Three Essays on Structural Credit Risk Modelling
This dissertation consists of three essays which are all devoted to the credit risk of non-financial companies and follow the so-called structural approach. In the first chapter I propose a new structural model, which tries to focus on three specific aspects, which, I argue, are especially important for the credit risk of the firm, but have not been given their due attention in past research. These are namely the dynamic control of the capital structure and the risk level of the firm, and the fat-tailed distribution of firm-value returns. By incorporating important market frictions and imperfections such as transaction costs and division of ownership and control, I show in the next chapter of my dissertation that their modelling is of considerable importance and hence should not be overlooked. In the third chapter I evaluate the default risk premiums from a theoretical structural perspective, focusing on the effects which the capital structure dynamics induce.
Year of publication: |
2010
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Authors: | Zahariev, Radoslav |
Publisher: |
Universität Konstanz / Fachbereich Wirtschaftswissenschaften. Fachbereich Wirtschaftswissenschaften |
Subject: | Kreditrisiko | Kapitalstruktur | Credit risk | structural models |
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