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.

该研究项目研究了重组在企业信息披露成本高昂的连续时间模型中对优化设计的长期证券进行估值的作用。在实践中，Merton（1974）的或有债权模型长期以来一直用于评估公司证券，主要基于市场上某种足够完整的证券结构的假设。另一方面，在公司金融文献中，理论和实证上都众所周知，信息不对称引起的代理问题（即代理人之间的利益冲突）扭曲了公司资本结构。然而，扭曲对证券估值的影响无论是在理论上还是在实践中都没有得到很好的研究。本文弥合了证券估值文献和公司金融文献之间的差距。具体来说，首先，它表明，在代理问题中，当重组预计在违约情况下被接受时，企业杠杆率高于其他情况下的企业杠杆率。此外，它们可能与股票价值呈负相关。进入清算的风险会增加短期内的违约概率，并随着时间的推移降低重组的概率。因此，该模型可以解决短期信用利差的低估问题。

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

• 发表时间: 2010
• 作者: 中村恒

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

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

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

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: 2009
• 作者: 中村恒