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
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324724 |
| Date | January 2004 |
| Contributors | Choi, Tsz Wang., 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, 45 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/) |
Page generated in 0.002 seconds