摘要:This paper applies the maximum likelihood (ML) approaches to implementing the structural model of corporate bond,as suggested by Li and Wong (2008),in Indonesian corporations.Two structural models,extended Merton and Longstaff & Schwartz (LS) models,are used in determining these prices,yields,yield spreads and probabilities of default.ML estimation is used to determine the volatility of firm value.Since firm value is unobserved variable,Duan (1994) suggested that the first step of ML estimation is to derive the likelihood function for equity as the option on the firm value.The second step is to find parameters such as the drift and volatility of firm value,that maximizing this function.The firm value itself is extracted by equating the pricing formula to the observed equity prices.Equity,total liabilities,bond prices data and the firm's parameters (firm value,volatility of firm value,and default barrier) are substituted to extended Merton and LS bond pricing formula in order to valuate the corporate bond.These models are implemented to a sample of 24 bond prices in Indonesian corporation during period of 2001-2005,based on criteria of Eom,Helwege and Huang (2004).The equity and bond prices data were obtained from Indonesia Stock Exchange for firms that issued equity and provided regular financial statement within this period.The result shows that both models,in average,underestimate the bond prices and overestimate the yields and yield spread.
关键词:structural models;corporate bond valuation;maximum likelihood estimation