term structure of credit spreads of a firm when its underlying assets are discontinuous
الهيكل الزمني لهوامش الائتمان لشركة ما عندما تكون أصولها الأساسية غير متصلة
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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
نعيد النظر في الأعمال السابقة لكل من ليلاند [12]، وليلاند وتوفت [11]، وهيلبرينك وروجرز [7] حول الهيكل الأمثل لرأس المال، ونبيّن أن هوامش الائتمان لسندات الشركات قصيرة الأجل يمكن أن تتخذ قيماً غير صفرية عندما تشهد القيمة الأساسية لأصول الشركة قفزات هبوطية. ونقدم معالجة تحليلية لهذه الحقيقة في ظل عملية ليفي عامة، كما نناقش بعض الأمثلة العددية في ظل عمليات القفز الخالص.
الكلمات المفتاحية: الهيكل الأمثل لرأس المال، المخاطر الائتمانية، الهيكل الزمني لهامش الائتمان
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| Journal | alzheimer's & dementia (new york, n y) |
| Year | 2012 |
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