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標題: | 違約債務展延與否之決策模型 The Decision Model of Extending a Defaulting Debt |
作者: | Yi-Fang Chung 鍾懿芳 |
指導教授: | 李賢源 |
關鍵字: | 展延債券,違約債務,夏普比率, extendible bond,defaulting debt,Sharpe ratio, |
出版年 : | 2009 |
學位: | 博士 |
摘要: | 本論文應用Black-Scholes-Merton傳統結構式模型,分析具有特殊風險承擔考量之債權人面對淨現值為正之違約債務的展延違約債務決策問題,並求得展延債務之最適展延期限。藉由比較債務展延前、後的修正式夏普比率值,修正式夏普比率模型在展延債務與清算公司之間選擇最佳的決策結果,以獲得最高的修正式夏普比率。本研究提出以修正式夏普比率為目標函數之債務展延決策模型具有下列三項性質:(1)在修正式夏普比率模型的決策中,若債權人同意展延債務,則債務展延後債權人獲得之修正式夏普比率預期值不會低於債務違約前已實現的修正式夏普比率相對值。(2)修正式夏普比率模型可以捕捉債務違約前與後公司風險結構改變對債務展延決策的影響。(3)修正式夏普比率模型可以捕捉債務人提供分紅制度對債務展延決策的影響效果。 This paper uses the traditional Black-Scholes-Merton structural model to discuss the strategic choices faced by the special risk exposure considering creditor when deciding whether to grant maturity extension on a defaulted loan. The objective function of the model described in this paper is to compare the modified Sharpe ratio before and after maturity extension. This paper finds that the revised decision model with the Sharpe ratio has these compelling characteristics: (1)It ensures that the expected modified Sharpe ratio is higher after maturity extension than before; (2)It recognizes that changes in the risk profile of the firm before and after maturity extension substantially affect the strategic behavior of the special risk exposure considering creditor; (3)It demonstrates the effects of profit sharing plans provided to the special risk exposure considering creditor by the stockholder of the firm, where the higher the profit sharing percentage the creditor get, the more willing it will be to extend maturity. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41819 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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