This paper studies debt holders' belief updating, valuation of corporate debt, and equity owners' financing decisions during financial distress under asymmetric information. This is done within a continuous-time framework, where the relevant state variable is assumed to follow an Arithmetic...

Formal portfolio optimization methodologies describe the dynamics of financial instruments price with Gaussian Copula (GC). Without considering the skewness and kurtosis of assets return rate, optimization with GC underestimate the optimal CVaR of portfolio. In the present paper, we develop the...