Credit risk and contagion: Continuous-time optimal contract approach

信用风险和传染：连续时间最优合约方法

• 批准号: 20730204
• 负责人: NAKAMURA Hisashi
• 金额: $ 2.75万
• 依托单位: The University of Tokyo
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Young Scientists (B)
• 财政年份: 2008
• 资助国家: 日本
• 起止时间: 2008 至 2009
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-20730204/
• 关键词: 信用リスク評価; 企業再生; 情報開示; 信用リスク; 企業再構成; インパルス制御; 伝染効果; 連続時間

This research project studies the role of restructuring in valuing optimally designed long-term securities in a continuous-time model with costly corporate information disclosure. In practice, Merton (1974)'s contingent-claim models have been long used for valuing corporate securities, based mostly on the assumption of some sufficiently complete security structure in markets. On the other hand, in the literature on corporate finance, it has been well known theoretically and empirically that the agency problem (i.e., conflicts of interest among agents) caused by informational asymmetry distorts corporate capital structure. However, the effect of the distortion on security valuation has not been well studied either in theory or in practice. This paper bridges such a gap between the security-valuation literature and the corporate-finance literature. Specifically, first, it shows that, in the agency problem, corporate leverage ratios are higher when restructuring is expected to be accepted in default than otherwise. Also, they can correlate with equity values negatively inter-temporarily. The risk of a jump to liquidation increases the default probability in short term, and decreases the probability of restructuring over time. As a result, this model can resolve the underestimation problem of short-term credit spreads.

本研究课题是在企业信息披露成本高的连续时间模型中，研究重组对优化设计的长期证券价值的作用。在实践中，默顿（1974）的或有索赔模型长期以来一直被用于评估公司证券，主要是基于市场中某种充分完整的证券结构的假设。另一方面，在有关公司融资的文献中，从理论和经验上都知道，代理问题（即，代理人之间的利益冲突）导致的信息不对称扭曲公司资本结构。然而，无论是在理论上还是在实践中，对证券价值失真的影响都没有得到很好的研究。本文弥合了证券估值文献和公司融资文献之间的差距。具体而言，首先，在代理问题中，预期在违约的情况下接受重组时，企业的杠杆率比其他情况下高。此外，他们可以与股权价值负暂时性相关。清算风险增加了短期内的违约概率，降低了长期重组的概率。因此，该模型可以解决短期信用利差低估的问题。

项目成果

A Continuous-Time Analysis of Optimal Contracts with Restructuring in an Environment with Costly Information Disclosure: Theory and Applications

信息披露成本高昂的环境下最优合同重组的连续时间分析：理论与应用

Topics on Leading-edge Numerical Procedures and Models

前沿数值程序和模型主题

A Continuous-Time Analysis of Optimal Contracts with Restructuring in an Environment with Costly Information Disclosure : Theory and Applications

信息披露成本高昂的环境下最优合同重组的连续时间分析：理论与应用

• 发表时间: 2010
• 作者: 中村恒