动态债券发行跳跃

IF 0.9 3区 经济学 Q3 BUSINESS, FINANCE Mathematics and Financial Economics Pub Date : 2023-11-22 DOI:10.1007/s11579-023-00347-7
Andreea Minca, Johannes Wissel
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引用次数: 0

摘要

本文对发行人资产存在向下跳跃风险时的债务发行进行了分析。在均衡状态下,我们确定债务能力并确定非流动性障碍(或银行挤兑触发因素)。当资产负债率高于该障碍时,发行人保持流动性;然而,当它跌破这一障碍时,发行人就无法再筹集到足够的债务,并面临清算。我们证明,一个巨大的负面冲击将导致下一时期的银行挤兑,边际贷款人理性地解释了这一点。相比之下,小规模冲击的影响是与政权相关的,只会导致银行挤兑发生在内生投资级地区之外。最终权益对监管机构要求的最低资产负债率表现出强烈的非线性依赖:超过一定水平,期望显著增加,同时在时间范围内(最终权益)权益方差急剧下降。然而,资产与债务最小比率的中间值可能导致投资级区域的缩小和最终权益方差的大幅增加。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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Dynamic debt issuance with jumps
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来源期刊
Mathematics and Financial Economics
Mathematics and Financial Economics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS -
CiteScore
2.80
自引率
6.20%
发文量
17
期刊介绍: The primary objective of the journal is to provide a forum for work in finance which expresses economic ideas using formal mathematical reasoning. The work should have real economic content and the mathematical reasoning should be new and correct.
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