博碩士論文 954208029 詳細資訊


姓名 楊浚杰(Chun-Chieh Yang)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 隨機利率下根據廠商發債狀況評價資本結構
(A Lattice Approach for Pricing the Capital Structure withGeneralized Interest Rate Processes.)
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摘要(中) 在一篇過去發表的文章中,Broadie and Kaya (2007), 作者們發表
了如何用二元樹的方式去評價一家公司的資本結構,也就是該公司的權益價值、債
權價值、以及公司價值。該篇文章的二元樹方法放寬了在更早的一篇文章,Leland
(1994)的限制, 該篇文章提出了一個架構, 該架構可以提供上述的三個公司資本結
構價值的封閉解, 不過該架構有限制, 就是該公司必須發行無限到期日的永續年金
債券。所以在用二元樹評價時就可以解決這種限制,甚至可以考慮到美國聯邦破產
法條第十一章的允許公司宣告破產後的重整。我們的模型最主要是把Broadie and
Kaya (2007)的模型再次放寬到隨機利率的狀態下, 因為原作者的模型是單變數二
元樹模型, 也就是把權益、債權、公司價值視為公司資產價值的衍生性商品, 也就
是該衍生性商品的狀態變數只有資產價值; 我們的模型放寬成兩個狀態變數, 資產
價值以及市場利率, 也就是雙變數二元樹模型。動機是我們認為短期上可不考慮利
率的隨機變動, 可是當整個二元樹的模型(債權的存續) 期間越長, 利率的隨機性
所帶來的影響就越大, 在第五章節我們即將紀錄該時間相較於忽略利率變動性的
影響。此外我們的模型也有考慮到公司資產價值與市場利率在隨機上的連動性,也
就是說如果該公司是屬於類似金融產業等等資產價值與市場利率相關性較強的廠
商, 那我們的模型所提出的評價方式將更為適用在該廠商上。綜合我們新加上的變
化以及之前學者所發展出來的架構,我們的模型將是在考慮了利率隨機性、違約風
險、股權稀釋償債、股東有限負債、破產清算、有效稅率、稅盾、美國破產法第七
章、以及公司營收能力之下的精確合理價值, 在權益、債權、公司價值上的合理價
值。
摘要(英) In the past research, Broadie and Kaya (2007), the authors have
derived a lattice to price the capital structure under constant interest rates.
But the pricing is determined by the states of debt, the randomness of interest
rates should not be ignored. Accordingly, we extend the pricing model of
capital structure to a model simultaneously considering stochastic interest
rates and its correlation with asset value, following the past research, Hilliard
et al. (1996). Finally, the contributions to our model are that we particularly
take some important factors into consideration, including the default risk, the
stochastic interest rates, and the asset value varied with market rates.
關鍵字(中) ★ 違約風險
★ 多元二項樹模型
★ 相關隨機過程
關鍵字(英) ★ Default risk
★ Correlation of processes.
★ Muliti-Binomail
論文目次 中文摘要 i
Abstract iii
誌謝 iv
1 Introduction 1
2 Methodology 4
2.1 Changing Variables . . . . . . . . .. . . . . . . . . 4
2.2 Pricing Procedure . . . . . . . . . . . . . . . . . . 8
3 Modeling the Capital Structure with Generalized Interest
Rates 10
3.1 The Structure of Lattice . . . . . . . . . . . . . . 11
3.2 The Capital Structure of Firm . . . . . . . . . 13
4 Numerical Results 17
4.1 Computation with the Hilliard et al. (1996) . . . . .18
4.2 Computation with the Broadie and Kaya (2007) . . . . 22
4.3 Results in Our Model . . . . . . . . . . . . . . . . 26
5 Effects of Stochastic Interest Rates 30
6 Conclusion 39
Appendices 41
A Verifying the Probability 41
B Some Typo in Broadie and Kaya (2007) 42
C The Value of Leland’s Closed-Form Solution 43
Reference 45
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46
指導教授 張傳章(Chuang-Chang Chang) 審核日期 2008-6-28
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