term structure of credit spreads of a firm when its underlying assets are discontinuous

Clicks: 84
ID: 226809
2012
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Abstract

We revisit the previous works of Leland [12], Leland and Toft [11] andHilberink and Rogers [7] on optimal capital structure and show that thecredit spreads of short-maturity corporate bonds can have nonzero valueswhen the underlying of the firm’s assets value has downward jumps. We givean analytical treatment of this fact under a general Levy process and discusssome numerical examples under pure jump processes.

Keywords: Optimal capital structure, credit risk, term structure of creditspread

Reference Key
surya2012asianterm Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Budhi Arta Surya
Journal alzheimer's & dementia (new york, n y)
Year 2012
DOI
DOI not found
URL
http://journal.sbm.itb.ac.id/index.php/asian/article/view/169
Keywords
technology (general)management industrial management

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