Debt Contracts and Stochastic Default Barrier

• Název práce v češtině: x
• Název v anglickém jazyce: Debt Contracts and Stochastic Default Barrier
• Klíčová slova: dluhové kontrakty, stochastická bariéra úpadku, oceňování cenných papírů, modely založené na EBITu, strukturální modely
• Klíčová slova anglicky: credit contracts, stochastic default barrier, asset pricing, EBIT-based models, structural models
• Akademický rok vypsání: 2010/2011
• Typ práce: rigorózní práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. Ing. Karel Janda, Dr., Ph.D., M.A.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 04.02.2011
• Datum zadání: 04.02.2011
• Datum a čas obhajoby: 30.03.2011 13:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 15.02.2011
• Datum proběhlé obhajoby: 30.03.2011
• Oponenti: prof. PhDr. Ladislav Krištoufek, Ph.D.

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Předběžná náplň práce

Tato práce se zabývá teoretickými modely pro oceňování finančních aktiv a jejich použitím při návrhu optimálních úvěrových smluv mezi dlužníky a věřiteli.
V první části je popsán vývoj strukturálních modelů od základního Mertonova modelu, který byl dále rozšířen o defaultní bariéru a zasazen do prostředí se stochastickou úrokovou mírou. Práce dále pomocí teorie her hledá parametry optimálního zadlužení vzhledem k existenci dluhových kovenantů.
Hlavní přidanou hodnotou práce je navržení modelu se stochatickou bariérou defaultu, který využívá EBIT jako stavovou proměnnou a který tak lépe zohledňuje aktuální makroekonomickou situaci při hledání optimální půjčky a rozhodování o možném úpadku.
Práce také podrobně diskutuje následky exogenních změn úrokové míry na hodnotu aktiv, pravděpodobnost úpadku a optimální míru zadlužení.

Předběžná náplň práce v anglickém jazyce

This thesis focuses on the theory of asset pricing models and their usage in the design of credit contracts.
We describe the evolution of structural models starting from the basic Mertonian framework through the introduction
of a default barrier, and ending with stochastic interest rate environment. Further, with the use of game theory analysis, the parameters of an optimal capital structure and safety covenants are examined.
To the author's best knowledge, the first EBIT-based structural model is built up that considers stochastic default barrier.
This set-up is able to catch the different optimal capital structures in various business cycle
periods, as well as bankruptcy decisions dependent on the state of the economy. The effects of an exogenous change
in the risk-free interest rate on the asset value, probability of default, and optimal debt ratio are also explained.