文档介绍：An Empirical Analysis of Structural Credit Risk
Models and Capital Structure Arbitrage
Master Thesis for
Harald Martin Myhre Arve Ree Amund Westbye
Spring 2004
NTNU
Norwegian University of Science and Technology
Department of Industrial Economics and Technology Management
Preface
We are students in the final year of our Master education in Industrial Economics and
Technology Management at the Norwegian University of Science and Technology.
This paper is our Master Thesis written throughout the spring 2004.
Trading in credit risk with credit derivatives is a relatively new and rapidly growing
area where consensus on standard models has yet to be reached. The empirical
research on structural credit risk models and, in particular, capital structure arbitrage
is scarce. We hope to shed light on some selected models and how these may be
beneficial in evaluating credit risk and in the context of capital structure arbitrage.
We would like to thank our supervisor, Assistant Professor Sjur Westgaard, and
Professor Dominicus van der Wijst at the Department for Industrial Economics and
Technology Management for useful help throughout the process. We also want to
thank Senior Portfolio Managers Paal Renli and Stefan Peterson at Storebrand
Investments, for indispensable data and valuable advices.
Trondheim, Norway, 14 June 2004
Harald Martin Myhre Arve Ree Amund Westbye
Harald Martin Myhre: ******@
Arve Ree: reearve@
Amund Westbye: ******@
Abstract
The objective with this paper is to explore the linkage between equity and credit
markets in the context of capital structure arbitrage. We conduct an empirical analysis
of three structural credit risk models, particularly investigating Granger causality,
cointegration, and price discov