具有资产重组和流动性风险公司债券的定价

Pricing corporate debt with asset reorganization and liquidity risk

为了统一处理资产跳跃风险、债券流动性风险和资产重组条款对于公司债券定价的影响,在跳扩散模型下,基于股票债券互换的资产重组模式,运用结构化方法,考虑具有资产重组和流动性风险公司债券定价问题.建立公司债券和股票定价的数学模型.进而通过偏微分方程方法和拉普拉斯变换技巧,推导公司债券和股票定价显式表达式,以及相应的最佳破产边界的解析解.数值结果表明:其一、股东和债权人能否借助于资产重组条款获益依赖于自身的谈判因子;其二、公司资产跳跃风险降低了公司债券和股票价值,增大了公司债券的信用利差.

Based on the asset reorganization scheme of equity-debt swap,this paper considers the pricing of corporate debt with asset reorganization and liquidity risk by using structured method in the jump-diffusion model in order to deal with the impact of asset jump risk,bond liquidity risk and asset reorganization terms on corporate debt pricing.Meanwhile,mathematical models for pricing corporate debt and equity are established.Furthermore,this paper obtains the explicit pricing expressions of corporate debt and equity and the corresponding optimal bankruptcy boundary by partial differential equation method and Laplace transformation technique.The numerical results show that:firstly,whether equityholders and debtholders can benefit from the asset reorganization term depends on their respective negotiating factors;Secondly,the asset jump risk reduces the value of corporate debt and equity,and increases the credit spread of corporate debt.