The impact of default barriers on corporate assets.

• Other Authors: Choi, Tsz Wang.
• Format: Others
• Language: English; Chinese
• Published: 2004
• Subjects: Options (Finance) > Valuation > Econometric models; Corporations > Finance
• Online Access: http://library.cuhk.edu.hk/record=b5892210; http://repository.lib.cuhk.edu.hk/en/item/cuhk-324724

Choi Tsz Wang. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. === Includes bibliographical references (leaves 43-45). === Abstracts in English and Chinese. === Chapter 1 --- Introduction --- p.1 === Chapter 2 --- Review of Structural Models --- p.5 === Chapter 2.1 --- The Merton model --- p.5 === Chapter 2.2 --- The default barrier model of Black and Cox --- p.7 === Chapter 3 --- Estimating the Merton model --- p.10 === Chapter 3.1 --- The Variance Restriction (VR) method --- p.10 === Chapter 3.2 --- The Maximum Likelihood estimation (ML) method --- p.12 === Chapter 3.3 --- Comparison between VR and ML methods --- p.13 === Chapter 4 --- Implications of Using the Proxy in Default Barrier Estimation --- p.15 === Chapter 4.1 --- Rejection of SC framework --- p.16 === Chapter 4.2 --- Positive barrier implication --- p.17 === Chapter 4.3 --- Barier over debt implication --- p.17 === Chapter 4.4 --- Numerical illustration --- p.19 === Chapter 5 --- The Proposed Framework --- p.22 === Chapter 5.1 --- Maximum likelihood estimation --- p.23 === Chapter 5.2 --- Barrier-to-debt ratio specification --- p.25 === Chapter 5.3 --- Simulation checks --- p.26 === Chapter 5.4 --- Comments on the performance of α --- p.29 === Chapter 6 --- Estimation with Empirical Data --- p.33 === Chapter 6.1 --- Description of data --- p.33 === Chapter 6.2 --- Empirical results --- p.35 === Chapter 7 --- Conclusion --- p.41 === References --- p.43