在美国破产保护法第十一章下公司债券的定价和最佳破产边界研究

A study on the valuation of the corporate debt with the finite maturity under Chapter 11 of the U.S bankruptcy code and optimal bankruptcy boundary

为了更好地处理公司破产重组问题,综合采用结构化方法和最优停时技巧,基于美国破产保护法第十一章,分析了有限到期日公司债券的定价问题,本质上为最优停时问题.用偏微分方程法证明了最佳破产边界的存在唯一性和单调性,得到了公司策略债务支付息票的显式表达式.数值结果表明:在美国破产保护法第十一章下,公司的破产率更高,股东可通过提前宣布破产而获益,而债权人能否获益依赖于谈判因子和谈判费用.

In order to better deal with the problem of corporate bankruptcy reorganization,this paper analyses the pricing problem of the corporate debt with finite maturity under Chapter 11 of the US bankruptcy code by synthetically applying structured methods and optimal stopping techniques.It is formulated as an optimal stopping time problem.The existence,uniqueness and monotonicity of the resulting optimal bankruptcy declaring boundary are proved rigorously by partial differential equations(PDEs)method and the explicit expression of the debt service while in bankruptcy is obtained.Numerical results show that in the presence of Chapter 11,the bankruptcy probability of the company is higher than with Leland model,and the equity holders are benefited from an earlier declaration of bankruptcy.However,whether debt holders can benefit from it depends on the negotiating ability and negotiation cost.