értekezés - Budapesti Corvinus Egyetem

14. függelék - Csődértékelő modellek áttekintése 206
Default-claim valuation models are very important in a variety of finance fields. They are
useful for pricing new capital market products such as credit derivatives, the market for
which is now emerging. Such models can also support risk managers in identifying credit
risk exposures. Furthermore, – and most importantly from our perspective now – these
models can deepen our understanding of firms’ investment, financing and risk management
decisions, which makes them useful for analyzing classical issues in corporate finance (e.g.
the optimal capital structure, or – as we will see later – the value impact of corporate risk
management).
The literature on default-claim pricing falls into three categories: 1. structural models with
exogenous default, 2. structural models with endogenous default, and 3. reduced-form
(intensity-based) models.
Structural models assume that the value of the firm’s activities (‘asset value’) moves
randomly through time with a given expected return and volatility. Bonds (debt) have a
senior claim on the firm’s cash flow and assets. Default occurs when the firm fails to make
the promised debt service payments. The cause of the payment-failure is which
differentiates between the exogenous and endogenous models.
Building on the classical Merton [1974] model, the structural-exogenous approach
assumes that default is triggered when the asset value reaches an exogenous level – given
by a debt covenant ratio (e.g. tangible net worth) in practice. In Merton’s [1974] model, a
firm defaults if, at the time of servicing the debt, its asset value is below its outstanding
debt. Hence, default never occurs prior to the bond’s maturity. The paper by Black and
Cox [1976] is the first of the so-called ‘first passage models’ which specify default as the
first time the firm’s asset value hits a lower barrier, allowing default to take place at any
time prior to debt maturity.
Typical of recent work using an exogenous default barrier is the Longstaff and Schwartz
[1995] model. They consider a default boundary that equals the principal value of debt.
206 In this section, I very much build on the works of Uhrig-Homburg [2002] and Leland [2004] who provide
with an excellent summary on the development of structural models.
200