A study on the valuation of the corporate debt with the finite maturity under Chapter 11 of the US bankruptcy code and optimal bankruptcy boundary

DOI10.3785/J.ISSN.1008-9497.2018.03.009MaRDI QIDQ5382181zbMATH OpenFDO

Authors Jianwei Lin

Publication date 21 June 2019

Full work available at URL https://doi.org/10.3785/J.ISSN.1008-9497.2018.03.009

zbMATH Keywords

corporate debtexistence and uniquenessoptimal bankruptcy declaring boundaryoptimal stopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)

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Cited in

(7)

• Optimal restructuring strategies under various dynamic factors
• Resolution of financial distress under Chapter 11
• Pricing of perpetual corporate debt with bankruptcy reorganization in a double exponential jump-diffusion model
• Pricing of the corporate debt with the finite default observation period
• Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S.
• Controlling shareholders agency and corporation endogenous bankruptcy
• Modelling the duration of firms in Chapter 11 bankruptcy using a flexible model

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