Li Ka-leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 85-88). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Structural models of credit risk --- p.9 / Chapter 2.1 --- The original Merton model --- p.10 / Chapter 2.2 --- The extended Merton model --- p.11 / Chapter 2.3 --- The Black and Cox model --- p.12 / Chapter 2.4 --- The LS model --- p.14 / Chapter 2.5 --- The CDG model --- p.16 / Chapter 2.6 --- Comments on structural models --- p.19 / Chapter 3 --- Proxies and their implications --- p.20 / Chapter 3.1 --- Reviews of the EHH's empirical studies --- p.20 / Chapter 3.2 --- The proxy for market values of firms --- p.23 / Chapter 3.2.1 --- Zero coupon bonds under the Merton model --- p.23 / Chapter 3.2.2 --- Coupon bearing bonds under the extended Merton model --- p.25 / Chapter 3.2.3 --- Zero coupon bonds under the LS model --- p.26 / Chapter 3.2.4 --- Coupon bearing bonds under the LS model --- p.28 / Chapter 3.3 --- Implications of other proxies --- p.29 / Chapter 4 --- Maximum Likelihood Estimation --- p.33 / Chapter 4.1 --- The MLE approach for the Merton model --- p.33 / Chapter 4.2 --- The MLE approach for the barrier dependent models --- p.35 / Chapter 4.3 --- Survivorship consideration --- p.36 / Chapter 4.4 --- Simulation tests --- p.37 / Chapter 4.5 --- Simulation results --- p.39 / Chapter 4.5.1 --- Simulation results for the Merton model --- p.39 / Chapter 4.5.2 --- Simulation results for the LS model --- p.42 / Chapter 5 --- Empirical test --- p.47 / Chapter 5.1 --- Criteria of bond selection --- p.47 / Chapter 5.2 --- Parameters of models --- p.51 / Chapter 5.2.1 --- Firm specific parameters --- p.51 / Chapter 5.2.2 --- Interest rate parameters --- p.54 / Chapter 5.2.3 --- Stationary leverage process parameters --- p.55 / Chapter 5.2.4 --- Bond specific parameters --- p.57 / Chapter 5.3 --- Empirical results --- p.58 / Chapter 5.3.1 --- Empirical results for the Merton model --- p.59 / Chapter 5.3.2 --- Empirical results for the LS model --- p.66 / Chapter 5.3.3 --- Empirical results for the CDG model --- p.71 / Chapter 6 --- Conclusion --- p.77 / Appendix --- p.80 / Chapter A.1 --- Appendix 1 --- p.80 / Chapter A.2 --- Appendix 2 --- p.82 / Chapter A.3 --- Appendix 3 --- p.84 / Bibliography --- p.85
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_325263 |
| Date | January 2005 |
| Contributors | Li, Ka-leung., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, x, 88 leaves : ill. ; 30 cm. |
| Rights | Use 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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