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Structural Models for the Valuation of Corporate Securities

abstract 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 directions.

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.
   
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homepage http://www.sbf.unisg.ch
partner
type dissertation project
status ongoing
start of project 2004
end of project 2005
additional informations Aufenthaltsort: University of Southern Denmark in Odense;
Norwegian School of Economics and Business Administration in Bergen
Referent: Prof. Dr. Andreas Grünbichler (s/bf-HSG)
topics
methods
contact Michael Genser