Credit risk and contagion: Continuous-time optimal contract approach

本研究在一个具有高成本公司信息披露的连续时间模型中，研究重组对最优设计长期证券估值的作用。在实践中，Merton（1974）的或有索赔权模型长期以来一直被用于公司证券的估值，该模型主要基于市场中某些足够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，理论和实证都表明，信息不对称导致的代理问题（即代理人之间的利益冲突）会扭曲公司资本结构。然而，无论是在理论还是在实践中，都没有很好的研究扭曲对证券估值的影响。本文填补了证券估值文献与公司融资文献之间的空白。具体而言，首先，在代理问题中，违约时预期重组被接受的企业杠杆率高于违约时预期重组被接受的企业杠杆率。此外，它们与股权价值在短期内呈负相关。跳至清算的风险在短期内增加了违约的可能性，并随着时间的推移降低了重组的可能性。因此，该模型可以解决短期信贷息差的低估问题。

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.