Merton: 45 度線 Leverage Value Asset Value D+(1-τ)CDT τCDT BC Equity Debt α TBTB
VL=D+E Equity Asset Value D+(1-τ)CDT Debt D+(1-τ)CDT 1-α Debt D+(1-τ)CDT 1-α Debt D+(1-τ)CDT
VL=VA+TB-BC 45 度 線 Asset Value 45 度線 τCDT TBTB Asset Value D+(1-τ)CDT BCBC α Debt BCBC α D+(1-τ)CDT
Initial asset value=1000, Coupon rate=0.05, Maturity=1, Tax rate=0.35, 破產成 本比例 =0.4, Risk free rate=0.1, Volatility=0.3, Debt=0~1000 The Optimal Debt=463, Equity holder= , Debt holder= , VL=
Merton(SE+RE): 45 度線 Leverage Value Asset Value D1+(1-τ)C1D1T τCDT BC Equity SB α Debt TB RE SB mixEquity D1+D2+(1- τ)(C1D1+C2D2)T
VL=D+E, Equity 部分 Equity 45 度線 mixEquity D1+D2+(1- τ)(C1D1+C2D2)T D1+(1-τ)C1D1T D1+D2+(1- τ)(C1D1+C2D2)T mixEquity D1+(1-τ)C1D1T
VL=D+E, Debt 部分 D1+(1-τ)C1D1T 1-α SB D1+(1-τ)C1D1T 1-α SB Asset Value D1+(1-τ)C1D1T SB Asset Value RE D1+D2+(1- τ)(C1D1+C2D2)T
Equity D1+D2+(1- τ)(C1D1+C2D2)T mixEquity D1+(1-τ)C1D1T Asset Value RE D1+D2+(1- τ)(C1D1+C2D2)T Asset Value D1+(1-τ)C1D1T SB D1+(1-τ)C1D1T 1-α SB Equity: RE: SB: 乘上比例 mixEquity D1+(1-τ)C1D1T 乘上比例
VL=VA+TB-BC 45 度 線 Asset Value 45 度線 τC1D1T TB1 Asset Value D+(1-τ)CDT BCBC α Debt BCBC α 45 度線 Τ(C1D1+C2D2)T TB2 D1+(1-τ)C1D1TD1+D2+(1- τ)(C1D1+C2D2)T
Initial asset value=1000, SB Coupon rate=0.05, RE Coupon rate=0.05, Maturity=1, Tax rate=0.35, 破產成本比例 =0.4, Risk free rate=0.1, Volatility=0.3, Number of initial Stock=100, Conversion Price=10, SB/D=0.5, Debt=0~1000 The Optimal Debt=869, Equity holder= , SB holder= , RE holder= , VL=