Showing 1 - 10 of 30
Persistent link: https://www.econbiz.de/10005542193
We propose a structural model for the valuation of defaultable securities of a firm which models the effect of deliberate misreporting done by insiders in the firm and unobserved by others. We derive exact formulas for equity and bond prices and approximate expressions for the conditional...
Persistent link: https://www.econbiz.de/10004971806
We consider a market in which traders arrive at random times, with random private values for the single-traded asset. A trader’s optimal trading decision is formulated in terms of exercising the option to trade one unit of the asset at the optimal stopping time. We solve the optimal stopping...
Persistent link: https://www.econbiz.de/10011240822
Persistent link: https://www.econbiz.de/10005727075
In this article we survey methods of dealing with the following problem: A financial agent is trying to hedge a claim C, without having enough initial capital to perform a perfect (super) replication. In particular, we describe results for minimizing the expected loss of hedging the claim C both...
Persistent link: https://www.econbiz.de/10005727097
Persistent link: https://www.econbiz.de/10008577985
We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to raise funds in credit markets and have...
Persistent link: https://www.econbiz.de/10011263595
We develop a model of decentralized markets in which trading environment is determined by a general network structure. We study how the equilibrium allocation and liquidity depend on the network topology and how an agent’s risk exposure depends on other agents’ exposures. Agents hold...
Persistent link: https://www.econbiz.de/10010905467
We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including initial information precision, and also in...
Persistent link: https://www.econbiz.de/10011042991
We develop a model of investment, payout, and nancing policies in which rms face uncertainty regarding their ability to raise funds and have to search for investors when in need of capital. We show that capital supply uncertainty leads rms to value nancial slack and to adjust their policies to...
Persistent link: https://www.econbiz.de/10011149692