Detail práce

Dluhové kontrakty a stochastická bariéra defaultu

Autor: Mgr. Dózsa Martin
Rok: 2011 - letní
Vedoucí: prof. Ing. Karel Janda M.A., Dr., Ph.D.
Konzultant:
Typ práce: Finance, finanční trhy a bankovnictví
Rigorózní
Jazyk: Anglicky
Stránky: 75
Ocenění:
Odkaz:
Abstrakt: This thesis focuses on the theory of asset pricing models and their usage in the
design of credit contracts. We describe the evolution of structural models starting
from the basic Mertonian framework through the introduction of a default
barrier, and ending with stochastic interest rate environment. Further, with
the use of game theory analysis, the parameters of an optimal capital structure
and safety covenants are examined. To the author’s best knowledge, the
first EBIT-based structural model is built up that considers stochastic default
barrier. This set-up is able to catch the different optimal capital structures in
various business cycle periods, as well as bankruptcy decisions dependent on
the state of the economy. The effects of an exogenous change in the risk-free
interest rate on the asset value, probability of default, and optimal debt ratio
are also explained.
Ke stažení: Rigorózní práce Dózsa

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