Credit Spreads

• Main Authors: Weng, Wan-Chi, 翁菀娸
• Other Authors: Guo, Jia-Hau
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/78514890054463332350

碩士 === 國立交通大學 === 財務金融研究所 === 99 === 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.