The research project extends the model of Goldstein, Ju and Leland
(2001), Ammann and Genser (2004). The generalized framework is
economically intuitive and flexible enough to (i) be estimated
directly and (ii) be extended theoretically in several
Direct empirical implementations of structural credit risk models are rare in the literature because such models impose too many restrictions on the capital structure. The proposed CSF allows for several debt issues and equity values simultaneously. Therefore, time series of bond and equity prices can be used for estimation. A successful estimation would allow structural credit risk models to be applied in practice.
Theoretical extensions of the CSF aim at a more thorough modelling of decision making. (i) A thorough analysis of optimal future debt issuing seems warranted since future debt issues have an impact on current bond and equity prices. A solution of the problem must consider game theoretic arguments concerning the willingness of prospective debt holders to accept a debt contract offered by the firm. (ii) Multi-firm models can be used to analyse risk-management and default dependencies. Both issues are of particular interest for the management of banks’ loan portfolios. (iii) The introduction of stochastic interest rates might change some results due to a changed anticipation of future firm values and thus bankruptcy behaviour.
|start of project||2004|
|end of project||2005|
Aufenthaltsort: University of Southern Denmark in Odense;
Norwegian School of Economics and Business Administration in Bergen
Referent: Prof. Dr. Andreas Grünbichler (s/bf-HSG)