Dynamic Capital Structure Adjustment and Credit Risk
碩士 === 國立臺灣大學 === 國際企業學研究所 === 94 === The purpose of this thesis is to apply trinomial tree model exploring the relation between the dynamic capital structure adjustment and credit risk of corporation. In the aspect of credit risk, the structural model is adopted to be the basic assumption of defaul...
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ndltd-TW-094NTU053200102015-12-16T04:32:15Z http://ndltd.ncl.edu.tw/handle/96863257672738246260 Dynamic Capital Structure Adjustment and Credit Risk 資本結構變化與信用風險 Chia-Ju Chen 陳佳汝 碩士 國立臺灣大學 國際企業學研究所 94 The purpose of this thesis is to apply trinomial tree model exploring the relation between the dynamic capital structure adjustment and credit risk of corporation. In the aspect of credit risk, the structural model is adopted to be the basic assumption of default, and we assume there exists a default threshold for asset value of firms. If the value of corporate asset reaches the default threshold, the default happens. In the aspect of capital structure adjustment, we consider there exists an optimal capital structure and adjustment level. While the capital structure of firm touches the adjustment level, the firm may issue bonds to optimally adjust their capital structure response to stochastic in firm value. As a result, applying the barrier option of trinomial tree model, the leverage ratio which confined by an upper and lower threshold to describe the capital structure, we can compute the default probability adjusted by the capital structure. Finally this thesis probes the effect of capital structure adjustment under the credit risk, and considers the opportunity cost of tax shield and default cost when the capital structure changes. The finding is the increase of credit risk will decrease the frequency of capital structure adjustment, while the higher the optimal leverage ratio is, the greater the influence of default risk. Furthermore, we derive the optimal level of capital structure adjustment under a credit risk environment. 巫和懋 2006 學位論文 ; thesis 49 zh-TW |
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碩士 === 國立臺灣大學 === 國際企業學研究所 === 94 === The purpose of this thesis is to apply trinomial tree model exploring the relation between the dynamic capital structure adjustment and credit risk of corporation. In the aspect of credit risk, the structural model is adopted to be the basic assumption of default, and we assume there exists a default threshold for asset value of firms. If the value of corporate asset reaches the default threshold, the default happens. In the aspect of capital structure adjustment, we consider there exists an optimal capital structure and adjustment level. While the capital structure of firm touches the adjustment level, the firm may issue bonds to optimally adjust their capital structure response to stochastic in firm value. As a result, applying the barrier option of trinomial tree model, the leverage ratio which confined by an upper and lower threshold to describe the capital structure, we can compute the default probability adjusted by the capital structure.
Finally this thesis probes the effect of capital structure adjustment under the credit risk, and considers the opportunity cost of tax shield and default cost when the capital structure changes. The finding is the increase of credit risk will decrease the frequency of capital structure adjustment, while the higher the optimal leverage ratio is, the greater the influence of default risk. Furthermore, we derive the optimal level of capital structure adjustment under a credit risk environment.
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author2 |
巫和懋 |
author_facet |
巫和懋 Chia-Ju Chen 陳佳汝 |
author |
Chia-Ju Chen 陳佳汝 |
spellingShingle |
Chia-Ju Chen 陳佳汝 Dynamic Capital Structure Adjustment and Credit Risk |
author_sort |
Chia-Ju Chen |
title |
Dynamic Capital Structure Adjustment and Credit Risk |
title_short |
Dynamic Capital Structure Adjustment and Credit Risk |
title_full |
Dynamic Capital Structure Adjustment and Credit Risk |
title_fullStr |
Dynamic Capital Structure Adjustment and Credit Risk |
title_full_unstemmed |
Dynamic Capital Structure Adjustment and Credit Risk |
title_sort |
dynamic capital structure adjustment and credit risk |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/96863257672738246260 |
work_keys_str_mv |
AT chiajuchen dynamiccapitalstructureadjustmentandcreditrisk AT chénjiārǔ dynamiccapitalstructureadjustmentandcreditrisk AT chiajuchen zīběnjiégòubiànhuàyǔxìnyòngfēngxiǎn AT chénjiārǔ zīběnjiégòubiànhuàyǔxìnyòngfēngxiǎn |
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1718149682499158016 |