The informational content of subordinated debt and equity prices in the presence of bankruptcy costs

DOI10.1016/J.EJOR.2003.12.008MaRDI QIDQ704065zbMATHOpenAlexFDO

Authors Eugene Nivorozhkin

Publication date 12 January 2005

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

Full work available at URL https://doi.org/10.1016/j.ejor.2003.12.008

zbMATH Keywords

Deposit insuranceBankBankruptcy costsEquitySubordinated debt

Mathematics Subject Classification ID

Recommendations

• Market discipline of subordinated debt in banking: The case of costly bankruptcy
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• THE PRICING OF DEBT AND PARETO-OPTIMAL FINANCING UNDER ENDOGENOUS BANKRUPTCY
• Default probabilities of a holding company, with complete and partial information

Cites work

• Market discipline of subordinated debt in banking: The case of costly bankruptcy
• The pricing of options and corporate liabilities

Cited in

(5)

• Market discipline of subordinated debt in banking: The case of costly bankruptcy
• A dynamic program for valuing corporate securities
• Strategic bank closure and deposit insurance valuation
• A closed-form solution to the risk-taking motivation of subordinated debtholders
• Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail

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