Valuing Risky Fixed Rate Debt: An Extension
Valuing Risky Fixed Rate Debt: An Extension
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DOI：
10.2307/2331175
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发表时间：
1997-06
影响因子：
3.9
通讯作者：
Eric Briys;François de Varenne
中科院分区：
文献类型：
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作者：
Eric Briys;François de Varenne
摘要本文建立了一个同时考虑早期违约和利率风险的公司债券估值模型。它纠正了最近贡献的一个缺陷，即定价方程不能保证破产时向债券持有人支付的款项不大于公司价值。当企业被迫提前破产时，破产触发机制与债券持有人所获得的偿付直接相关。更具体地说，违约障碍被简单地定义为在风险公司债券到期日之前以无风险利率贴现的固定数量。一旦超过这个门槛，债券持有人就会得到剩余资产的外生指定部分。对绝对优先级规则的偏离也会被捕获。由于该模型考虑了高斯利率的不确定性、违约风险和对绝对优先规则的偏离，因此该模型能够为收益率息差的期限结构产生相当多样化的形状。
Abstract This paper develops a corporate bond valuation model that takes into account both early default and interest rate risk. It corrects a defect of recent contributions where pricing equations do not assure that the payment to bondholders upon bankruptcy is no greater than firm value. The bankruptcy-triggering mechanism is directly related to the payoff received by bondholders when early bankruptcy is forced upon the firm. More specifically, the default barrier is defined simply as a fixed quantity discounted at the riskless rate up to the maturity date of the risky corporate bond. As soon as this threshold is crossed, bondholders receive an exogenously specified fraction of the remaining assets. Deviations from the absolute priority rule also are captured. Because it accounts for Gaussian interest rate uncertainty, default risk, and deviations from the absolute priority rule, this model is capable of producing quite diverse shapes for the term structure of yield spreads.