Original title: x
Translated title: Debt Contracts and Stochastic Default Barrier
Authors: Dózsa, Martin ; Janda, Karel (advisor) ; Krištoufek, Ladislav (referee)
Document type: Rigorous theses
Year: 2011
Language: eng
Abstract: 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 start- ing 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 struc- ture 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. JEL Classification C73, G12, G32, G33 Keywords credit contracts, stochastic default barrier, asset pricing, EBIT-based models, struc- tural models Author's e-mail martin@dozsa.cz Supervisor's e-mail Karel-Janda@seznam.cz Abstrakt Tato práce se zabývá teoretickými modely pro oceňování finančních aktiv a je- jich použitím při návrhu optimálních úvěrových smluv mezi dlužníky a věřiteli. V první části je popsán...
Keywords: asset pricing; credit contracts; EBIT-based models; stochastic default barrier; structural models; dluhové kontrakty; modely založené na EBITu; oceňování cenných papírů; stochastická bariéra úpadku; strukturální modely

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/35741

Permalink: http://www.nusl.cz/ntk/nusl-466609


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Rigorous theses