Switching tax structure and payouts in endogenous bankruptcy models

DOI10.1080/17442508.2015.1046874zbMATH Open1337.91122OpenAlexW2295477755MaRDI QIDQ2803515FDOQ2803515

Authors: Flavia Barsotti, Maria Elvira Mancino, Monique Pontier 

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1046874

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zbMATH Keywords

optimal stoppingstructural modelendogenous defaultcorporate debttax benefitsendogenous bankruptcy models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Corporate finance (dividends, real options, etc.) (91G50) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• General tax structures and the Lévy insurance risk model
• Perpetual options and Canadization through fluctuation theory
• Optimal capital structure and endogenous default
• Optimal strategies in a risky debt context
• Reward functionals, salvage values, and optimal stopping

Cited In (2)

• Capital structure with firm's net cash payouts
• Dynamic optimal capital structure with regime switching

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