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The impact of default barriers on corporate assets.

Choi Tsz Wang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 43-45). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Review of Structural Models --- p.5 / Chapter 2.1 --- The Merton model --- p.5 / Chapter 2.2 --- The default barrier model of Black and Cox --- p.7 / Chapter 3 --- Estimating the Merton model --- p.10 / Chapter 3.1 --- The Variance Restriction (VR) method --- p.10 / Chapter 3.2 --- The Maximum Likelihood estimation (ML) method --- p.12 / Chapter 3.3 --- Comparison between VR and ML methods --- p.13 / Chapter 4 --- Implications of Using the Proxy in Default Barrier Estimation --- p.15 / Chapter 4.1 --- Rejection of SC framework --- p.16 / Chapter 4.2 --- Positive barrier implication --- p.17 / Chapter 4.3 --- Barier over debt implication --- p.17 / Chapter 4.4 --- Numerical illustration --- p.19 / Chapter 5 --- The Proposed Framework --- p.22 / Chapter 5.1 --- Maximum likelihood estimation --- p.23 / Chapter 5.2 --- Barrier-to-debt ratio specification --- p.25 / Chapter 5.3 --- Simulation checks --- p.26 / Chapter 5.4 --- Comments on the performance of α --- p.29 / Chapter 6 --- Estimation with Empirical Data --- p.33 / Chapter 6.1 --- Description of data --- p.33 / Chapter 6.2 --- Empirical results --- p.35 / Chapter 7 --- Conclusion --- p.41 / References --- p.43

Identiferoai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324724
Date January 2004
ContributorsChoi, Tsz Wang., Chinese University of Hong Kong Graduate School. Division of Risk Management Science.
Source SetsThe Chinese University of Hong Kong
LanguageEnglish, Chinese
Detected LanguageEnglish
TypeText, bibliography
Formatprint, 45 leaves : ill. ; 30 cm.
RightsUse of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/)

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