資本結構變化與信用風險

Dynamic Capital Structure Adjustment and Credit Risk

陳佳汝(Chia-Ju Chen)

指導教授 ： 巫和懋

國立臺灣大學/管理學院/國際企業學研究所/碩士(2006年)

https://doi.org/10.6342/NTU.2006.10032

摘要

隨著新版巴塞爾(Basel II)協定將於2006年年底施行，已經使風險管理問題開始受到重視，加上近年發生的金融洩密等安全問題，也再度突顯出風險控管的重要性。對於公司而言，舉債的好處除了公司價值增加之外，同時也伴隨著信用風險提高，因此如何在信用風險的管理之下，追求公司價值與利潤，亦是重要的課題。
在信用風險的管理方面，首要估計出違約機率，目前關於信用風險的探討模型主要有兩大類：結構式模型(Structural Models)與縮減式模型(Reduced-form Models)，兩者對於信用風險事件的處理方式不同。而本文主要採用結構式模型對於違約事件的基本假設，定義公司資產價值具有一個違約水準，當公司資產價值因為變動達到此一違約水準時，公司即發生違約事件。接著，在公司資本結構為動態變化的基礎上，考慮到公司資本結構存在最適水準與調整水準，進一步探討公司資本結構的調整行為與信用風險之間的關係，並運用三元樹模型的觀點，建構出資本結構的上界(違約水準)以及下界(調整水準)，發現到所計算的違約機率會隨著調整頻率增加而提高。
最後，本文以公司欲追求最適資本結構的觀點，探討公司信用風險對於資本結構調整行為的影響，並且考慮公司調整資本結構時，會面對違約成本以及損失稅盾的機會成本問題，發現到信用風險的增加會造成公司調整頻率降低，而且公司最適槓桿比越高，信用風險的影響程度越大，同時本文推導出考量信用風險之下公司資本結構最適的調整水準。

關鍵字

動態資本結構調整 ； 信用風險 ； 三元樹模型

並列摘要

The purpose of this thesis is to apply trinomial tree model exploring the relation between the dynamic capital structure adjustment and credit risk of corporation. In the aspect of credit risk, the structural model is adopted to be the basic assumption of default, and we assume there exists a default threshold for asset value of firms. If the value of corporate asset reaches the default threshold, the default happens. In the aspect of capital structure adjustment, we consider there exists an optimal capital structure and adjustment level. While the capital structure of firm touches the adjustment level, the firm may issue bonds to optimally adjust their capital structure response to stochastic in firm value. As a result, applying the barrier option of trinomial tree model, the leverage ratio which confined by an upper and lower threshold to describe the capital structure, we can compute the default probability adjusted by the capital structure.
Finally this thesis probes the effect of capital structure adjustment under the credit risk, and considers the opportunity cost of tax shield and default cost when the capital structure changes. The finding is the increase of credit risk will decrease the frequency of capital structure adjustment, while the higher the optimal leverage ratio is, the greater the influence of default risk. Furthermore, we derive the optimal level of capital structure adjustment under a credit risk environment.

並列關鍵字

dynamic capital structure adjustment ； credit risk ； trinomial tree model

參考文獻

11. Jarrow,Robert A., David Lando, and Stuart Turnbell (1997),”A Markov Model for the Term Structure of Credit Risk Risk Spread.”, Review of Financial Studies, Vol.10,No.2,481-523.

1. Black, Fisher, and Myron Scholes (1973),”The Pricing of Options and Corporate Liabilities.”, Journal of Political Economy, Vol.81, No.3,637-653.

2. Black, Fisher, and John C. Cox (1976),”Valuing Corporate Securities: Some Effects of Bond Indenture Provision.”, Journal of Finance, Vol.31,No.2,351-367.

3. Collin-Dufresne, Pierre, and Robert. S. Goldstein (2001), ”Do Credit Spreads Reflect Stationary Leverage Ratios? ”, Journal of Finance ,Vol.56 , No.5, 1929-1957.

4. Dangl, Thomas , and Josef Zechner (2004), ”Credit Risk and Dynamic Capital Structure Choice.”, Journal of Financial Intermediation 13, 183-204.