A structural model of debt pricing with creditor-determined liquidation

DOI10.1016/J.JEDC.2010.01.005MaRDI QIDQ964566zbMATH OpenOpenAlexFDO

Authors Max Bruche, Hassan Naqvi

Publication date 22 April 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/2791/1/Bruche-Naqvi_JEDC10.pdf

zbMATH Keywords

creditor induced liquidationdefaultable debt pricingpremature liquidation

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION
• THE PRICING OF DEBT AND PARETO-OPTIMAL FINANCING UNDER ENDOGENOUS BANKRUPTCY
• Do country-level creditor protections affect firm-level debt structure concentration?
• Liquidity and liquidation

Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Agency Conflicts and Risk Management*
• Default and Renegotiation: A Dynamic Model of Debt
• Financial Distress and Bank Restructuring of Small to Medium Size UK Companies*

Cited in

(11)

• Structural default model with mutual obligations
• Credit spread and liquidation value-based debt financing constraint
• Resolution of financial distress under Chapter 11
• FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION
• Funding liquidity, debt tenor structure, and creditor's belief: an exogenous dynamic debt run model
• A dynamic program for valuing corporate securities
• The use of equity financing in debt renegotiation
• Dividends and leverage: how to optimally exploit a non-renewable investment
• THE PRICING OF DEBT AND PARETO-OPTIMAL FINANCING UNDER ENDOGENOUS BANKRUPTCY
• Game theoretic analysis of negotiations under bankruptcy
• Do country-level creditor protections affect firm-level debt structure concentration?

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