Structural recovery of face value at default

DOI10.1016/J.EJOR.2019.11.057zbMATH Open1441.91086OpenAlexW3123284993MaRDI QIDQ2294656FDOQ2294656

Authors Rajiv Guha, Alessandro Sbuelz, Andrea Tarelli

Publication date 11 February 2020

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2019.11.057

zbMATH Keywords

financedurationbond risk managementrecovery formsstructural endogenous default risk

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

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• On the term structure of lending interest rates when a fraction of collateral is recovered upon default

Cites work

• A Dynamic Model of Optimal Capital Structure
• A dynamic program for valuing corporate securities
• A simple model of deferred callability in defaultable debt
• An equilibrium characterization of the term structure
• Analytical cyclical price-dividend ratios
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• Default and liquidation timing under asymmetric information
• Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders
• Evaluating corporate bonds with complicated liability structures and bond provisions
• First passage times of a jump diffusion process
• Investment and financing for SMEs with a partial guarantee and jump risk
• Investment timing, debt structure, and financing constraints
• Optimal capital structure and endogenous default
• Revisiting corporate growth options in the presence of state-dependent cashflow risk
• The optimal capital structure of the firm with stable Lévy assets returns
• Uncertainty and stepwise investment

Cited in

(1)

• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems

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