értekezés - Budapesti Corvinus Egyetem

causes comparative statics analysis to predict that equity (E) is an increasing function of
the corporate tax rate, 2. it may greatly underestimate the payout ratio of the asset process
(δ/V), 3. it may significantly underestimate the probability of bankruptcy. 214
To overcome the difficulties inherent in these models, Goldstein et al. [1998] introduce the
‘EBIT-generating machine’ concept, which acts as the source of firm value, and runs
independently of how the EBIT flow is distributed among its claimants (government,
debtholders, and equity holders). That is, these claimants own contingent claims on the
future EBIT flow, the value of which can be determined by discounting the income
measure by an appropriate discount rate. The underlying process is unaffected by capital
structure decisions, dividend policy or tax system. An extra dollar paid out to either taxes,
interest payments, or dividends all affect the firm in the same way.
The EBIT-process ξ is typically defined with a geometric Brownian motion under the
equivalent martingale measure Q:
dξ = ξ ˆ μ dt + ξ σ dW
t
t
t
t
These models assume that there exist traded securities (other than the EBIT process) such
that any claim on EBIT that these models introduce can be dynamically replicated by
already existing traded securities and therefore be priced.
The third type of default-claim valuation models, the reduced-form models, have been put
forward by Jarrow and Turnbull [1995], Jarrow, Lando, and Turnbull [1997], Duffie and
Singleton [1999] and others. In these models, default is no longer tied to the firm value
falling below a pre-specified trigger-level, as it is in the structural models. Rather, default
occurs according to some exogenous hazard rate process, which is determined without
deriving their assumptions from some underlying economic model. An adequate ‘jump’
process to model the default-time is hence the fundamental building block of reduced-form
models. 215 The parameters governing the default hazard rate are inferred from market data,
which makes these models so easily calibratable to observed market phenomena. The
exogenously specified default probabilities are positive for all asset values in these models,
214 To compensate for this bias, these models typically need to assume unrealistically large bankruptcy costs
in order to obtain yield spreads consistent with empirical evidence.
215 The assumption that there is such a default intensity is also the reason for the terminology “intensity-based
models”, which are often used instead of reduced-form models.
204