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

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zbMATH Keywords

financedurationbond risk managementrecovery formsstructural endogenous default risk

Mathematics Subject Classification ID

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

Cites Work

• An equilibrium characterization of the term structure
• Uncertainty and stepwise investment
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• A dynamic program for valuing corporate securities
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• The optimal capital structure of the firm with stable Lévy assets returns
• Optimal capital structure and endogenous default
• A simple model of deferred callability in defaultable debt
• A Dynamic Model of Optimal Capital Structure
• Dynamic bankruptcy procedure with asymmetric information between insiders and outsiders
• Default and liquidation timing under asymmetric information
• Revisiting corporate growth options in the presence of state-dependent cashflow risk
• Analytical cyclical price-dividend ratios
• Evaluating corporate bonds with complicated liability structures and bond provisions

Cited In (1)

• Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems

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