债务协商下信用违约互换对企业金融策略的影响

Effect of credit default swap on firm financial policies considering debt renegotiation

引入信用违约互换(CDS)产品和债务协商,建立了非完备信息下企业动态投资模型.采用滤波理论、博弈理论以及动态规划方法解析地得到了企业的股权价值、债务价值以及企业投资阈值和策略性破产阈值,继而探究了CDS对企业金融决策的影响,得到如下结论:与无CDS的企业相比,CDS降低了企业破产风险和债券信用风险溢价,提高了公司总价值,缓解了企业债务积压问题.其次,短期流动性冲击、股东谈判能力的增加及债务期限的减少加剧了企业债务积压问题;而企业债务积压程度与长期偿还能力冲击呈倒“U”型关系.最后,CDS减弱了股东谈判能力对企业债务积压问题的影响程度.

This paper develops a dynamic investment model taking into consideration credit default swap(CDS)and debt renegotiation under incomplete information.After analytically deriving the equity value,debt value,optimal investment threshold and strategic default threshold,the paper examines the impact of CDS on firm financial decisions.The numerical analysis shows that CDS decreases the default risk and credit spread,increases the total firm value,and mitigates the debt overhang compared with firms without CDS.Furthermore,increases in short-term liquidity shock and shareholder bargaining power and the reduction of debt maturity could exacerbate the debt overhang problem,while the long-term solvency shock has an inverted U-shaped relationship with debt overhang.Last,the results demonstrate that CDS reduces the effect of shareholder bargaining power on debt overhang problem.