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

DOI10.1016/J.EJOR.2003.12.008zbMATH Open1066.91047OpenAlexW2165014627MaRDI QIDQ704065FDOQ704065

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

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zbMATH Keywords

Deposit insuranceBankBankruptcy costsEquitySubordinated debt

Mathematics Subject Classification ID

Cites Work

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

Cited In (5)

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

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